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EDHEC-Risk Information

EDHEC-Risk Institute Press Releases

2007

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  • 03/12/07:
    EDHEC survey reveals that institutional real estate investors are more interested in diversification than in outperformance
    The EDHEC Risk and Asset Management Research Centre has released the EDHEC European Real Estate Investment and Risk Management Survey. This survey covers 143 European institutional investors from 19 countries, representing more than 3,000 billion euros in assets under management and over 400 billion euros in real estate assets. According to author Frédéric Ducoulombier, real estate is perceived as a distinct asset class which covers direct investment, non-listed and listed real estate equity vehicles. The justifications for investing in this asset class are diversification of the overall portfolio, the search for performance, and, to a lesser degree, a hedge against inflation. The quest for alpha appears to be of secondary interest. The main vehicles for exposure to the class are direct investment in the underlying asset, non-listed funds and listed real estate. The role of debt is marginal and allocations to new products (indices, structured products and derivatives) are modest.
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  • 27/11/07:
    EDHEC Alternative Investment Days confirmed as leading hedge fund and alternative investment conference in Europe
    The third edition of the EDHEC Alternative Investment Days in London on November 20-21 attracted an audience of well over 800 high-level delegates, confirming that this event has become the most prestigious and well-attended academic and professional conference on alternative investments in Europe. The first day’s Hedge Funds Summit addressed the key issues driving the hedge fund industry today, such as risk, regulation and new forms of hedge fund strategy. In association with CNBC Europe and the International Herald Tribune, EDHEC organised a roundtable forum on Hedge Funds, Regulators and the Global Financial System.
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  • 22/11/07:
    CFA Institute and EDHEC Business School Launch New Joint Seminar Exploring State-of-the-Art Investment Management
    CFA Institute and the EDHEC Risk and Asset Management Research Centre are introducing a new annual event that will present the latest research advances in asset allocation and clarify the distinction between true innovation and mere marketing claims in emerging industry trends. The Advances in Asset Allocation Seminar series will offer senior investment professionals a unique opportunity to gain an in-depth appreciation of the concepts and techniques that will shape the future of investment management. In addition, it will also provide practical tools and novel investment approaches to improve asset allocation processes and design new products. The seminar will take place 17-19 March in London and brings together EDHEC, the premier European centre for applied research into asset allocation, with the leading association of investment professionals, CFA Institute.
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  • 20/11/07:
    Launch of IPE EDHEC Institutional Asset Management Awards in 2008
    Leading European investment publication Investment & Pensions Europe has joined with EDHEC, France’s premier business school, to introduce the IPE EDHEC Institutional Asset Management Awards in 2008. This is the first time that Europe’s institutional asset management industry will have an Awards programme based on objective and transparent criteria. Up to 15 Awards will be presented to winning asset managers next June at the time of the EDHEC Institutional Days, before an invited audience of investors, asset managers, investment banks and other industry advisers and suppliers, at a gala dinner in Paris.
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  • 15/11/07:
    EDHEC Researchers Receive Prestigious Award from the Journal of Performance Measurement
    The EDHEC Risk and Asset Management Research Centre is delighted to announce that Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, and Véronique Le Sourd, Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre, have received one of four Honourable Mention Awards from the Journal of Performance Measurement as part of this year's Dietz Award for Excellence in Performance Measurement Literature.
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  • 08/11/07:
    EDHEC to Launch MiFID & Best Execution Research Chair
    As part of the development of its Risk and Asset Management Research Centre, EDHEC Business School is pleased to announce the launch of its fourth research chair, on MiFID and Best Execution supported jointly by CACEIS, NYSE Euronext and SunGard. The commitment of the three sponsors is to support an academic research programme over a three-year period so that the EDHEC Risk and Asset Management Research Centre can implement a long-term research strategy in this field. The themes of MiFID and Best Execution are thought to be among the most significant industry challenges for the near future, justifying the need for academic research to be carried out to support industry developments.
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  • 24/10/07:
    EDHEC and EuroPerformance release the Alpha League Table 2007 for the UK
    EDHEC and EuroPerformance have released their rankings of the top asset management companies in the UK: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC. The winner of the 2007 edition is Aberdeen Asset Managers with a score of 2.82%. Frequency of alpha is high, with 81.2% of selected funds generating significantly positive alpha. Average alpha is 3.48%. Jupiter Asset Management, with a score of 2.68%, takes second place, and M&G Securities takes third place with a score of 2.51%.
