Thank you for visiting my home page.

Since June 2015, I am an associate professor of finance at HEC Montreal, which I joined in 2010. I hold a professorship on the study of financial risk factors and derivatives, and I teach classes on investments (B.Com.) and derivatives (B.Com., M.Sc. and Ph.D.). I also act as scientific coordinator for the Canadian Derivatives Institute (CDI, former IFSID).

My research interests include asset pricing, credit risk, derivatives valuation, empirical corporate finance, financial econometrics, and risk management.

News

"Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options" is now accepted at the Review of Financial Studies.

⚬ "Low Inflation: High Default Risk AND High Equity Valuations", co-authored with Harjoat Bhamra, Alexandre Jeanneret and Michael Weber, is scheduled for presentation at the SFS Cavalcade, WFA, EFA and AFA! We are really looking forward to the amazing feedback!

Academic Positions

2015-present Associate Professor, HEC Montreal
2013-present Scientific Coordinator, Canadian Derivatives Institute (CDI)
2018-2019 Interim Head of the PhD Program in Finance, HEC Montreal
2016-2017 Visiting Scholar, University of Maryland
2010-2015 Assistant Professor, HEC Montreal

Work in progress

Bégin, J.F., C. Dorion, and G. Gauthier (2018). Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options (SSRN). [Accepted at the Review of Financial Studies]
    ⚬ Code generating the figures and tables. More to come.

Bhamra, H.S., C. Dorion, A. Jeanneret and M. Weber (2018). Low Inflation: High Default Risk AND High Equity Valuations. (SSRN).

Dorion, C., A. Ekponon and A. Jeanneret (2018). What Drives Corporate Asset Prices: Short- or Long-Run Risk? (SSRN).

Chaigneau, P., C. Dorion and K. Tewou (2018). Option-Implied Measures of Higher-Order Risk Aversion.

Dorion, C. and S. Heston (2018). The Cross-Section of Idiosyncratic Variance Risk Premiums.
Older Work
Dorion, C. and A. Jeanneret (2016). The Dynamics of the Equity Risk Premium.

Chapados, N. and C. Dorion (2013). Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility (SSRN).

Dorion, C., R. Elkamhi, and J. Ericsson (2010). Credit Default Swaps, Options and Systematic Risk.

Publications

Dorion (2016). Option Valuation with Macro-Finance Variables. Journal of Financial and Quantitative Analysis 51, 1359–1389. [SSRN]

Boyer, Dorion et Stentoft (2015). Les modèles factoriels et la gestion du risque de longévité. L'Actualité économique 91, 531–565.

Christoffersen, P. F., C. Dorion, K. Jacobs, and L. Karoui (2014). Nonlinear Kalman Filtering in Affine Term Structure Models. Management Science 60, 2248–2268. [SSRN, Internet Appendix]

Dorion, C., P. François, G. Grass and A. Jeanneret (2014). Convertible Debt and Shareholder Incentives. Journal of Corporate Finance 24, 38–56. [SSRN]

Christoffersen, P. F., C. Dorion, K. Jacobs, and Y. Wang (2010). Volatility Components, Affine Restrictions and Non-Normal Innovations. Journal of Business and Economic Statistics 28, 483–502. [SSRN]

Events Organized

IFSID Seventh Conference on Derivatives, September 20-21, 2018, Montreal
    ⚬ Keynote lecture by Mikhail Chernov
    ⚬ Congratulations to Fabrice Tourre for winning the Best Discussion Award!
    ⚬ Program

HEC Montreal & McGill Spring Finance Workshop, May 11-12, 2018, Montebello

IFSID Sixth Conference on Derivatives, September 14-15, 2017, Montreal
    ⚬ Keynote lecture by Pietro Veronesi
    ⚬ Congratulations to Vadim Elenev for winning the Best Discussion Award!
    ⚬ Program

IFSID Fifth Conference on Derivatives, September 15-16, 2016, Montreal
    ⚬ Keynote lecture by Kris Jacobs
    ⚬ Congratulations to David S. Bates for winning the Best Discussion Award!
    ⚬ Program

