Olfa Maalaoui, a Ph.D. student in Finance at HEC Montréal, received the Risk Management Research Award at the 2008 European Financial Management Association (EFMA), held in June in Athens. This very prestigious award comes with a prize of US$2,500 from the Global Association of Risk Professionals (GARP).

In the paper, Ms. Maalaoui presented a model identifying the significant determinants of credit spread changes in bond return rates. The original model, covered in one chapter of her PhD thesis, was applied to data concerning bonds held by US insurance companies.

Her thesis is entitled "Determinants of Credit Spread Changes within Switching Regimes." Georges Dionne, holder of the Canada Research Chair in Risk Management, and Pascal François, a Professor in the Department of Finance, co-directed Ms. Maalaoui's research work and co-authored the winning paper.

The award committee consisted of:

• Georges Constantinides, Graduate School of Business, University of Chicago;
• Chris Donohue, Research Center, Global Association of Risk Professionals;
• Rudi De Koker, Risk Analytics, the Royal Bank of Scotland;
• Salih Neftci, Global Finance Program, the New School, New York;
• Anthony Saunders, Stern School of Business, New York University.

In addition to this award. Ms. Maalaoui was invited to present her work at a GARP research meeting.

The EFMA
The European Financial Management Association was established in 1994 and has become a global leader in developing and disseminating knowledge about financial decision-making tools. In addition to providing opportunities for professional interaction among academics, practitioners and students, the Association promotes the development and understanding of basic and applied research in this field and of sound financial management practices.

GARP
The Global Association of Risk Professionals (GARP), is an association consisting of over 76,000 individuals from more than 150 countries. Members are involved in financial risk management and work in all industrial and financial sectors, including banks and insurance companies.

Kodjovi Assoé, Associate Professor in the Department of Finance, has won a Bernstein Fabozzi/Jacobs Levy Award in the "Outstanding Articles" category, for his article entitled "The Relative Importance of Asset Allocation and Security Selection." The article, co-authored by Jean-François L'Her and Jean-François Plante, of the Caisse de dépôt et placement du Québec, is one of three deemed exceptional out of all the articles published in the Journal of Portofolio Management between fall 2006 and summer 2007.

In their paper the co-authors presented the findings of a study examining hte relative importance of the two main investment activities, i.e. asset allocation among various classes (stocks, bonds, etc.) and security selection, in portfolio performance.

They used a purely normative framework, but added a more representative opportunity set for asset allocation, an unbiased dataset for stocks and a modified security selection methodology that ensures strict uniformity with asset allocation rebalancing rules.

Their results do not support a clear hierarchy of investment choice. The extent to which asset allocationor security selection generates dispersion in active return was found to be largely time-dependent.

Excellence in portfolio management theory and practice

The Bernstein Fabozzi/Jacobs Levy Awards were established in 1999 to promote excellence in the theory and practice of portfolio management. This tribute is all the more prestigious in that it reflects a broad industry consensus, since it is based on voting by all suscribers to the Journal of Portfolio Management.

The Journal of Portfolio Management

The Journal of Portfolio Management publishes cutting-edge research on asset allocation, performance measurement, market trends, risk management, and portfolio optimization. Contributors to the Journal are the industry's foremost academics and practitioners.
 

Narjess Boubakri, Associate Professor in the Department of Finance, Jean-Claude Cosset, Full Professor in the Department of International Business, and Anis Samet, PhD student in Administration, shared the award for the Best Paper in International Finance at the Annual Conference of the Midwest Finance Association, held in San Antonio, Texas in February. They received the distinction, sponsored by Wharton Research Data Services (WRDS), for their paper entitled The Choice of American Depositary Receipts (ADRs).

The primary goal of the winning paper, inspired by the first draft of Anis Samet's PhD thesis, was to study the determinants in a firm's decision to issue one of the American Depositary Receipt (ADR) programs (level I, Level II, Level III, Rule 144A). The authors show that the firm's attributes (its size, income, asset growth, leverage, privatization, ownership structure and country of origin) and the institutional variables in the country of origin (accounting rating and legal protection of minority shareholders) shape the choice.

The second objective of the paper was to examine issuing activity and the determinants of the choice of ADR before and after the enactment of the Sarbanes-Oxley (SOX) Act. The authors found that post-SOX, firms from emerging markets and from countries with weak legal protection of minority shareholders reallocated their choices among the various ADR programs.

