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ISSN : 1206-3304.
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2012
©
Canada Research Chair in Risk Management, 2012
2011
©
Canada Research Chair in Risk Management, 2011
2010
© Canada Research Chair in Risk Management, 2010
Number
|
Title
|
Authors
|
|
10-01 |
Corporate risk management and dividend signaling
theory
(Finance Research Letters 8, 188-195, December 2011) |
G. Dionne
K. Ouederni |
|
10-02 |
Extremal Events in a Bank Operational Losses
(Journal
of Operational Risk 5, 2, 63-78, Summer 2010,
with a new title: "A practical application of extreme value theory to operational
risk in banks") |
H. Dahen
G. Dionne
D. Zajdenweber |
|
10-03 |
Does Asymmetric Information Affect the Premium in
Mergers and Acquisitions? |
G. Dionne
M. La Haye
A.S.
Bergerès |
|
10-04 |
The Impact of Prudence on Optimal Prevention Revisited
(Economics Letters 113, 147-149, November 2011) |
J. Li
G. Dionne |
|
10-05 |
Separating Moral Hazard from Adverse Selection and
Learning in Automobile Insurance: Longitudinal Evidence from France
(Forthcoming in Journal of
the European Economic Association) |
G. Dionne
P.C. Michaud
M. Dahchour |
|
10-06 |
A Reduced Form Model of Default
Spreads with Markov-Switching Macroeconomic Factors
(Journal of Banking and Finance 35, 8, 1984-2000, August 2011) |
G. Dionne
G. Gauthier
K. Hammami
M. Maurice
J.G. Simonato |
|
10-07 |
Le calcul de la valeur statistique d'une vie humaine
(L'Actualité économique 86, 4, 487-530, December 2010) |
G. Dionne
M. Lebeau |
|
10-08 |
A Theoretical Extension of the Consumption-based CAPM
Model |
J. Li
G. Dionne |
2009
© Canada Research Chair in Risk Management, 2009
Number
|
Title
|
Authors
|
|
09-01 |
Credit Spread Changes
Within Switching Regimes |
O. Maalaoui Chun
G. Dionne
P. François |
|
09-02 |
On the Determinants of the Implied Default Barrier
(Journal of Empirical Finance 19, 395-408, June 2012) |
G. Dionne
S. Laajimi |
|
09-03 |
Basket Options on Heterogeneous
Underlying Assets
(Forthcoming in Journal of Futures Markets with a new title: "Risk
management of non-standard basket options with different underlying
assets") |
G. Dionne
G. Gauthier
N. Ouertani |
|
09-04 |
Performance Analysis of a
Collateralized Fund Obligation (CFO) Equity Tranche
(Forthcoming in The European Journal of Finance) |
S. Aboul-Enein
G. Dionne
N. Papageorgiou |
|
09-05 |
Analyse empirique des
historiques d’infractions au code de la route
(Pour une économie de la sécurité routière, L. Carnis et D.
Mignot, Economica, p. 123-139, 2012) |
G. Dionne
J. Pinquet |
|
09-06 |
Structured Finance, Risk Management, and the Recent
Financial Crisis
(Ivey
Business Journal, November-December 2009) |
G. Dionne |
|
09-07 |
Finance structurée, gestion des risques et récente
crise financière
(Risques, 80,
122-127, December 2009) |
G. Dionne |
2008
© Canada Research Chair in Risk Management, 2008
2007
© Canada Research Chair in Risk Management, 2007
2006
© Canada Research Chair in Risk Management, 2006
Number
|
Title
|
Authors
|
|
06-01 |
Heterogeneous Basket Options Pricing Using Analytical
Approximations
(Multinational
Finance Journal 15, no. 1/2, 47-85,
March/June 2011) |
G. Dionne
G. Gauthier
N. Ouertani
N. Tahani |
|
06-02 |
Adverse Selection in the Market for Slaves in Mauritius,
1825-1835
(Review of
Economic Studies 76, 1269-1295, 2009) |
G. Dionne
P. St-Amour
D. Vencatachellum |
|
06-03 |
Les méthodes de tarification des options paniers |
N. Ouertani |
|
06-04 |
Predicted Risk Perception and Risk-taking Behavior: The Case
of Impaired Driving
(Journal of Risk and Uncertainty
35,
3, 237-264, 2007) |
G. Dionne
C. Fluet
D. Desjardins |
|
06-05 |
Estimation of the Default Risk of Publicly Traded Canadian
Companies (Canadian Journal of Administrative Sciences, 25, 2,
134-152, 2008) |
G. Dionne
S. Laajimi
S. Mejri
M. Petrescu |
|
06-06 |
Efficiency of Insurance Firms with Endogenous Risk
