Georges Dionne wins the American Risk and Insurance 2020 Best Article Award for the article The Governance of Risk Management:  The Importance of Directors’ Independence and Financial Knowledge published in Risk Management and Insurance Review in 2019.

His coauthors are Olfa Maalaoui-Chun from Bloomberg and Thouraya Triki from the International Fund for Agricultural Development, two Ph.D. graduates in finance at HEC Montréal.

The 2020 winners will be recognized at this year’s virtual World Risk and Economic Congress Conference in early-August.

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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.


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 decline varies with information environments and liquidity levels. Further, they show that more HPITs lead to higher price efficiency for stocks with greater public disclosure and higher liquidity. Their empirical results provide evidence that HPITs mainly reflect fundamental-based information in a high public information environment, and belief-based inf...


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 variations in different economic cycles.

Focusing on corporate financial aspects of risk management, the book covers over 20 subjects of risk management, particularly default, liquidity, and operational risks that arose during and after the 2008 financial crisis. Examination of Conditional Value at Risk (CVaR) in the measurement of market risk under Basel...



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 cation measures and the risk contribution diversi cation measures.

The authors propose the fi rst step towards a rigorous theory of correlation diversi cation measures. They propose a set of nine desirable axioms for this class of diversi cation measures, and name the measures satisfying these axioms coherent diversi cation measures that they distinguis...



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 2013 (more than 5 million observations).

Their econometric methodology is mainly non-parametric and the main test for the presence of information asymmetry is driven by kernel density estimation techniques (Su and Spindler, 2013). They also employ the non-parametric testing procedure of Chiappori and Salanié (2000). For robustness, they present para...


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 to selection on unobservables and self‒selection in the estimation of marginal treatment effects (MTE).

Authors find that oil producers with higher propensity scores for the use of more extensive hedging activities tend to have higher marginal firm value and higher marginal risk reduction, and realize stronger marginal accounting performance. They al...


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 implement than multivariate models, can be used to forecast the downsize risk of equity portfolios without losses in precision. 

BIS now uses expected shortfall  for capital regulation of market risk Click to read this article.


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 of this risk and its behavior before, during and after the last financial crisis. They observe that the liquidity risk index improved after the financial crisis. It seems that the recent Volcker Rule did not affect the liquidity of BBB bonds during our sample period.

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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 findings show that initiating the central clearing results in an increase in CDS spreads, while there is no evidence of an associated improvement in CDS market liquidity and trading activity or of a deterioration in the default risk of the underlying bond. These results suggest that the increase in CDS spreads of centrally cleared entities can be ma...

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