2018/04/19

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%) including the National Bank of Canada. These grants will allow him to develop the infrastructure required for the new Canada Research Chair in Risk Management research program.

The Chair directed by Professor Dionne was renewed in January 2018, representing an additional $1.4 million in funding.

Lastly, with professors François Bellavance, Philippe d'As...

2018/02/09

The ability and willingness of health care workers to report for work during a pandemic are essential to pandemic response. The main contribution of this article is to examine the relationship between risk perception of personal and work activities and willingness to report for work during an influenza pandemic. Data were collected through a quantitative Web-based survey sent to healthcare workers on the island of Montreal. Respondents were asked about their perception of various risks to obtain index measures of risk perception. A multinomial logit model was applied for the probability estimations, and a factor analysis was conducted to compute risk perception indexes (scores). Risk perception associated with personal and work activities is a significant predictor of int...

2017/12/07

We propose a new parametric model for the modelling and estimation of event distributions for individuals in different firms. The analysis uses panel data and takes into account individual and firm effects in a non-linear model. Non-observable factors are treated as random effects. In our application, the distribution of accidents is affected by observable and non-observable factors from vehicles, drivers, and fleets of vehicles. Observable and unobservable factors are significant to explain road accidents, which means that insurance pricing should take into account all these factors. A fixed effects model is also estimated to test the consistency of the random effects model.

Click here to read the article.

2017/12/05

The authors address the moral hazard problem of securitization using a principal-agent model
where the investor is the principal and the lender is the agent. Their model considers structured
asset-backed securitization with a credit enhancement (tranching) procedure. They assume that the originator can affect the default probability and the conditional loss distribution. They show that the optimal form of retention must be proportional to the pool default loss even in the absence of systemic risk when the originator can affect the conditional loss given default rate, yet the current regulations propose a constant retention rate. Click here to read the whole article.

Authors: 

-Georges Dionne Department of Finance, HEC Montréal, 3000 Côte-Sainte-Catherine Road, Montreal, QC...

2017/08/12

Authors investigate the dynamics of corporate hedging programs used by US oil producers and examine the effects of hedging maturity choice on firm value. They find evidence of a concave relationship between hedging maturity and the likelihood of financial distress and oil spot prices. They further investigate the motivations of the early termination of outstanding hedging contracts. Using the essential heterogeneity approach, they also evaluate the causal effects of hedging maturity on firm value. Marginal firm value increases with short-term hedging maturity. The causal effects vary across oil producers with different hidden attributes.  Click here to read the article 

2017/07/31

The John S. Bickley Founder’s Award, instituted in 1972 and named in honor of the founder of the International Insurance Society, Dr. John S. Bickley, honors individuals who have made a significant and lasting contribution to insurance thought, products, practice or education. The Founder’s Award recipient is elected by the IIS Honors Committee, a body of senior insurance executives and leading academicians.

Georges Dionne, professor at HEC Montreal, Canada, received the Gold Medal for Excellence of the 2017 Founder’s Award during the Global Insurance Forum, at the gala dinner on July 18th at the Park Plaza Westminster Bridge Hotel in London. Georges Dionne is a member of the Scientific Board of the SCOR Foundation for Science and of the Board of SCOR Canada.


Denis Ke...

2017/07/04

Content will be published in English soon.

Extrait de la Préface de Denis Kessler, PDG du Groupe SCOR

« Professeurs, chercheurs, étudiants et décideurs trouveront dans l'ouvrage de Georges Dionne une présentation à la fois pédagogique et complète [des instruments de gestion des risques], de leur cohérence économique et de leurs limites intrinsèques. Ceux qui sont allergiques aux techniques quantitatives ne doivent pas s'inquiéter des développements mathématiques contenus dans l'ouvrage : l'auteur les a si bien stylisés et simplifiés, qu'ils sont accessibles à tout lecteur bienveillant, tout en conservant la saveur de la rigueur mathématique. Un ouvrage donc à lire, à travailler et à conserver à portée de la main. »

L'étude de la gestion des risques financiers est encore...

2017/05/15

The prestigious Founder’s Award was instituted in 1972 and is named in honor of the founder of the International Insurance Society (IIS), the late Dr. John S. Bickley, Emeritus Professor of Insurance at The University of Alabama, who served as  IIS president from 1965 to 1989.

The award honors individuals who have made a significant and lasting contribution to insurance thought, product, practice or education.

The Founder’s Award recipient is elected by secret ballot by the IIS Honors Committee, a body of senior insurance executives and leading academicians. Committee members are appointed by IIS Board of Directors and represent all sectors of the industry and regions of the world. 

The award is presented each year at the Awards Ceremony and Gala Dinner in conjunction with t...

2017/03/31

by Mohamed Mnasri, Georges Dionne, Jean-Pierre Gueyie

Highlights

  • We study the motivations and real implications of nonlinear hedging strategies

  • Sensitivities of investments and revenues to oil prices influence derivative choice

  • Financial constraints have a non-monotonic relationship with the use of nonlinear hedges

  • Oil production specificities and oil market conditions influence derivative choice

  • The use of pure nonlinear hedges induces higher marginal firm value

http://www.sciencedirect.com/science/article/pii/S0140988317300415

2017/03/15

by Georges Dionne (corresponding author) and Ying Liu

Highlights

▪ We study the effects of insurance incentives on road safety in China

▪ We use the differences-in-differences methodology

▪ We provide evidence of a causal effect of moral hazard on accident frequency

▪ The main effect is obtained from the insurance pricing based on traffic violation

▪ The effects of basing pricing on past claims are not significant.

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