IFSID Fourth Conference on Derivatives, September 25-26, 2015, Montreal
    ⚬ Keynote lecture by Pierre Collin-Dufresne
    ⚬ Congratulations to Andra Ghent for winning the Best Discussion Award!
    ⚬ Program

HEC Montreal & McGill Winter Finance Workshop, March 5-7, 2015, Mont-Sainte-Anne (co-organized with Jan Ericsson and Alexandre Jeanneret)

IFSID Third Conference on Derivatives, September 25-26, 2014, Montreal
    ⚬ Keynote lecture by Francis Longstaff

IFSID & Bank of Canada Second Conference on Structured Products and Derivatives: Tail Risk, September 19-20, 2013, Montreal (co-organized with Jean-Sébastien Fontaine)
    ⚬ Keynote lecture by Michael Johannes

HEC Montreal's Winter Finance Workshop, March 14-16, 2013, Mont-Sainte-Anne (co-organized with Alexandre Jeanneret)

IFSID's First Conference on Structured Products and Derivatives, October 12-14, 2012, Montreal
    ⚬ Keynote lecture by Steve Heston

Desautels-HEC-Rotman Winter Finance Workshop, March 16-19, 2011, Mont-Tremblant (co-organized with Jan Ericsson and Peter Christoffersen)

Program Committees and Ad-Hoc Refereeing

2018 HEC-McGill Winter Finance Workshop; Paris December 2017 & 2018 Finance Meeting; 2016–2018 Northern Finance Association; 2016 & 2017 CBOE/FMA Conference on Derivatives and Volatility; 2014 Midwest Finance Association; International Journal of Forecasting; Journal of Applied Econometrics; Journal of Banking and Finance; Journal of Business and Economic Statistics; Journal of Empirical Finance; Journal of Finance; Journal of Financial and Quantitative Analysis; Journal of Financial Econometrics; Journal of Financial Markets; Journal of Futures Markets; Management Science; Quantitative Finance; Review of Derivatives Research; Revue Finance.

