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Research themes
1. Impacts of e-finance on stock markets
2. Credit risk evaluation and management in the new economy
3. Impacts of the new economy on activities and efficiency of financial institutions
4. Financial and operational risk management and hedging
  5. Employment relations, productivity and performance in the financial new economy
 
 
Projects
 
  1. Impacts of e-finance on stock markets
 
  1.1 Implicit transaction costs
 Researchers: Kodjovi Assoé,  Lawrence Kryzanowski, Shishir Singh (Ph.D.), Anas Aboulamer (M.Sc.), Jimmy Chan (M.Sc.), Lucas Hineson (M.Sc.), Mouminatou Sow (M.Sc.), Heureuse St-Juste (M.Sc.) and Sébastien Weiner (M.Sc.)
 
  1.2 Intra-day trading and information
 Researchers:  Joshua Slive, Denis Larocque, Abdessamad Dine (M.Sc.) and Sophie Lietz (M.Sc.)
 
  1.3 Liquidity
 Researchers:  Georges Dionne, Pierre Duchesne et Maria Pacurar (Ph.D.)
 
  1.4 Exchange structures
 Researchers:  Moez Bennouri, Kodjovi Assoé, Sonia Falconieri, Sadok Laajimi (M.Sc.) and Zied Sahraoui (M.Sc.)
 
  1.5 Margin operations
 Researcher:  Michel Denault
 
  1.6 Stock split rationates and the effect of stock splits on the bahaviour of markets and uninformed traders
 Researchers:  Lawrence Kryzanowski  and Skander Lazrak (Ph.D.)
 
  1.7 Liquidity movements of cross-listed shares: Commonalities, determinants and decimalization
 Researchers:  Lawrence Kryzanowski, Hao Zhang (post-doc), Sana Mohsni (Ph.D.) and Anas Aboulamer (M.Sc.)
 
  1.8 The asset-pricing role of the amortized spread
 Researchers:  Lawrence Kryzanowski  and Zhongzhi He (post-doc)
 
  1.9 Bayesian econometric methods
 Researchers:   Éric Jacquier, Pierre Lemieux (M.Sc.) and Valérie Lemieux (M.Sc.)
 
  1.10 Financial analysts and tangible and intangible value of investments in information technologies
 Researchers:   Pierre-Majorique Léger and Ding Tuan Tran (M.Sc.)
 
  1.11 Stock markets, acquisition and performance
 Researchers:   Narjess Boubakri, Olfa Hamza (Ph.D.), Christian Ayih-Akakpo (M.Sc.), Hamdi Ben Nasr (M.Sc.), Lobna Bouslimi (M.Sc.), Philippe Côté (M.Sc.), Anouar Lamane (M.Sc.) and Karine Tremblay (M.Sc.) - COMPLETED
 
  1.12 Impact of electronic communication networks on stock markets
 Researchers:   Michel Denault, Joshua Slive and Thomas Bachand (M.Sc.) - COMPLETED
 
  1.13 Merger of software firms and virtual network effect
 Researchers:   Pierre-Majorique Léger and Louis Quach (M.Sc.)
 
  1.14 Analysis of the performance of hedge funds
 Researchers:   Nicolas Papageorgiou and Georges Hübner
 
  1.15 Are split-date volatility changes primarily permanent or temporary?
 Researchers:  Lawrence Kryzanowski  and Skander Lazrak (Ph.D.) - COMPLETED
 
  1.16 Strategies and efficiency of trade on electronic markets
 Researchers:   Joshua Slive and Denis Larocque - COMPLETED
 
  1.17 Microstructure Around Canadian SEOs
 Researchers:   Lawrence Kryzanowski, Skander Lazrak, Ian Rakita, Ying Yang (Ph.D.) and Amr Addas (Ph.D)
 
  1.18 Ownership Control, Liquidity and Change in Firm Value: Evidence From Earnings Announcements by Canadian Firms
 Researchers:   Lawrence Kryzanowski, Arturo Rubalcava and Amr Addas (Ph.D.)
 