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  • 11/10/07:
    Dr. Michel Verlaine appointed Business Analysis Director at the EDHEC Risk and Asset Management Research Centre
    We are very pleased to announce the appointment of Dr. Michel Verlaine as Business Analysis Director at the EDHEC Risk and Asset Management Research Centre. His research interests focus on portfolio optimisation and risk management, with a special emphasis on behaviour under uncertainty and statistical robustness, and his research in these areas has given rise to several articles and conference presentations. He is working notably on the elaboration of robust asset management solutions, and his current research concentrates on the robust pricing of CDOs.
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  • 08/10/07:
    EDHEC sets up a research chair in asset-liability management with the support of BNP Paribas Asset Management
    In partnership with BNP Paribas Asset Management, the EDHEC Risk and Asset Management Research Centre has announced the creation of a new research chair in "Asset-Liability Management and Institutional Investment Management." This research chair will be piloted by a joint BNP Paribas AM/EDHEC committee and will give rise to a major three-year research programme. The EDHEC Risk and Asset Management Research Centre’s research team, under the responsibility of the centre’s scientific director, Lionel Martellini, will examine dynamic allocation strategies in asset-liability management in order to formulate an integrated ALM model.
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  • 02/10/07:
    Co-authors of landmark book on MiFID to conduct seminar in London in December
    Jean-René Giraud and Catherine d’Hondt, co-authors of "MiFID: Convergence towards a Unified European Capital Markets Industry" (Risk Books, 2006) and the influential position paper: "MiFID: the (in)famous European Directive?", will be presenting research insights into the newly-introduced directive and its implications for all aspects of the execution process at the MiFID and Best Execution seminar in London on 18-19 December, 2007. The seminar will allow participants to go beyond MiFID compliance and embrace best execution as a competitive advantage in the new pan-European financial markets. It offers a practical understanding of the directive’s impact on business and on the wider asset management industry. It will provide a roadmap for compliance with new operational requirements, together with the conceptual and practical tools to set up the processes to achieve and demonstrate best execution.
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  • 28/09/07:
    Dr. Dominic O’Kane joins EDHEC Business School as Affiliated Professor
    We are very pleased to announce the appointment of Dr. Dominic O’Kane as Affiliated Professor at EDHEC Business School. Prior to this appointment, Dr. O’Kane spent over 7 years at Lehman Brothers International where he was Managing Director and Head of Fixed Income Quantitative Research (Europe), focusing on the pricing and risk models used across credit, interest rates, FX and commodity derivatives.
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  • 26/09/07:
    EDHEC study defends hedge funds in the subprime lending crisis and highlights regulation risk
    In response to criticism of hedge funds, notably from the French president, Nicolas Sarkozy, EDHEC has published a new position paper by Noël Amenc, Professor of Finance and Director of the EDHEC Risk and Asset Management Research Centre, entitled Three Early Lessons from the Subprime Lending Crisis: a French Answer to President Sarkozy. Despite what regulators and political leaders, notably President Sarkozy and Chancellor Merkel, have said, hedge funds are clearly not to blame for the subprime crisis and the contagion that has spread to all segments of the credit market. The crisis is ultimately more a crisis of confidence in financial information and the market's capacity to evaluate the solvency of credit institutions.
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  • 21/09/07:
    EDHEC sets up a research chair on Regulation and Institutional Investment in partnership with AXA Investment Managers
    The EDHEC Risk and Asset Management Research Centre has created a research chair, "Regulation and Institutional Investment", in partnership with AXA Investment Managers (AXA IM). Following the study conducted by EDHEC, with the support of AXA IM, on the impact of the International Financial Reporting Standards and the Solvency II directive on the financial management of European insurance companies ("The Impact of IFRS and Solvency II on Asset-Liability Management and Asset Management of Insurance Companies," Noël Amenc, Philippe Foulquier, Lionel Martellini and Samuel Sender, November 2006) it became clear that the interaction between regulation and institutional investment management was a key issue for European institutional investors.
