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Canada Research Chair in Risk Management

October 28, 2019

For his outstanding contributions to academic research, training of human capital and mentoring, the Canadian Economics Association is proud to induct Georges Dionne as a fellow of the Canadian Economics Association, the highest honour the ​Association can bestow.

Click here to read the CAE Website page about Georges Dionne.

June 15, 2019

Using high-frequency transaction and Limit Order Book (LOB) data, we extend the identification dimensions of High Price Impact Trades (HPITs) by using LOB matchedness.

HPITs are trades associated with disproportionately large price changes relative to their proportion of volume. Authors find that a higher presence of HPITs leads to a decline in volatility due to more contrarian trades against uninformed traders, but this decli...

April 24, 2019

A comprehensive, one-stop resource for corporate finance professionals and graduate students: "Corporate Risk Management: Theories and Applications" examines the motivation for risk management and the measurement of its efficiency—providing theoretical models under information asymmetry that justify risk management, modern empirical analyses of theoretical propositions, and statistical models that identify risks and their vari...

March 22, 2019

Abstract

This paper provides an axiomatic foundation of the measurement of diversi cation in a one-period portfolio theory under the assumption that the investor has complete information about the joint distribution of asset returns.

Four categories of portfolio diversi cation measures can be distinguished: the law of large numbers diversi cation measures, the correlation diversi cation measures, the market portfolio diversi cat...

March 12, 2019

Abstract

Authors main objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric information?

They analyze the originator’s selling choice of MSR using a large sample of U.S. mortgages that were privately securitized during the period of January 2000 to December...

August 2, 2018

This study revisits the question of whether risk management has real implications on firm value, risk, and accounting performance using a new dataset on the hedging activities of U.S. oil producers.

 In light of the controversial results in the literature, this paper estimates the hedging premium question for firms using a more robust econometric methodology, namely essential heterogeneity models, that controls for bias related...

August 2, 2018

This question is examined in the context of forecasting the one-week-ahead Expected Shortfall for a portfolio equally invested in the Fama-French and momentum factors.

Applying extensive tests and comparisons, we fi nd that in most cases there are no statistically signi cant differences between the forecasting accuracy of the two approaches.

This suggests that univariate models, which are more parsimonious and simpler to implem...

June 4, 2018

Authors study regime switching features of liquidity risk in corporate bond premiums. Within a sample period ranging from July 2002 to April 2015, they first compute a liquidity risk index for BBB bonds, which considers various liquidity risk facets based on principal component analysis. Second, they identify two liquidity regimes in our sample using a Markov switching regime model that highlights the dynamic characteristics o...

May 22, 2018

In this paper, the authors examine the impact of the voluntary central clearing scheme on the CDS market for North American firms during the period spanning 2009 to 2015. In order to address the endogeneity problem arising from the fact that central clearing is not mandatory for single‑name CDSs, they use a methodology that relies on propensity-score matching combined with generalized difference-in-differences. Their empirical...

April 19, 2018

Professor Georges Dionne is to receive more than $3.6 million to pursue his risk management research, focused mainly on high-frequency trading, the phenomenon of securitization in financial markets and the measurement of liquidity risks.

He was recently awarded $1.9 million in funding from the John R. Evans Leaders Fund of the Canada Foundation for Innovation (CFI) (40%), the Quebec government (40%) and private partners (20%) i...

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