  1.19 La cointégration entre les flux d'ordres et les taux de change
 Researchers:   Simon Van Norden and Martin Boyer
 
  1.20 La globalisation des marchés boursiers et les anticipations des investisseurs
 Researchers:   Narjess Boubakri, Lobna Bouslimi (Ph.D.) and Omrane Guedhami (Memorial University of Newfoundland)
 
  1.21 La performance boursière des entreprises d'internet
 Researchers:   Narjess Boubakri and Kiran Sookhi (M.Sc.)
 
  1.22 La privatisation en tant que moteur de globalisation des marchés boursiers
 Researchers:   Narjess Boubakri, Jean-Claude Cosset and Anis Samet (Ph.D.)
 
  1.23 Impact de la structure de propriété de la firme sur le bid-ask spread de son action
 Researchers:   Joshua Slive and Khalid Sadek (M.Sc.)
 
  1.24 Upstairs trading in Canada
 Researcher:   Joshua Slive
 
  1.25 Dynamic Strategies on limit order market
 Researcher:   Joshua Slive
 
  1.26 Single versus multiple banking for IPOs
 Researchers:   Moez Bennouri, Sonia Falconieri, Anne Catherine Faye (M.Sc.) and Aissetou Haidara (M.Sc.)
 
  1.27 Research Proposal on Dynamic Trading Strategies
 Researcher:   Joshua Slive
 

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  2. Credit risk evaluation and management in the new economy
 
  2.1 Bank credit risk
 Researchers:   Georges Dionne, Serge Darolles, Christian Gouriéroux, Joann Jasiak, Simon Van Norden, Kaïs Dachraoui (post-doctoral trainee), Oussama Chakroun (Ph.D.),  Khemaïs Hammami (Ph.D.), Nabil Tahani (Ph.D.), Haana Mounjib (M.Sc.) and Madalina Petrescu (M.Sc.)
 
  2.2 Analyse du risque de crédit agrégé (suite)
 Researchers:   Catherine Bruneau and a Ph.D. student
 
  2.3 Rate spread models
 Researchers:   Georges Dionne, Geneviève Gauthier, Jean-Guy Simonato, Mathieu Maurice (professionnel), Khemaïs Hammami (Ph.D.) Sophia Zanoon (Ph.D.), Hatem Brik (M.Sc.), Philippe Hynes (M.Sc.) and Seif Mohamed Khechine (M.Sc.) 
 
  2.4 Migration Models
 Researchers:   Christian Gouriéroux, Joann Jasiak, and Dingan Feng (Postdoc) and Khemaïs Hammami (Ph.D.)
 
  2.5 Quadratic term structure models
 Researchers:   Christian Gouriéroux and Razvan Sufana (Ph.D.)
 
  2.6 Stochastic volatility
 Researchers:   Christian Gouriéroux and Razvan Sufana (Ph.D.)
 
  2.7 Dynamically consistent risk measures
 Researchers:   Michèle Breton and Tarek Masmoudi (Ph.D.)
 
  2.8 Default risk in the new economy
 Researchers:   Hatem Ben Ameur, Hind Bouafi (M.Sc.) and Alexandre Lagüe-Jacques (M.Sc.) - COMPLETED
 
  2.9 Measuring the prepayment risk in callable corporate bonds
 Researchers:   Pascal François and Sophie Pardo (post-doctoral trainee)
 
  2.10 The Ordered Qualitative Model for Credit Rating Transitions
 Researchers:   Christian Gouriéroux, Joann Jasiak and Dingan Feng (Postdoc)
 
 
  2.11 Prévision de faillite dans la nouvelle économie
 Researchers:   Hatem Ben Ameur, Mohamed Ayadi (Brock University) et Samir Trabelsi (Brock University)
 
  2.12 Maximum de vraisemblance simulée : Applications à la prévision de faillite dans la nouvelle économie
 Researchers:   Hatem Ben Ameur, Michèle Breton et Moktar Ben Said (Ph.D)
 
  2.13 Titre à définir
 Researchers:   Hatem Ben Ameur, Denis Larocque et Imed Bouhamed (Ph.D.)
 
  2.14 Ajustement d'un modèle de tarification de CDOs
 Researchers:   Hatem Ben Ameur, Geneviève Gauthier et Diego Amaya (M.Sc.)
 