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  • 12/09/07:
    Dr. Florencio López-de-Silanes appointed Finance Professor at EDHEC Business School
    We are pleased to announce the appointment of Dr. Florencio López-de-Silanes as Finance Professor at EDHEC Business School. Florencio López-de-Silanes holds a PhD in Economics from Harvard University. Before joining EDHEC, he taught at Harvard University, Yale University, Amsterdam Business School (University of Amsterdam), and at Ecole Normale Supérieure in Paris. Dr. López-de-Silanes’ research interests lie in the fields of International Corporate Finance and Financial Markets, and Legal Reform and Privatization. Prior to joining EDHEC, he was an advisor on these topics to several governments, international institutions and corporations.
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  • 16/08/07:
    Pierre Mella-Barral appointed Professor of Finance at EDHEC Business School
    Pierre Mella-Barral has been appointed Professor of Finance at EDHEC Business School. Pierre Mella-Barral is a graduate of the Ecole Nationale Supérieure d'Arts et Métiers and earned his Doctorate in Economics from the University of Cambridge. Before joining EDHEC, he taught Finance and Economics at HEC Paris from 2004 and Finance at the London School of Economics as well as at the London Business School.
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  • 09/08/07:
    René Garcia joins EDHEC as Professor of Finance
    We are very pleased to announce the appointment of René Garcia as Professor of Finance with EDHEC Business School. Professor Garcia received his doctorate in economics from Princeton University. Before coming to EDHEC, he was a professor at the Université de Montréal, where he taught econometrics and finance. He is also the holder of the Hydro-Québec chair in integrated risk management and financial mathematics as well as the recipient of a research fellowship from the Bank of Canada.
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  • 30/07/07:
    Dr. Devraj Basu appointed Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre
    Dr. Devraj Basu has been appointed Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre. Dr. Basu’s areas of research include Asset Pricing, Asset Allocation, and Continuous Time Finance. In his new role at EDHEC, he will be focusing on designing efficient benchmarks and hedge fund replication. Prior to joining EDHEC, Devraj Basu was a lecturer in finance at Cass Business School, City University in London and at Warwick Business School in Coventry (UK), where he taught Fixed Income Securities and Derivatives, Stochastic Methods and Asset Pricing.
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  • 27/07/07:
    EDHEC and EuroPerformance release the Alpha League Table 2007 for Switzerland
    EDHEC and EuroPerformance have released their annual rankings of the top Swiss asset management companies: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC. The Alpha League Table 2007 for Switzerland reveals that the winner of the 2007 edition is the Geneva private bank Lombard Odier Hentsch & Cie. With 38.4% alpha frequency and an average alpha rate of 3.8%, LODH & Cie has a score of 1.5%. Bank Sarasin, in third place in 2006, climbs a spot on the strength of improvements in average alpha (from 2.9% last year to 3.1% this year) and in the frequency of “alpha” funds (from 31.9% to 43.4%). In third place, with average alpha of 3.5% and a frequency of 35.8%, giving it a score of 1.2%, is Swisscanto, the joint venture for investment and pension services of the Swiss cantonal banks.
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  • 24/07/07:
    Will European insurers be able to continue to invest in hedge funds? EDHEC surprised by the 45% capital charge set by CEIOPS in QIS3 for all alternative investments and hedge funds
    Within the equity risk sub-module of the third Quantitative Impact Study (QIS3) undertaken by the Committee of European Insurance and Occupational Pension Supervisors (CEIOPS), a preamble to the Solvency II supervisory standard, all alternative investments are subject to a capital charge of 45%, nearly 50% higher than the 32% applied to regular equity exposures. EDHEC’s work clearly shows that this capital charge is totally inconsistent with the real risk profile of hedge funds. Indeed, hedge funds as an asset class are far less risky than stock indices: over the past ten years funds of hedge funds have an empirical downside risk with a 5% confidence interval of 3.69%, three times less than the S&P500’s downside risk of 10.73%.
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  • 19/07/07:
    EDHEC to organize seminar on measuring, optimizing and replicating hedge fund betas in New York on October 16
    EDHEC will be presenting the latest findings of its research into alternative betas and hedge fund replication at a seminar on Alternative Betas and Hedge Fund Replication organized at the Grand Hyatt hotel in New York on October 16. Designed and delivered by the Scientific Director of the EDHEC Risk and Asset Management Research Center, this intensive seminar will equip participants with a workable knowledge of the state-of-the-art techniques for maximizing hedge fund benefits both at the fund level and for end investors.