The Midwest Finance Association (MFA), founded in 1951, brings together academics and practitioners with an interest in financial management and financial theory. The MFA Annual Conference in 2008 was attended by researchers and practitioners from over 40 countries.

Members of the HEC Montréal commmunity and numerous guests turned out on November 7, at the School, for a heart-warming research and teaching awards ceremony. It was an opportunity to salute the exceptional achievements of professors and researchers over the past year.

Pierre-Laurin Award

Award recognizing research conducted over the past three years by a full professor or researcher or a guest professor at that level.

Winners (tied): Bruno Rémillard, Full Professor in the Department of Management Sciences, and Bernard Sinclair-Desgagné, holder of the Chair in International Economics and Governance.

Chenelière Éducation/Gaëtan Morin Award

This award recognizes research conducted over the past three years by an associate professor or researcher or a guest professor at that level.

Winner: Pascal François, Associate Professor in the Department of Finance.

Financial Engineering: Sébastien Forté Excels on Two PRMIA Exams

Sébastien Forté, an MSc student in the Financial Engineering option, turned in an exceptional performance on two of the four examinations in the Professional Risk Managers International Association (PRMIA) certification program, with a perfect score on Examination II, Mathematical Foundations of Risk Management, and the top mark on Examination III, Risk Management Best Practices. This is quite a feat, since out of the 2,069 canadidates from 94 countries currently enrolled in the certification program, only four achieved perfect scores on any of the four examinations held in the first term of 2007. Now that he has passed all four exams in the certification program, Sébastien has been awarded the title of Professional Risk Manager from the PRMIA.

PRMIA Professional Risk Manager: international recognition

The title of Professional risk Manager conferred by the PRMIA is one of the highest standards in risk management certification. It is viewed as an international benchmark for evaluating the knowledge, skills and integrity of experts in this field. The Association's certification program covers a number of specialities, including derivatives, credit risk, market risk, operational risk and risk management mathematics.

PRMIA was founded in 2002, and numbers some 42,000 members in 176 countries, with local chapters in over 60 countries, including one in Montréal. The non-profit Association promotes best practices in risk management and offers professional development programs, including upwards of 400 on-line courses, and publications. It also provides scholarships and research grants.

The Financial Engineering option of the HEC Montréal MSc program

The Financial Engineering option of the HEC Montréal MSc program trains specialists in two disciplines, helping them to apply high-level mathematical skills to finance. Many of the students enrolled in this option have undergraduate degrees in actuarial science, engineering and mathematics. The School offers an advanced study and work environment, thanks in particular to the National Bank Financial trading room and the Finance and Insurance Calculation Laboratory (LACFAS). In 2006, the placement rate for Financial Engineering option graduates was 100%.

Georges Dionne Receives the Best Paper Award
 

Professor Georges Dionne, holder of the Canada Research Chair in Risk Management, received the Best Canadian Financial Market Paper Award for a research paper entitled Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. Professor Dionne co-wrote the article with Professor Pierre Duchesne of the Université de Montréal and Professor Maria Pacurar of the Dalhousie University School of Business Administration.

The Authors received this distinction at the Northern Finance Association conference, held in Montréal from September 15 to 17.

The prestigious award comes with a $1,000 purse from the Bank of Canada, which also invited the authors to present their research findings at the institution.

A second world-class award

For the authors, this was the second world-class award earned for their research. Professor Dionne, Duchesne and Pacurar received the Award for the Best Paper in Risk Management at the conference of the Financial Management Association International, in Stockholm in June 2006.

Professor Pacurar defended her doctoral thesis in finance, co-directed by Professors Dionne and Duchesne, on June 1 at HEC Montréal.

An innovative model applied to Toronto Stock Exchange data

In their paper the authors presented a risk measurement model using intraday data; the model is covered in one chapter of Dr. Pacurar's thesis. This innovative model was applied to financial data from the Toronto Stock Exchange.

The Northern Finance Association

Every year, the Northern Finance Association holds an international conference in a North American city, bringing together academics, students and professionals from around the globe interested in all areas of finance. The latest conference was organized by Martin Boyer, Full Professor in the Department of Finance, and Director of the Assurances et gestion des risques journal.