Management and Financial Intermediation Activities
(Journal of Productivity Analysis,
32, 2,
145-159, 2009) |
J.D. Cummins
G. Dionne
R. Gagné
A. Nouira |
|
06-07 |
Lottery Qualities
(Journal of Risk and Uncertainty,
32,
195-216, 2006) |
Y. Alarie
G. Dionne |
|
06-08 |
Consolidation and Value Creation in the Insurance Industry:
The role of
Governance
(Journal of Banking and Finance,
32, 56-68, 2008) |
N. Boubakri
G. Dionne
T. Triki |
|
06-09 |
Book review of Foundations of Economic Analysis of Law,
Shavell, S., The Belknap Press of
Harvard University Press, 2004
(Journal of Risk and Insurance 73, 4,
737-743, 2006) |
G. Dionne |
|
06-10 |
Autoregressive Conditional Duration (ACD) Models in Finance: A Survey of the
Theoretical and Empirical Literature
(Journal of
Economic Surveys 22, 4, 711-751) |
M. Pacurar |
|
06-11 |
Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle
(Economics Letters
100, 304-307, 2008) |
O. Chakroun
G. Dionne
A. Dugas-Sampara |
|
06-12 |
The Value of a Statistical Life: A Meta-Analysis with a
Mixed Effects Regression Model
(Journal of Health Economics
28, 2,
444-464, 2009) |
F. Bellavance
G. Dionne
M. Lebeau |
2005
© Canada Research Chair in Risk Management, 2005
|
Number
|
Title
|
Authors
|
|
05-01 |
Exotic Options Pricing under Stochastic Volatility |
N. Tahani |
|
05-02 |
Testing Explanations of Preference Reversal: A Model |
Y. Alarie
G. Dionne |
|
05-03 |
Risk
Management and Corporate Governance: The Importance of Independence and
Financial Knowledge for the Board and the Audit Committee |
G. Dionne
T. Triki |
|
05-04 |
Research
on Corporate Hedging Theories:
A
Critical Review of the Evidence to Date
(ICFAI Journal of Financial Economics IV, 14-40, 2006) |
T. Triki |
|
05-05 |
New Evidence on the Determinants of Absenteeism Using Linked
Employer-Employee Data
(Industrial and Labor Relations Review
61,
1, 108-120.) |
G. Dionne
B. Dostie |
|
05-06 |
Mesure des effets incitatifs à
la prudence au volant créés par les sanctions et évaluation du pouvoir prédictif
des infractions sur le risque routier |
G. Dionne
J. Pinquet |
|
05-07 |
Modélisation et estimation
des effets individuels et d'entreprise avec des données de panel: une
application aux flottes de véhicules
(Insurance
and Risk Management
73, 4,
457-497, 2006) |
J.F. Angers
D. Desjardins
G. Dionne
F. Guertin |
|
05-08 |
Default Risk in
Corporate Yield Spreads
(Financial Management,
39, 2, 707-731, 2010) |
G. Dionne
G. Gauthier
K. Hammami
M. Maurice
J.G. Simonato |
|
05-09 |
Intraday Value at Risk
(IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
(Journal of Empirical Finance 16, 5, 777-792, 2009) |
G. Dionne
P. Duchesne
M. Pacurar |
© Canada Research Chair in Risk Management, 2004
|
Number
|
Title
|
Authors
|
|
04-01
|
|
K. Dachraoui
G. Dionne
|
|
04-02 |
La
perception des risques d'accident et d'arrestation lors de conduite avec
facultés affaiblies
(Insurance
and Risk Management
72, 3, 491-553,
2004) |
G. Dionne
C. Fluet
D. Desjardins
S. Messier
|
|
04-03 |
|
Y. Alarie
G. Dionne
|
04-04
|
On Risk Management Determinants: What Really
Matters?
(Forthcoming in
European Journal of
Finance) |
G. Dionne
T. Triki
|
04-05
|
|
G. Dionne
P.C. Michaud
M. Dahchour
|
|
04-06 |
Book Review of Credit Risk: Pricing, Measurement, and Management
(Journal of Risk and
Insurance
72,
1, 177-182, 2005) |
G. Dionne |
|
04-07 |
Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of
Vehicles
(Astin Bulletin, 36, 1, 25-77) |
J.F. Angers
D. Desjardins
G. Dionne
F. Guertin |
2003
© Research Chair in Risk Management, 2003
|
Number
|
Title
|
Authors
|
|
03-01
|
Banks’ Capital,
Securitization and Credit Risk:
An
Empirical Evidence for Canada
(Insurance and Risk Management
75, 4, 459-485, 2008) |
G. Dionne
T. Harchaoui |
|
03-02 |
Comparative Mixed Risk Aversion: Definition
and
Application to
Self-Protection and Willingness to Pay
(Journal of Risk and Uncertainty
29, 3, 261-276, 2004) |
K.