  2.15 Semiparametric multivariate volatility models
 Researchers:   Jeroen Rombouts and Christian Hafner
 
  2.16 Dynamic Quantile Models, Causality in Multivariate Volatility
 Researchers:   Joann Jasiak, Christian Gouriéroux and Lixin Liu (Ph.D.)
 
  2.17 Détresse financière et risque de crédit sous Chapter 11: une approche par la théorie des jeux
 Researchers:   Amira Annabi (Ph.D.), Michèle Breton and Pascal François
 
  2.18 Default Risk in Corporate Bond Spreads
 Researchers:   Georges Dionne, Geneviève Gauthier, Jean-Guy Simonato, Mathieu Maurice and Khemaïs Hammami (Ph.D.) - COMPLETED
 
 

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  3. Impacts of the new economy on activities and efficiency of financial institutions
 
 
  3.1 Economy and Canadian institutions
Researchers:   Georges Dionne, Nabil Ghalleb (Ph.D.), Sadok Laajimi (Ph.D.), Philippe Bergevin (M.Sc.) and Martin Lebeau (M.Sc.) - COMPLETED
 
  3.2 Privatization of stock markets
Researchers:   Georges Dionne and Lawrence Kryzanowski
 
  3.3 Productivity of financial institutions
Researchers:   Georges Dionne and Abdelhakim Nouira (Ph.D.)
 
  3.4 Bancassurance
Researchers:   Georges Dionne, Patrick Soriano and Jean Pinquet
 
  3.5 Globalization and performance w.r.t. bank risks
Researchers:   Narjess Boubakri, Omar Kazoun (M.Sc.) and Ghizlaine Soughati (M.Sc.) - COMPLETED
 
  3.6 Forecasting economic cycles and rates
Researchers:   Simon Van Norden et Pascal Chinoine (M.Sc.)
 
  3.7 Three Aspects of Syndicated Loans
Researchers:   Lawrence kryzanowski and Claudia Champagne (Ph.D.)
 
  3.8 Three Aspects of Fund Management
Researchers:   Lawrence kryzanowski and Inès Gargouri (Ph.D.)
 
  3.9 Dynamic Strategies on limit order market
Researcher:   Joshua Slive
 
  3.10 Déterminants de l'investissement dans le e-banking
Researchers:   Moez Bennouri and Dorra Ghérib (Ph.D.)
 
  3.11 Tarification des crédits bancaires, cycle de défaut et cycle d'affaire
Researchers:   Georges Dionne and Karima Ouederni (Ph.D.)
 
 

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  4. Financial and operational risk management and hedging
 
  4.1 Financial hedging market
Researchers:   Michèle Breton, Pascal François, Nicolas Papageorgiou and Michel Magnan
 
  4.2 Operational risk measurement
Researchers:   Georges Dionne, Bruno Rémillard, Héla Dahen (Ph.D.) and J.-François Quessy (Ph.D.)
 
  4.3 Financial institutions securitization
Researchers:   Georges Dionne and Philippe Bergevin (M.Sc.)
 
  4.4 Financial product evaluation, information and bounded rationality
Researchers:   Tony Berrada and Talel El Kateb (M.Sc.)
 
  4.5 Financial products evaluation and hedging
Researchers:   Hatem Ben Ameur, Michèle Breton, Pascal François, Nicolas Papageorgiou, Bruno Rémillard, Patrick Soriano, Ramzi Ben Abdallah (Ph.D.), Mokhtar Ben Said (Ph.D.) Karim Drira (Ph.D.), Tammam Mouakhar (Ph.D.), Omar Alami (M.Sc.), Sarah Bounab (M.Sc.), Belgacem Ghazi (M.Sc.), Mathieu Richard (M.Sc.) and Thomas Tweddell (M.Sc.)
 
