Asset-Liability Management
With the European Pension Fund ALM Practices Survey, EDHEC, with the backing of AXA Investment Managers, is conducting a major survey of European institutional investors and asset managers. Like previous EDHEC surveys of industry practices, this survey will attempt to assess the use of modern investment management techniques by pension funds. However, its focus is on ALM. The survey will assess how European pension funds define their investment policy, how they implement it, and how the performance of the investment policy is analysed. More...
03/07/09
Recruitment
EDHEC Business School, one of France's top 4 Grandes Ecoles and Europe's top 10 Master in Management programmes, will be holding its 2009 Finance Recruitment Fair on Friday, September 25th on its campus in Nice.
The aim of the fair is to enable a select group of employers, who value a diverse, talented and international workforce, to promote employment and internship opportunities among EDHEC's Master's, MSc and Theseus MBA graduates from France and abroad.
This English speaking event is an excellent opportunity to select high profile, multilingual and geographically mobile graduates from EDHEC's specialised programmes in Finance, Risk & Asset Management, Corporate Finance, Capital Markets & Management Control. More...
22/06/09
Alternative Investment Education
EDHEC Asset Management Education, as Authorised CAIA Preparatory Program Provider since 2004, is organising its next review course for the September 2009 session of the CAIA SM Level II exam in Paris on July 1-3.
Designed and delivered by experienced academics and practitioners, the review course consists of three days of intensive instruction.
The seminar is prepared specifically for the September 2009 exam session and covers all key learning objectives in the curriculum using lectures, concept applications, and practice exam questions. The course emphasises problem areas and provides insight and exam strategies to maximise preparation. Additional workshops give participants the opportunity to interact one-on-one with the instructors to address specific content questions. More...
26/05/09
Institutional Investment
In 2003, the pension fund industry was severely affected by the steep fall in
equity prices and the fall in interest rates. This fall and its consequences led to broad regulatory changes and spurred work on asset and liability management theory and techniques. But it seems that these new regulations and techniques have not enabled the pension fund industry to weather the current return of the perfect storm? It is this question that research currently being undertaken at EDHEC Business School is endeavouring to answer, with feedback from industry professionals. More...
14/05/09
Appointments
The EDHEC Risk and Asset Management Research Centre is delighted to announce the appointment of two new members to its international advisory board: Mr. Nicolas Sobczak, Chief Investment Officer of the Fonds de Réserve pour les Retraites (FRR), the French Pension Reserve Fund, and Mr. Ton van Welie, Chief Executive Officer of ORTEC Finance. The 35 members of the EDHEC Risk and Asset Management Research Centre international advisory board, which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners, are responsible for validating the relevance and goals of the research programme proposals presented by the centre's management and for evaluating research outcomes with respect to their potential impact on industry practices. More...
24/04/09
Appointments
The EDHEC Risk and Asset Management Research Centre is delighted to announce the appointment of Mr. Nicolas Sobczak, Chief Investment Officer of the Fonds de Réserve pour les Retraites (FRR), the French Pension Reserve Fund, to its international advisory board. The FRR is an institution dedicated to ensuring the long-term viability of the French pension system. Set up in the early 2000's, the FRR is a public agency, operating under the dual auspices of the French Minister in charge of Social Security and the French Minister in charge of the Economy and Budget. At December 31, 2008, total assets amounted to 27.7 billion euros. More...
23/04/09
Asset Management Education
Since October 2008, EDHEC Business School and the EDHEC Risk and Asset Management Research Centre have been offering a unique PhD in Finance programme. The programme is offered in two tracks: a "residential track" for high-potential graduate students who will hold part-time research or teaching positions at EDHEC Business School, and an "executive track" for high-level practitioners who will keep their full-time jobs. Following the Autumn and Winter information sessions held in Frankfurt, Zurich, Milan, Paris, London, and Singapore, we invite you to attend one of our next information sessions which will be held at the following locations: New York, 12 May - Grand Hyatt Hotel - 6:30 EST; Paris, 16 June - Maison de la Chimie - 2:00 CET; Geneva, 17 June - Hotel President Wilson - 3:30 CET; Zurich, 18 June - Savoy Baur en Ville Hotel - 3:30 CET. More...
23/04/09
Indices & Benchmarking
The EDHEC Risk and Asset Management Research Centre and Crédit Agricole Structured Asset Management (CASAM) have announced the creation of new research chair entitled "Core-Satellite and ETF Investment". The chair will involve three years of academic research into ETFs (exchange-traded funds) and the use of ETFs as part of a core-satellite approach to asset management.