Dachraoui
G.
Dionne
L.
Eeckhoudt
P.
Godfroid |
|
03-03 |
Valuing Credit
Derivatives Using Gaussian Quadrature: A Stochastic Volatility Framework
(Journal of Futures Markets
24, 1, 3-35, 2004)
|
N. Tahani |
|
03-04 |
Risk
Management and Corporate Governance
(Risk
17, 5, S19-S21, 2004) |
D. Blanchard
G. Dionne |
|
03-05 |
|
S. Lalancette
F. Leclerc
D. Turcotte |
|
03-06 |
Modèle bayésien
de tarification de l’assurance des flottes de véhicules
(L'Actualité économique 80, 2-3, 253-303, 2004) |
J.F. Angers
D. Desjardins
G. Dionne |
|
03-07 |
The (1992)
Bonus-Malus System in Tunisia: An Empirical Evaluation
(The Journal of Risk and
Insurance 72, 4, 609-633, 2005) |
G. Dionne
O. Ghali |
|
03-08 |
The
Foundations of Banks’ Risk Regulation: A Review of the Literature
(The Evolving Financial
System and Public Policy, Proceedings
of a conference, Bank of Canada, 177-215, December 2003) |
G. Dionne |
2002
© Research Chair in Risk Management, 2002
|
Number
|
Title
|
Authors
|
|
02-01
|
Statistical Analysis of
Value-of-Life Estimates Using Hedonic Wage Method |
G. Dionne
P.C. Michaud |
|
02-02 |
How to Make a Public Choice About the
Value of a Statistical Life: The Case of Road Safety
(Journal
of Transport Economics and Policy
38, 2, 247-274, 2004) |
G. Dionne
P. Lanoie
|
|
02-03 |
Book Review of Risk Management
(Journal
of Risk and Insurance 69, 4, 605-610, 2002) |
H. Dahen
G. Dionne |
|
02-04 |
Les
déterminants du comportement des banques canadiennes en matière de titrisation
(Assurances
70, 4, 649-676, 2003) |
R. Aqdim
G.
Dionne
T.
Harchaoui |
|
02-05 |
Optimal Auditing for Insurance Fraud
(Management
Science
55, 58-70, 2009) |
G.
Dionne
F.
Giuliano
P.
Picard |
|
02-06 |
Traffic Safety Diagnostic and Application of Countermeasures for Rural Roads in
Burkina Faso
(Transportation
Research Record
1846, 2003, 39-43) |
D. Lord
H.M.
Abdou
A. N'Zué
G.
Dionne
C.
Laberge-Nadeau |
2001
© Research Chair in Risk Management, 2001
|
Number
|
Title
|
Authors
|
|
01-01
|
Stochastic Dominance and
Optimal Portfolio
(Economics
Letters 71, 347-354, 2001) |
K. Dachraoui
G. Dionne |
|
01-02 |
Optimal Cognitive Processes for Lotteries |
Y. Alarie
G. Dionne |
|
01-03
|
La perception du risque d'être
arrêté
chez les camionneurs et transporteurs routiers
(Assurances
69, 1, 61-104, 2001) |
G. Dionne
D. Desjardins
M-G. Ingabire
R. Aqdim |
|
01-04 |
Commitment and Automobile Insurance Regulation
in France, Quebec and Japan
(Deregulating
Property-Liability Insurance, J.D. Cummins, Ed., AEI-Brookings, Washington,
362-390, 2001) |
G. Dionne |
|
01-05 |
The Role of Memory in Long-Term Contracting
with Moral Hazard:
Empirical Evidence in Automobile Insurance
(An extended version published in The Review of Economics and Statistics
93, 1, 218-227) |
G. Dionne
M. Maurice
J. Pinquet
C. Vanasse |
|
01-06 |
Pricing of automobile insurance in presence of
asymmetric information : a study on panel data |
M. Dahchour
G. Dionne |
|
01-07 |
|
R. Ferland
S. Lalancette |
|
01-08 |
Les assureurs français ont-ils intérêt
à utiliser les points de permis pour tarifer l’assurance automobile?
