Working Papers

From HEC Montreal, Canada Research Chair in Risk Management
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14-2: Health care workers’ risk perceptions of personal and work activities and willingness to report for work during an influenza pandemic

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

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

Mohamed Mnasri, Georges Dionne and Jean-Pierre Gueyie

13-4: Default and liquidity regimes in the bond market during the 2002-2012 period

Georges Dionne and Olfa Maalaoui Chun

13-3: How do firms hedge risks? Empirical evidence from U.S. oil and gas producers

Mohamed Mnasri, Georges Dionne and Jean-Pierre Gueyie

13-2: Risk management: History, definition and critique

Georges Dionne

13-1: Gestion des risques: histoire, définition et critique

Georges Dionne

12-10: The empirical measure of information problems with emphasis on insurance fraud and dynamic data

Georges Dionne

12-9: Risk classification and health insurance

Georges Dionne and Casey Rothschild

12-8: Adverse selection in insurance contracting

Georges Dionne, Nathalie Fombaron and Neil Doherty

12-7: Comparative Ross risk aversion in the presence of quadrant dependent risks

Georges Dionne and Jingyuan Li

12-6: Securitization and optimal retention under moral hazard

Sara Malekan and Georges Dionne

12-5: Entry, imperfect competition, and futures market for the input

Georges Dionne and Marc Santugini

12-4: An extension of the consumption-based CAPM model

Georges Dionne, Jingyuan Li and Cédric Okou

12-2: Comparative Ross risk aversion in the presence of mean dependent risks

Georges Dionne and Jingyuan Li

12-1: A review of recent theoretical and empirical analyses of asymmetric information in road safety and automobile insurance

Georges Dionne, Pierre-Carl Michaud and Jean Pinquet

11-5: Risk classification in insurance contracting

Georges Dionne and Casey Rothschild

11-4: Does opportunistic fraud in automobile theft insurance fluctuate with the business cycle?

Georges Dionne and Kili Wang

11-3: Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-level data

Anne-Sophie Bergerès, Philippe D'Astous and Georges Dionne

11-2: Book review of The Theory of Corporate Finance

Georges Dionne

11-1: When can expected utility handle first-order risk aversion?

Georges Dionne and Jingyuan Li

10-8: A theoretical extension of the consumption-based CAPM model

Jingyuan Li and Georges Dionne

10-7: Le cacul de la valeur statistique d'une vie humaine

Georges Dionne and Martin Lebeau

10-6: A reduced form model of default spreads with Markov-switching macroeconomic factors

Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato

10-5: Separating moral hazard from adverse selection and learning in automobile insurance: Longitudinal evidence from France

Georges Dionne, Pierre-Carl Michaud and Maki Dahchour

10-4: The impact of prudence on optimal prevention revisited

Jingyuan Li and Georges Dionne

10-3: Does asymmetric information affect the premium in mergers and acquisitions?

Georges Dionne, Mélissa La Haye and Anne-Sophie Bergerès

10-2: Extremal events in a bank operational losses

Hela Dahen, Georges Dionne and Daniel Zajdenweber

10-1: Corporate risk management and dividend signaling theory

Georges Dionne and Karima Ouederni

09-6: Structured finance, risk management, and the recent financial crisis

Georges Dionne

09-5: Analyse empirique du pouvoir prédictif des infractions au Code de la sécurité routière sur les risques d’accident

Georges Dionne and Jean Pinquet

09-4: Performance analysis of a collateralized fund obligation (CFO) equity tranche

Shady Aboul-Enein, Georges Dionne and Nicolas Papageorgiou

09-3: Basket options on heterogeneous underlying assets

Georges Dionne, Geneviève Gauthier and Nadia Ouertani

09-2: On the determinants of the implied default barrier

Georges Dionne and Sadok Laajimi

09-1: Credit spread changes within switching regimes

Olfa Maalaoui Chun, Georges Dionne and Pascal François

08-3: Correlated Poisson processes with unobserved Heterogeneity: Estimating the determinants of paid and unpaid leave

Georges Dionne and Benoit Dostie

08-2: Detecting regime shifts in credit spreads

Olfa Maalaoui Chun, Georges Dionne and Pascal François

08-1: The costs and benefits of reinsurance

J. David Cummins, Georges Dionne, Robert Gagné and Abdelhakim Nouira

07-8: A reduced form model of default spreads with Markov switching macroeconomic factors

Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato

07-7: On debt service and renegotiation when debt-holders are more strategic

Jean-Marc Bourgeon and Georges Dionne

07-6: Estimating the effect of a change in insurance pricing regime on accidents with endogenous mobility

Georges Dionne and Benoit Dostie

07-5: What about underevaluating operational value at risk in the banking sector?

Georges Dionne and Hela Dahen

07-4: Determinants of insurers’ performance in risk pooling, risk management, and financial intermediation activities

Georges Dionne, Robert Gagné and Abdelhakim Nouira

07-3: Poisson models with employer-employee unobserved heterogeneity: An application to absence data

Jean-François Angers, Denise Desjardins, Georges Dionne, Benoit Dostie and François Guertin

07-1: Scaling models for the severity and frequency of external operational loss data

Hela Dahen and Georges Dionne

06-12: The value of a statistical life: A meta-analysis with a mixed effects regression model

François Bellavance, Georges Dionne and Martin Lebeau

06-11: Empirical evaluation of investor rationality in the asset allocation puzzle

Oussama Chakroun, Georges Dionne and Amélie Dugas-Sampara

06-9: Book review of Foundations of Economic Analysis of Law, by Steven Shavell

Georges Dionne

06-8: Consolidation and value creation in the insurance industry: The role of governance

Narjess Boubakri, Georges Dionne and Thouraya Triki

06-7: Lottery qualities

Yves Alarie and Georges Dionne