A CASAM/EDHEC advisory board will supervise the work. The team of researchers at the EDHEC Risk and Asset Management Research Centre, under the leadership of centre director Noël Amenc, will examine advanced forms of risk budgeting in a dynamic core-satellite approach and the use of these techniques by investors and asset managers.
The first project as part of the chair will be the EDHEC ETF Survey 2009, an in-depth pan-European survey on the use of ETFs by European investors. The findings of this survey will be presented at the third ETF and Indexation Summit at EDHEC Institutional Days, to be held in Paris (CNIT La Défense) on 26 and 27 May 2009. More...
16/04/09
Awards
The EDHEC Risk and Asset Management Research Centre, Robeco and the Journal of Portfolio Management have jointly launched an annual award
for the paper published in the Journal of Portfolio Management in the previous year that is deemed to be of most relevance and usefulness for European institutional investors. The inaugural award will be presented by Dr. Jean-Louis Laurens, Chief Investment Officer of the Robeco group, to Dr. Laurence Siegel, Director of Research within the Investment Division of the Ford Foundation, at a ceremony in Paris on May 26 as part of the EDHEC Institutional Days 2009. The award-winning article entitled "Alternatives and Liquidity: Will Spending and Capital Calls Eat Your 'Modern' Portfolio?" (Journal of Portfolio Management, Fall 2008) shows how high allocation to alternative investments can cause liquidity concerns when a plan has to meet spending requirements, capital calls, and margin calls in bear markets. More...
16/04/09
Academic Research
The sixth edition of the Madrid Finance Workshop took place on March 27, 2009, at IE Business School. The workshop is a joint initiative by four Madrid
based academic institutions: IESE Business School (Universidad de Navarra), IE Business School, Universidad Carlos III and the Centro de Estudios
Monetarios y Financieros (CEMFI). Each workshop is organised
on a particular topic and four prominent experts in the field are invited to present a paper which is discussed by a local scholar. At the sixth workshop in the series that was dedicated to "Asset Pricing and Portfolio Management", Lionel Martellini, Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre, and René Garcia, Professor of Finance at EDHEC Business School, each presented their work. Lionel Martellini presented a paper entitled "How Costly is Regulatory Short-Termism for Defined-Benefit Pension Funds?" co-authored with Vincent Milhau, research engineer at the EDHEC Risk and Asset Management Research Centre. This research has benefited from the support of BNP Paribas Investment Partners.
Professor René Garcia presented a paper entitled "Empirical Likelihood Estimators for Stochastic Discount Factors" co-authored with Professor Caio Almeida of Fundação Getúlio Vargas. More...
16/04/09
Institutional Investment
On April 22, 2009 in London, as part of the EDHEC/AXA Investment Managers research chair on Regulation and Institutional Investment, the EDHEC Risk and Asset Management Research Centre is organising a special press presentation of its major new study which analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the United Kingdom, Germany, and Switzerland.
At the event, which will be introduced by Martin Hall, Head of AXA Investment Managers, United Kingdom and Nordics, Samuel Sender, Applied Research Manager at the EDHEC Risk and Asset Management Research Centre, will highlight three main challenges for pension funds, and the means by which these challenges can be met. Erwan Boscher, Head of Pension Solutions, AXA Investment Managers, will also be discussing the consequences of pension fund regulation for investors. More...
16/04/09
Commodities
Hilary Till, Principal, Premia Capital Management, LLC, and Research Associate at the EDHEC Risk and Asset Management Research Centre was invited to take part in a panel discussion on oil price formation organised by the International Energy Agency at their headquarters in Paris on 25 March, as part of the Joint Meeting of the Standing Group on Emergency Questions and the Standing Group on the Oil Market. During her presentation, Ms. Till discussed the conclusions of a recent EDHEC position paper entitled, "Oil Prices: The True Role of Speculation". More...
15/04/09
Appointments
The EDHEC Risk and Asset Management Research Centre is pleased to announce the appointment of Mr. Ton van Welie, Chief Executive Officer of ORTEC Finance, to its international advisory board. As CEO of ORTEC Finance since 2006, Mr. van Welie oversees the daily operations of the leading, global provider of solutions for holistic risk/return management for pension funds, insurance companies, asset managers and real estate managers. The 35 members of the board, which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners, are responsible for validating the relevance and goals of the research programme proposals presented by the centre's management and for evaluating research outcomes with respect to their potential impact on industry practices. More...