Professor Jean-Claude Cosset elected to the Royal Society of Canada

Professor Jean-Claude Cosset is one of the 82 new
fellows, two foreign fellows and one specially elected fellow elected in 2006 to the Academies of Arts, Humanities and Sciences of the Royal Society of Canada (RSC), the most prestigious scholarly society in Canada. All these new members will be officially inducted into the Society at a ceremony on November 19.

An internationally renowned researcher, Jean-Claude Cosset
is a full professor with the Department of International Business. Before joining HEC Montréal, in 2004, he directed
the Centre de recherche en économie et finance appliquées and the Département de finance et assurance at Université Laval, and was also a visiting professor at several European and American universities. He holds a PhD in Business
Administration, majoring in Finance, from Columbia University.

Professor Cosset's fields of expertise include international business and risk management in international business, areas in which he has made substantial contributions to advancing knowledge. His work on developing countries, including examinations of the performance of privatized businesses in emerging markets, continue to have considerable economic and social impact. His innovative studies on the foreign exchange market pointed to the presence of a risk premium and showed the efficiency of this market. He is currently directing a wide-ranging research project on the governance and performance of businesses in an international context.

He is a prolific author, widely cited by his peers; many of the some thirty articles he has published are considered classics in their field. His articles, often co-authored with colleagues or doctoral students, have appeared in the leading peer-reviewed journals in finance, economics and international affairs, including the Journal of Finance, the Journal of Financial Economics, the Journal of Banking and Finance, the Journal of International Economics and the Journal of International Business Studies.

Professor Cosset is also very involved as a referee and a member of editorial committees of scientific journals. In 2005, the Journal of International Business Studies ranked him eighth in a list of the leading international business researchers, by representation on editorial boards of international business journals. He is also the Quebec author who has published the most articles in the Journal of International Business Studies, the scientific journal of the Academy of International Business.

A sought-after speaker, he has been invited in recent years to describe his research at events in many cities around the world, including Hong Kong, Nairobi, Milan and Washington. He has served as thesis director for 30 graduate students and 8 postgraduate students.

From May 2003 to June 2006, Professor Cosset chaired, as Scientific Director, the research committee and scholarship awards committee at the Institut de finance mathématique de Montréal (IFM2), a Quebec government organization that supports scientific research. He is currently a member of the Inter-university centre on risk, economic policy and employment (CIRPÉE) and member of the Centre for research on e-finance.

Financial Management Association International: Maria Pacurar receives the award for the Best Paper in Risk Management

Maria Pacurar, who defended her PhD thesis in Finance on June 1 at HEC Montréal, received the Award for the Best Paper in Risk Management at the 2006 Conference of the Financial Management Association International (FMA), held in Stockholm in June. This very prestigious award comes with a purse of 1,000 euros, offered by the Professional Risk Managers’ International Association (PRMIA).

Robert Engle, co-winner of the Nobel Prize in Economic Sciences in 2003, and a Professor at New York University, and award winner Maria Pacurar, from HEC Montréal.

In her paper Dr. Pacurar described a model for calculating value at risk, using intraday data. The original model, covered in one chapter of her PhD thesis, was applied to financial data from the Toronto Stock Exchange.  

Over the summer, she will be presenting her model at four other international conferences, in Paris, Madrid, Vienna and Salt Lake City. Note that Georges Dionne, holder of the Canada Research Chair in Risk Management, and Pierre Duchesne, a Professor in the Mathematics and Statistics Department of the Université de Montréal, co-directed Dr. Pacurar’s research work.  

The Financial Management Association International

The FMA was established in 1970 and has become a global leader in developing and disseminating knowledge about financial decision making.

In addition to providing opportunities for professional interaction among academics, practitioners and students, the Association promotes the development and understanding of basic and applied research in this field and of sound financial practices.

Georges Dionne appointed Editor-in-chief of The Journal of Risk and Insurance

The American Risk and Insurance Association (ARIA) has appointed Professor Georges Dionne, holder of the Canada Research Chair in Risk Management, Editor-in-Chief of the Journal of Risk and Insurance. He will start his three-year
term on January 1, 2007.

The Journal of Risk and Insurance, official publication of the ARIA, is the world's best-known scientific publication on risk management and insurance. It is indexed in the American Economic Association's Economic Literature Index, The
Journal Citation Report, The Finance Literature Index, The Social Sciences Citation Index, ABI/Inform, Business and Company ASAP, Lexis-Nexis, Dow Jones Interactive , and
many others.