  4.6 Management of the supply risk in the commodity sector: use of satellite teledetection data
Researchers:   Denis Larocque, Pierre-Majorique Léger and Lenny Wall (M.Sc.)
 
  4.7 Usage de produits dérivés par les compagnies canadiennes
Researchers:   Hatem Ben Ameur, Michèle Breton, Steve Fortin (McGill), Pascal François, Michel Magnan (Concordia) and Nicolas Papageorgiou
 
  4.8 Estimation des paramètres de certains modèles de risque de crédit
Researchers:   Geneviève Gauthier, Jean-Guy Simonato and Jin Chuan Duan (Ph.D.)
 
  4.9 Évaluation de la VaR d'un portefeuille de produits dérivés sur taux d'intérêt canadien et américain
Researchers:   Geneviève Gauthier and Mélissa Tremblay (M.Sc.)
 
  4.10 Risk Management, Governance and Executive compensation: A paradox
Researchers:   Michel Magnan (Concordia), Steve Fortin (McGill) and Lilia Rekik (Post-Doc)
 
  4.11 La gouvernance et les déterminants de la gestion des risques
 Researchers:   Narjess Boubakri and Hatem Ghouma (Ph.D.)
 
  4.12 Improving Lattice Schemes Through Bias Reduction
 Chercheurs : Michel Denault, Geneviève Gauthier and Jean-Guy Simonato
 COMPLETED
 
  4.13 Évalutaion de la VaR d'un portefeuille de produits dérivés sur taux d'intérêt
 Chercheurs : Geneviève Gauthier, Simon Lalancette and Philippe Hynes (M.Sc.)
 COMPLETED
 
  4.14 L'effet des options implicites sur l'écart de crédit des obligations corporatives
 Chercheurs : Geneviève Gauthier and Seif Mohamed Khechine (M.Sc.)
 COMPLETED
 
  4.15 Évaluation et calibrage des modèles de CDO
 Chercheurs : Geneviève Gauthier, Hatem Ben Ameur and Diego Amaya (M.Sc.)
 
  4.16 Bayesian finite mixture modelling with applications to high frequency financial data
Researchers:   Jeroen Rombouts, Luc Bauwens and Viorel Maxim (M.Sc.)
 
  4.17 Heterogenous Basket Options Pricing Using Analytical Approximations
 Researchers:   Georges Dionne, Geneviève Gauthier, Nadia Ouertani (Ph.D.) and Nabil Tahani (Ph.D.) - COMPLETED
 

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  5. Employment relations, productivity and performance in the financial new economy
 
  5.1 Employment relations in the new economy
Researchers:   Benoit Dostie and Lars Vilhuber
 
  5.2 New economy and productivity of firms
Researchers:   Benoit Dostie and Mathieu Trépanier (M.Sc.)
 
  5.2 Les rendements de la formation en entreprise
Researchers:   Benoit Dostie and Marie-Pierre Pelletier (M.Sc.)
 
  5.4 Are We There Yet? Looking for Evidence of a New Economy
Researcher:  Simon Van Norden
5.5 Modelling Domestic Violence
Researchers:  Benoit Dostie and Rajshri Jayaraman (University of Munich)
5.6 La gestion des risques des dirigeants
 Researchers:   Narjess Boubakri, Georges Dionne and Nabil Ghalleb (Ph.D.)
5.7 Does privatization lead to institutional change?
 Researchers:   Jean-Claude Cosset, Narjess Boubakri et Houcem Smaoui (Ph.D.)
5.8 Enquête sur le milieu de travail et les employés (EMTE) de Statistique Canada 1999-2002
 Researchers:   Benoit Dostie et Marie-Pierre Pelletier (M.Sc.)

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  Research Projects on New Financial Economy (e-finance)
July 2002 - updated December 2002
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Last updated: March 23, 2006
Centre for research on e-finance, cref@hec.ca
© HEC Montréal, 2003. All rights reserved.
HEC Montréal