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Working Papers

From HEC Montreal, Canada Research Chair in Risk Management
Contact information at EDIRC.

Bibliographic data for series maintained by Claire Boisvert ().

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24-2: Insurers’ M&A in the United States during the 1990-2022 period: Is the Fed monetary policy a causal factor Downloads
Georges Dionne, Akouété Fenou and Mohamed Mnasri
24-1: Developments in risk and insurance economics: The past 50 years Downloads
Henri Loubergé and Georges Dionne
23-5: Adverse selection in insurance Downloads
Georges Dionne, Nathalie Fombaron and Wanda Mimra
23-4: Causality in empirical analyses with emphasis on asymmetric information and risk management Downloads
Georges Dionne
23-3: Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers Downloads
Georges Dionne, Rayane El Hraiki and Mohamed Mnasri
23-2: Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation Downloads
Samir Saissi Hassani and Georges Dionne
23-1: Consolidation of the US property and casualty insurance industry: Is climate risk a causal factor for mergers and acquisitions? Downloads
Georges Dionne, Akouété Fenou and Mohamed Mnasri
22-5: The Profitability of Lead-Lag Arbitrage at High-Frequency Downloads
Cédric Poutré, Georges Dionne and Gabriel Yergeau
22-4: Determinants and real effects of joint hedging: An empirical analysis of the US petroleum industry Downloads
Georges Dionne, Rayane El Hraiki and Mohamed Mnasri
22-3: Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation Downloads
Samir Saissi Hassani and Georges Dionne
22-2: A re-examination of the U.S. insurance market’s capacity to pay catastrophe losses Downloads
Georges Dionne and Denise Desjardins
21-5: Précisions importantes sur le backtesting comparatif de la VaR Downloads
Samir Saissi Hassani
21-4: International High-Frequency Arbitrage for Cross-Listed Stocks Downloads
Cédric Poutré, Georges Dionne and Gabriel Yergeau
21-3: Road safety for fleets of vehicles Downloads
Georges Dionne, Denise Desjardins and Jean-François Angers
21-2: Hierarchical random effects model for insurance pricing of vehicles belonging to a fleet Downloads
Denise Desjardins, Georges Dionne and Yang Lu
21-1: The New International Regulation of Market Risk: Roles of VaR and CVaR in Model Validation Downloads
Samir Saissi Hassani and Georges Dionne
20-4: Deep limit order book events dynamics Downloads
Yann Bilodeau
20-3: The new international regulation of market risk: Roles of VaR and CVaR in model validation Downloads
Samir Saissi Hassani and Georges Dionne
20-2: Sécurité routière des flottes et des conducteurs de véhicules lourds Downloads
Georges Dionne, Denise Desjardins and Jean-François Angers
20-1: Reinsurance demand and liquidity creation: A search for bi-causality Downloads
Denise Desjardins, Georges Dionne and N’Golo Koné
19-4: The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage Downloads
Sahar Guesmi, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne
19-3: Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency Downloads
Georges Dionne and Xiaozhou Zhou
19-2: Coherent diversification measures in portfolio theory: An axiomatic foundation Downloads
Nettey Boevi Gilles Koumou and Georges Dionne
19-1: Nonparametric testing for information asymmetry in the mortgage servicing market Downloads
Helmi Jedidi and Georges Dionne
18-7: The Governance of Risk Management: The Importance of Directors’ Independence and Financial Knowledge Downloads
Georges Dionne, Olfa Maalaoui Chun and Thouraya Triki
18-6: Machine Learning and Risk Management: SVDD Meets RQE Downloads
Georges Dionne and Gilles Boevi Koumou
18-5: Real implications of corporate risk management: Evidence from U.S. oil producers Downloads
Georges Dionne and Mohamed Mnasri
18-4: Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors? Downloads
Alain-Philippe Fortin, Jean-Guy Simonato and Georges Dionne
18-3: Cyclical variations in liquidity risk of corporate bonds Downloads
Cassandre Anténor-Habazac, Georges Dionne and Sahar Guesmi
18-1: The impact of central clearing on the market for single-name credit default swaps Downloads
Mohamed-Ali Akari, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne
17-3: Reinsurance Demand and Liquidity Creation Downloads
Georges Dionne and Denise Desjardins
17-2: Insurance and Insurance Markets Downloads
Georges Dionne and Scott Harrington
17-1: Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China Downloads
Georges Dionne and Ying Liu
16-5: Asymmetric Effects of the Limit Order Book on Price Dynamics Downloads
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
16-4: The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis Downloads
Georges Dionne and Xiaozhou Zhou
16-3: Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation Downloads
Gabriel Yergeau
16-2: Dynamic Corporate Risk Management: Motivations and Real Implications Downloads
Georges Dionne, Jean-Pierre Gueyie and Mohamed Mnasri
16-1: Can Higher-Order Risks Explain the Credit Spread Puzzle? Downloads
Cedric Okou, Olfa Maalaoui Chun, Georges Dionne and Jingyuan Li
15-6: Policy making and climate risk insurability: How can (re)insurers contribute to economic resilience in climate risk events? Downloads
Georges Dionne
15-5: The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis Downloads
Georges Dionne and Xiaozhou Zhou
15-4: Optimal form of retention for securitized loans under moral hazard Downloads
Georges Dionne and Sara Malekan
15-3: Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis Downloads
Georges Dionne and Samir Saissi-Hassani
15-2: Modelling and Estimating Individual and Firm Effects with Count Panel Data Downloads
Jean-François Angers, Denise Desjardins, Georges Dionne and François Guertin
15-1: Étude des comportements de sécurité routière des propriétaires, exploitants et conducteurs des véhicules lourds au Québec Downloads
Georges Dionne, Jean-François Angers and Denise Desjardins
14-5: Effects of the Limit Order Book on Price Dynamics Downloads
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
14-4: Economic Effects of Risk Classification Bans Downloads
Georges Dionne and Casey Rothschild
14-3: Production Flexibility and Hedging Downloads
Georges Dionne and Marc Santugini
14-2: Health care workers’ risk perceptions of personal and work activities and willingness to report for work during an influenza pandemic Downloads
Georges Dionne, Denise Desjardins, Martin Lebeau, Stéphane Messier and André Dascal
14-1: Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse Downloads
Georges Dionne, Maria Pacurar and Xiaozhou Zhou
13-5: The maturity structure of corporate hedging: The case of the U.S. oil and gas industry Downloads
Mohamed Mnasri, Georges Dionne and Jean-Pierre Gueyie
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