Georges Dionne, an ARIA member since 1978, is an internationally reputed researcher and has contributed in many ways to the development of risk management. The field is traditionally associated with the insurance industry, but has now extended to other sectors that closely concern not only businesses, but also individuals and society as a whole. Professor Dionne has designed risk management models with applications in such fields as insurance, banking, road safety, environmental risks and finance.

He has authored over 125 articles in such internationally renowned scientific journals as The Journal of Political Economy, The Review of Economics and Statistics, The Review of Economic Studies, The Journal of Risk and Uncertainty, The International Economic Review and, of course, The Journal of Risk and Insurance. He has edited or co-edited five books, including Contributions to Insurance Economics and the Handbook of Insurance.

He has also received numerous awards for his publications, including the Mehr Award, a distinction presented in 1992 for a paper, published ten years earlier, which had stood the test of time, and the Kulp-Wright Award, in 2002, for his Handbook of Insurance, which has become a classic reference work in insurance and risk management. Both these awards were presented by the ARIA.

Note that Professor Dionne, who was Director of the Assurances et gestion des risques journal for eight years, is now a member of the editorial board of seven international periodicals, including The Journal of Risk and Insurance and The Journal of Risk and Uncertainty. He is currently a member of the Centre for research on e-finance.
 

2005 Research and Teaching Awards
Award for the use of technology in teaching

This award honours the best multimedia teaching material or material using new information technology produced during the year.

Winner: Pierre-Majorique Léger, Assistant Professor, Department of Information Technologies, for Simulation SAP - HEC Montréal, a teaching tool for BBA and MBA students, used to teach the operation of integrated management software packages.

Left to right: Director Jean-Marie Toulouse,
Céline Bareil, winner of the Roger Charbonneau Award,
Alain d'Astous, winner of the François-Albert Angers Award, and
Pierre-Majorique Léger, winner of the Award.

2004 Research and Teaching Awards

HEC Montréal saluted the exceptional achievements of two members of the Centre for Research on E-finance.

Mrs. Michèle Breton, Director, Centre for Research on E-finance, and Full Professor in the Department of Management Sciences won the Pierre-Laurin Award. This award recognizes research conducted over the past three years by a full professor or researcher at that level.

Mr. Désiré Vencatachellum, Associate Professor with the Institute of Applied Economics, won the Chenelière Éducation/Gaëtan Morin Award. This award recognizes research conducted over the past three years by an associate professor or researcher at that level.

Left to right: HEC Montréal Director Jean-Marie Toulouse, Michèle Breton, winner of the Pierre Laurin Award, and Désiré Vencatachellum, winner of the Chenelière Éducation/Gaëtan-Morin. 

Venice, September 22-23, 2005

C.R.E.D.I.T. 2005
Counterparty Credit Risk

     Program

International Conference on New Financial Market Structures
- Public Conference

     Program

Venice, September 30 - October 1, 2004

C.R.E.D.I.T. 2004
Validation of Credit Risk Models

     Program

Statistical Society of Canada: Bruno Rémillard Wins the Award for Best Article 2003

Bruno Rémillard, a full professor with the Department of Management Sciences, has received the award for the best article of 2003 from The Canadian Journal of Statistics, for his article entitled Nonparametric weighted symmetry tests.

    HEC Headlines

June 11, 2004

Journée tutoriale
Jeux dynamiques en finances

     Program

April 15-16, 2004

Second International Conference on Credit Risk
- Public Conference

     Program

January 16, 2004

Risk Management: A promising field of research at HEC Montréal

The Risk Management Chair at HEC Montréal, supported by the Canada
Research Chairs Program, will henceforth be known as the
Canada Research Chair in Risk Management. The Chair is held by
Professor Georges.Dionne.

     HEC Headlines

October 29, 2003

The new Canada Research Chair in Risk  Management receives $258,000 for  infrastructure

 Georges Dionne - Member of the Centre for Research on e-finance
 Canada Research Chair in Risk Management
 Canada Research Chairs

 Télécharger (PDF)

October 23, 2003

Risk Management Chair :
A New Canada Research Chair

 Georges Dionne - Member of the Centre for Research on e-finance
 Canada Research Chair in Risk Management
 Canada Research Chairs

November 18, 2002

HEC Montréal receives four million dollars for the creation of a  research center on e-finance