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. Professors 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.