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  • 28/06/07:
    EDHEC to organise the third edition of the EDHEC Alternative Investment Days in London on November 20-21, 2007
    The EDHEC Risk and Asset Management Research Centre will be staging the third edition of the EDHEC Hedge Fund Days in London on 20th and 21st November 2007. To accommodate the latest developments in the alternative investment industry, the 2007 event is being rebranded as EDHEC Alternative Investment Days, and will be opened up to new asset classes, including commodities, real estate and alternatives to hedge funds, such as long-only absolute return funds.
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  • 27/06/07:
    Solvency II: in its response to QIS3, EDHEC regrets that the prudential treatment of equity risk is still so unsatisfactory
    In a position paper produced jointly by the EDHEC Risk and Asset Management Research Centre and the EDHEC Financial Analysis and Accounting Research Centre, EDHEC responds to the third quantitative impact study (QIS3) undertaken by the Committee of European Insurance and Occupational Pension Supervisors (CEIOPS), a necessary preamble to the Solvency II supervisory standard. In this new paper, EDHEC regrets the prudential treatment of equity risk—especially the lack of consideration for the insurer’s risk-management ability. To accept the notion that the economic capital set against equity risk should allow for a 32% annual drop in equity markets is to ignore the entire arsenal of dynamic allocation and risk management techniques available to the asset manager.
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  • 04/06/07:
    EDHEC to present latest research on hedge fund replication in London on 28 June
    EDHEC will be presenting the latest findings of its research into hedge fund replication at an evening seminar organised at the Marriott Renaissance Chancery Court in London on 28 June. At the seminar, Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre will be making an exclusive premiere presentation of the results and conclusions of EDHEC’s forthcoming survey, “The Myths and Limits of Passive Hedge Fund Replication” co-written by Lionel Martellini with Noël Amenc, Walter Géhin and Jean-Christophe Meyfredi.
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  • 19/04/07:
    EDHEC replies to the CESR’s public consultation on best execution under MiFID
    In response to the CESR's public consultation on best execution under MiFID, EDHEC strongly defend the idea that the analysis of the total net proceeds of financial transactions represents the most important factor for assessing execution quality. In order to contribute to the public debate, EDHEC have put together a detailed analysis of the various aspects of Transaction Cost Analysis, a review of the pertinence and biases exhibited by current practices and an introduction to EDHEC's innovative framework which was published in the most recent issue of the Journal of Asset Management
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  • 26/03/07:
    EDHEC study points out the shortcomings of MiFID, the European financial services directive
    In a study entitled "MiFID: the (in)famous European directive?", EDHEC, while recognising that the directive allows the conditions in which investment companies can operate on the regulated markets or over-the-counter to be harmonised, warns of the eventual adverse effects relating to the obligation of transparency for systematic "internalisers" and the obligation of "best execution". The authors of the report, Jean-René Giraud and Catherine D’Hondt, who are also co-authors of the recent publication "MiFID: Convergence towards a Unified European Capital Markets Industry," find, in the case of the obligation imposed on systematic “internalisers” to maintain a public spread of prices, that it is prejudicial for this restriction to be removed for the least liquid securities. This provision will lead, in a certain number of cases, (small-caps on markets that are centrally organised at present), to a deterioration in the pre-trade transparency that is currently provided to investors.
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  • 19/03/07:
    EDHEC Asset Management Days 2007 in Geneva a major success
    The second edition of the EDHEC Asset Management Days took place in Geneva on 12-13 March, enabling a wide audience of industry practitioners, some from as far afield as the Bermuda Islands, Canada and the United Arab Emirates, to explore and debate with EDHEC’s research team how to use the most recent research advances and the latest industry innovations as new sources of value in investment management. With 720 registered delegates, comprising a large number of institutional investors, private bankers and institutional money managers, this latest international conference organised by the EDHEC Risk and Asset Management Research Centre proved to be a great success.
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  • 14/03/07:
    Dr. Daniel Giamouridis joins the EDHEC Risk and Asset Management Research Centre as Research Associate
    We are very pleased to announce the appointment of Dr. Daniel Giamouridis as Research Associate at the EDHEC Risk and Asset Management Research Centre. Dr. Giamouridis' areas of research include derivatives and alternative investments, with a particular focus on option valuation/hedging and hedge funds (portfolio choice/investment decisions, pricing, return predictability, risk management). He has published in a number of international academic journals and is also a frequent speaker at academic and practitioner conferences.