Presentations

  • Discussion on Volatility Uncertainty and the Cross-Section of Option Returns, by Jie Cao, Aurelio Vasquez, Xiao Xiao, and Xintong Zhan
    • 2018 Northern Finance Association Conference, September 21-23, Charlevoix, Canada.
  • Discussion on Efficient Parameter Estimation for Multivariate Jump-Diffusions, by François Guay and Gustavo Schwenkler
    • 2018 HEC-McGill Winter Finance Workshop, March 9, Banff, Canada.
  • Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options (formerly: The Pricing of Idiosyncratic Risk in Option Markets) at:
    • 2017 FMA/CBOE Conference on Derivatives and Volatility, November 9-10, Chicago, IL.
    • 2017 Northern Finance Association Conference, September 15-17, Halifax, Canada.
    • Sixth ITAM Finance Conference, June 2-3, 2017, Mexico City, Mexico.
    • 2017 ESSEC-Amundi Asset & Risk Management Workshop, April 26, 2017, Paris, France.
    • University of Washington, Department of Finance, March 13, 2017, Seattle, WA.
    • 2017 FMA Latin American Conference, February 16, 2017, Mexico City, Mexico.
    • 2016 Paris December Finance Meeting, December 20, 2016, Paris, France.
    • University of Houston, Department of Finance, November 30, 2016, Houston, TX.
    • National Bank of Canada, Market Risk, October 21, 2016, Montréal, Canada.
    • University of Maryland, Department of Finance, October 5, 2016, College Park, MD.
    • 2016 European Finance Association annual meeting, August 17-20, Oslo, Norway.
    • The 9th International Computational and Financial Econometrics, December 12-14, 2015, London, U.K.
    • Fourth OptionMetrics Conference, October 19, 2015, New York, NY.
    • Université de Montréal, September 10, 2015, Montréal, Canada.
  • Deflation and Inflation: Opposites, but not Equals (formerly: Deflation, Sticky Leverage and Asset Prices) at:
    • The Board of Governors of the Federal Reserve System, April 21, 2017, Washington, DC.
    • 2017 HEC-McGill Winter Finance Workshop, February 24, Fernie, Canada.
  • Discussion on On the Pricing Role of Idiosyncratic Risk, by Jun (Tony) RUAN, Qian SUN, and Yexiao XU
    • 2017 FMA Latin American Conference, February 16, 2017, Mexico City, Mexico.
  • Discussion on Size and Value Matter, But Not The Way You Thought, by Marie Lambert, Boris Fays, and Georges Hübner
    • 2016 Paris December Finance Meeting, December 20, 2016, Paris, France.
  • Discussion on Option Return Predictability, by Jie Cao, Bing Han, Qing Tong, and Xintong Zhan.
    • 2016 Northern Finance Association Conference, September 16-18, Mont-Tremblant, Canada.
  • Discussion on Pricing of Idiosyncratic Equity and Variance Risks, by Elise Gourier.
    • Fifth ITAM Finance Conference, June 3-4, 2016, Mexico City, Mexico.
  • On the Excessive Cost of Hedging Longevity Risk (under various titles) at:
    • Conference dinner of the CEQURA Conference on Advances in Financial and Insurance Risk Management, October 1 - 2, 2014, Munich, Germany
    • Innovation for Financial Services, October 16-17, 2014, Montreal, Canada.
  • Panel discussion: Longevity risk and its impact on pension fund management. Innovation for Financial Services, October 16-17, 2014, Montreal, Canada.
    • The Dynamics of the Equity Risk Premium.
      • The 8th International Conference on Computational and Financial Econometrics, Dec. 6-8, 2014, Pisa, Italy
      • The 2012 Mathematical Finance Days, May 3-4, 2012, HEC Montréal, Canada.
    • Discussion on The Importance of Volatility Risk Premium for Volatility Forecasting, by Marcel Prokopczuk and Chardin Wese Simen.
      • 2013 Financial Management Association Annual Meeting, October 17-19, Chicago, IL.
    • Option Valuation with Macro-Finance Variables (formerly Business Conditions, Market Volatility and Option Prices) at:
      • The 7th International Computational and Financial Econometrics, December 14-16, 2013, London, U.K.
      • 2011 European Finance Association Conference, August 17-20, Stockholm, Sweden.
      • The Third Annual Volatility Institute Conference at NYU Stern School of Business, Long Term Volatility and Economic Fundamentals, April 8, 2011, New York, NY.
      • The Desautels-HEC-Rotman Winter Finance Workshop, March 16-19, 2011, Mont-Tremblant, Canada.
    • Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility at:
      • 2013 Financial Management Association Annual Meeting, October 17-19, Chicago, IL.
      • The 6th International Computational and Financial Econometrics, December 1-3, 2012, Oviedo, Spain.
      • IFSID's First Conference on Structured Products and Derivatives, October 12-14, 2012, Montreal, Canada.
      • The 54th Annual conference of the Canadian Operational Research Society, June 11-13, 2012, Niagara Falls, Canada.
      • The 2011 Mathematical Finance Days, May 10-11, 2011, HEC Montréal, Canada.
      • The 2011 Optimization Days, May 2-4, 2011, HEC Montréal, Canada.
      • The 2nd Annual CIRPÉE Applied Financial Time Series Workshop, February 19, 2011, HEC Montreal, Canada.
      • The 16th International Conference on Computing in Economics and Finance, July 15-17, 2010, London, U.K.
    • Convertible Debt and Shareholder Incentives at:
      • The 2013 Mathematical Finance Days, May 1-3, 2013, HEC Montréal, Canada.
    • Discussion on A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation, by Torben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg.
      • The Fourth Risk Management Conference, March 8-11, 2012, Mont-Tremblant, Canada.

      Education

      Ph.D. in Finance    2005–2010
      Desautels Faculty of Management
      McGill University
      Supervisors: Peter Christoffersen & Kris Jacobs
      M.Sc. in Computer Science    2002–2004
      and Operations Research
      Department of Computer Science and Operations Research, Université de Montréal
      Supervisor: Yoshua Bengio

      Peter left us way too soon... I will forever be grateful for his invaluable guidance. To honour Peter’s life and dedication to scholarship, teaching, and academic excellence, U. of Toronto created the Peter Christoffersen Scholarship. Donations can be directed here.

      External Links

      My HEC Page
      My SSRN Page
      HEC's Finance Seminars
    •