January 7, 2011
HEC Montréal is pleased to announce the award of a $714,000 grant to the Canada Research Chair in Risk Management, directed by Professor Georges Dionne, from the Leaders Opportunity Fund to acquire research infrastructure associated with a Canada Research Chair.
The funds will be used to acquire high-performance computer facilities and new data for research projects involving large data sets and risk management applications in structured finance, insurance pricing for fleets of vehicles, and regulatory capital in the banking system.
The grant consists of equal amounts from the Canada Foundation for Innovation (CFI) and the Quebec government, supplemented by funding from the private sector. The new infrastructure is essential to running projects in the new research program of the Chair that require very large databases. The infrastructure will be located at the GERAD/CIRRELT computer laboratory, two interuniversity research centres with which HEC Montréal is associated.
A new project on structured finance will begin in 2011. The new funds will give access to information on a very large population of mortgage loans from US financial institutions with very complicated portfolios. The research objective is to be able to determine whether a loan in the portfolio is subprime or not and be able to access other variables reflecting default and liquidity risk, including the borrower’s credit history. The securitization activity of these loans will then be studied in detail.
A second project will extend the current model developed at the Chair for setting insurance rates for fleets of vehicles to a panel environment where a time effect will be integrated to truck and fleet random effects. The new pricing model will also take into account informational asymmetries between insurers, fleet owners, and drivers. The equipment will make it possible to optimize the new non-linear pricing model with panel data, including three random effects.
HEC Montréal has 25 research chairs, including 7 Canada Research Chairs.