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  • 12/03/07:
    An EDHEC study reveals that asset-liability management techniques can add real value to private wealth management
    Working from the observation that the contribution of asset-liability management techniques developed for institutional investors is not yet familiar within private banking, a new study from the EDHEC Risk and Asset Management Research Centre, entitled "Asset-Liability Management Decisions in Private Banking" shows the expected benefits of a transposition of that kind. According to the authors of the study, Noël Amenc, Lionel Martellini and Volker Ziemann, asset-liability management represents a genuine means of adding value to private banking that has not been sufficiently explored to date.
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  • 13/02/07:
    In its reply to CP 20, EDHEC warns of the continuing inadequacies of the Solvency II project
    A new EDHEC Risk and Asset Management Research Centre position paper, "CP20: Significant improvements in the Solvency II framework but grave incoherencies remain," by Philippe Foulquier and Samuel Sender, contains EDHEC's answer to CP20, a consultation process initiated by CEIOPS (Committee of European Insurance and Occupational Pensions Supervisors) on the "Advice to the European Commission in the Framework of the Solvency II Project on Pillar I Issues". In the current paper, EDHEC defends the idea that the necessity of a relatively simple formula that can be implemented in all institutions should not hinder the evolution of the sector and in particular its ability to manage its risks.
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  • 07/02/07:
    Ms. Joëlle Miffre joins EDHEC as Associate Professor of Finance
    We are very pleased to announce the appointment of Ms. Joëlle Miffre as Associate Professor of Finance at EDHEC Business School where she will be teaching Fixed-Income Securities and Derivatives. Ms. Miffre will also participate actively in the work of the EDHEC Risk and Asset Management Research Centre. Ms. Miffre's research focuses on portfolio management, with special emphasis on alternative assets (hedge funds, commodities, real estate), performance evaluation, non-normality risks, ETFs and momentum strategies.
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  • 01/02/07:
    EDHEC to present exclusive preview of research on passive replication of hedge fund performance at the EDHEC Asset Management Days in Geneva on March 12-13
    In a session on emerging alternatives to hedge funds at the EDHEC Asset Management Days 2007 at the Hotel President Wilson in Geneva on 12-13 March, EDHEC will be providing an exclusive preview of the results of a study on passive replication of hedge fund performance. In this thought-provoking research from the EDHEC Risk and Asset Management Research Centre, authors Walter Géhin, Lionel Martellini and Jean-Christophe Meyfredi provide a detailed critical analysis of various methodologies involved in the so-called "passive replication" of hedge fund returns, an old academic subject that has enjoyed renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs. In particular, they examine the respective pros and cons of the two different and somewhat competing approaches to hedge fund replication, which are respectively known as "factor-based replication", and "payoff distribution replication".
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  • 25/01/07:
    EDHEC to present ground-breaking research on ALM and Private Banking at the EDHEC Asset Management Days in Geneva
    At the EDHEC Asset Management Days in Geneva on March 12-13, 2007, EDHEC will be presenting the results of a new study entitled "Asset-Liability Management Decisions in Private Banking". This original research from the EDHEC Risk and Asset Management Research Centre's Noël Amenc, Lionel Martellini and Volker Ziemann shows that current practice in wealth management does not genuinely take clients' constraints and objectives into account. Specifically, private bankers know their clients well but do not know how to use this knowledge in asset management. The EDHEC study explains how some of the most sophisticated asset-liability techniques used in the context of institutional money management can satisfactorily be implemented in private wealth management.
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  • 17/01/07:
    EDHEC researchers publish paper on quantifying the operational risks of hedge funds
    In a working paper entitled ‘Quantification of Hedge Fund Default Risk’, which led to the publication of a full article in the Fall issue of the Journal of Alternative Investments, Jean-René Giraud and Stéphane Daul of the EDHEC Risk and Asset Management Research Centre, together with co-author Corentin Christory, examined numerous cases of hedge fund default in order to find the common factors behind fund failures. The objective of the paper was to provide an initial framework for quantifying the non-financial extreme risk of hedge funds with the aim of factoring it into the portfolio construction phase. The paper examines the statistical properties of hedge fund failures and attempts to identify essential risk factors that can tentatively explain why certain funds are more likely to default on their investors and creditors than others.
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