(Assurances
69, 3, 423-462, 2001) |
M. Dahchour |
|
01-09 |
Un modèle de tarification optimal pour l’assurance
automobile dans le cadre d’un marché réglementé: application
à la Tunisie
(Assurances
69, 4, 589-601, 2002) |
O. Ghali |
|
01-10 |
Appariement de l’actif et du passif d’un assureur
vie par l’utilisation de produits dérivés
(Assurances
69, 4, 565-588, 2002) |
N. Laporte |
2000
© Research Chair in Risk Management, 2000
|
Number
|
Title
|
Authors
|
00-01
|
|
G. Dionne
R. Gagné
|
00-02
|
|
J-A. Cliche
|
00-03
|
|
D. Desjardins
G. Dionne
J. Pinquet
|
00-04
|
|
G. Dionne
|
00-05
|
Adverse Selection in Insurance
Markets
(Handbook
of Insurance, G. Dionne, Ed., Kluwer Academic Publishers, Boston, 185-243,
2000)
|
G. Dionne
N. Doherty
N. Fombaron
|
00-06
|
|
Y.Alarie
|
00-07
|
Credit Spread Option Valuation under GARCH
(Journal of Derivatives, 14, 1, 27-39, 2006) |
N. Tahani
|
00-08
|
|
B. Coestier
|
00-09
|
|
G. Dionne
M. Garand
|
00-10
|
|
K.Dachraoui
G. Dionne
L. Eeckhoudt
P. Godfroid
|
00-11
|
|
G. Dionne
M. Garand
|
00-12
|
|
K. Dachraoui
G. Dionne
|
© Research Chair in Risk Management, 1999
|
Number
|
Title
|
Authors
|
99-01
|
|
K. Dachraoui
G. Dionne
L. Eeckhoudt
P. Godfroid
|
99-02
|
|
G. Dionne
D. Desjardins
J. Pinquet
|
99-03
|
|
K. Dachraoui
G. Dionne
|
99-04
|
|
G. Dionne
C. Fluet
|
99-05
|
|
M. M. Boyer
|
1998
© Research Chair in Risk Management, 1998
|
Number
|
Title
|
Authors
|
98-01
|
|
G. Dionne
|
98-02
|
The Informational Content
of Household Decisions with Applications to Insurance Under Adverse Selection
(Journal
of Political Economy 109, 444-453, 2001; longer version in:
Competitive Failures in
Insurance Markets, P.A. Chiappori and C. Gollier Eds, MIT Press Book,
159-184, 2006.) |
G. Dionne
C. Gouriéroux
C. Vanasse
|
98-03
|
|
K. Dachraoui
G. Dionne
|
98-04
|
|
M.M. Boyer
|
98-05
|
A Rationale for Borrowing More than Needed
|
M.M. Boyer
|
98-06
|
|
G. Dionne
C. Laberge-Nadeau
D. Desjardins
S. Messier
U. Maag
|
98-07
|
The Estimation of Deposit Insurance with Interest
Rate Risk
(Journal
of Empirical Finance
9, 109-132, 2002)
|
J.C. Duan
J.G. Simonato
|
98-08
|
|
K. Dachraoui
G. Dionne
|
98-09
|
Evidence of Adverse Selection
in Automobile Insurance Markets
(Automobile
Insurance: Road Safety, New Drivers, Risks, Insurance Fraud and Regulation,
G. Dionne and C. Laberge-Nadeau, Ed., 13-46, 1999)
|
G. Dionne
C. Gouriéroux
C. Vanasse
|
98-10
|
|
S. Spaeter
|
98-11
|
|
S. Spaeter
|
98-12
|
|
G. Dionne
S. Spaeter
|
98-13
|
|
M.M. Boyer
|
98-14
|
|
C. Nyce
M.M. Boyer
|
98-15
|
|
P. André
D. Côté
R. Morissette
|
98-16
|
|
G. Dionne
|
98-17
|
|
Y. Alarie
G. Dionne
|
98-18
|
|
G. Dionne
C. Laberge-Nadeau
U. Maag
D. Desjardins
S. Messier
|
© Research Chair in Risk Management, 1997
|
Number
|
Title
|
Authors
|
97-01
|
|
L. Bujold
G. Dionne
R. Gagné
|
97-02
|
|
G. Dionne
C. Laberge-Nadeau
U. Maag
D. Desjardins
S. Messier
|
97-03
|
|
L. Eeckhoudt
P. Godfroid
M. Marchand
|
97-04
|
|
E.B. Belhadji
G. Dionne
|
97-05
|
|
G. Dionne
R. Gagné
|
97-06
|
|
E.B. Belhadji
G. Dionne
|
97-07
|
|
P. Godfroid
|
97-08
|
Détermination des prix et des quantités
d'équilibre contingents : application à des fonctions d'utilités
usuelles
|
P. Godfroid
|
97-09
|
|
G. Dionne
M.G. Ingabire
|
97-10
|
|
M.M. Boyer
|
97-11
|
|
G. Dionne
F. Gagnon
K. Dachraoui
|
1996
© Research Chair in Risk Management, 1996
|
Number
|
Title
|
Authors
|
96-01
|
Corporate Insurance with Optimal Financial Contracting
(Economic
Theory 16, 1, 77-105, 2000)
|
B. Caillaud
G. Dionne
B. Jullien
|
96-02
|
|
L. Caron
G. Dionne
|
96-03
|
|
G. Dionne
C. Vanasse
|
|
|
 |
|
|
|