15/04/09
Asset Management Education
Professors Harrison Hong (Princeton University), Pietro Veronesi (University of Chicago Booth School of Business), and Pierre Collin-Dufresne (Columbia Business School) have joined the affiliate faculty of the EDHEC PhD in Finance programme.
All three are specialists in asset pricing. Professor Hong is also specialised in behavioural finance, Professor Veronesi in Bayesian inference, and equilibrium models of return predictability, and Professor Collin-Dufresne is an expert in fixed income securities and default risk.
Their arrival further strengthens an exceptional team of international scholars, bringing together EDHEC Business School's senior economics and finance scholars and affiliate professors from foremost research institutions around the world. More...
24/03/09
Appointments
The EDHEC Risk and Asset Management Research Centre is pleased to welcome a new member to its International Advisory Board: Mr. Yassine Bouhara, Global Head of Structuring and Head of Global Markets for Europe, the Middle East and Africa, Deutsche Bank.
The 34 members of the board, which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners, are responsible for validating the relevance and goals of the research programme proposals presented by the centre's management and for evaluating research outcomes with respect to their potential impact on industry practices. The board also advises on the objectives and contents of projects deriving from the expertise of the research centre thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace. More...
23/03/09
ALM
The research results from the first of the three-year EDHEC/ORTEC Finance "Private ALM" research chair will be presented in Switzerland in June. The presentation, entitled ALM - the Future of Private Wealth Management will be taking place in Geneva on 17 June, 2009 at the President Wilson Hotel, and on 18 June at the Savoy Baur en Ville Hotel in Zurich, from 17:00 to 19:30.
Sinikka Demaré, Managing Director for Switzerland, Member of
the Advisory Board, ORTEC Finance, and Lionel Martellini, PhD, Professor of Finance, EDHEC Business School, and Scientific Director of the EDHEC Risk and Asset Management Research Centre will be introducing the research chair and discussing the future of private wealth management. More...
20/03/09
Appointments
Barry Schachter has joined the EDHEC Risk and Asset Management Research Centre as Research Associate. He is Director of Quantitative Resources at Moore Capital Management where he is responsible for the Risk, Financial Engineering, and Trade Analysis and Control teams. Prior to that, he held several senior risk management positions at Balyasny Asset Management, SAC Capital Advisors, Caxton Associates, and the Chase Manhattan Bank, among others. More...
17/03/09
Asset Management Education
François Serge Lhabitant, Associate Professor at EDHEC Business School and CIO of Kedge Capital will discuss operational risk management techniques at the upcoming CFA Institute/EDHEC Business School Alternative Asset Allocation Seminar on March 17-19 in London. More...
24/02/09
Asset Management Education
The EDHEC Risk and Asset Management Research Centre and CFA Institute will be organising the first North American session of their Advances in Asset Allocation Seminar at The Grand Hyatt in New York on 12-14 May, 2009. This intensive three-day course will provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment management as well as equip them with practical tools to improve asset allocation processes, implement novel investment management approaches, and develop new products. More...
24/02/09
Academic Research
EDHEC Finance Professor Florencio Lopez de Silanes delivered one of the keynote speeches at the 21st annual Australasian Finance and Banking Conference, which was held on December 16-18 in Sydney. Organised by the Australian School of Business (UNSW), this event is one of the most prestigious
finance conferences in the Asia-Pacific region.
Professor Lopez de Silanes also served as member of the conference's selection committee. Conference proceedings are available on SSRN and the best contributions will published in a review volume by World Scientific Publishing. More...
19/02/09
Academic Research
The 69th meeting of the American Finance Association, publisher of the Journal of Finance, was held on January 3-5, 2009, with Professor Darrell Duffie of Stanford University acting as the programme chair. EDHEC Business School was represented by Finance Professors René Garcia and Florencio Lopez de Silanes.
At the meeting, René Garcia presented a paper entitled "Empirical Likelihood Estimators for Stochastic Discount Factors", co-authored with Professor Caio Almeida of the Getúlio Vargas Foundation.
Florencio Lopez de Silanes presented a paper entitled "Looking inside a Conglomerate: Efficiency of Internal Capital Allocation and Managerial Power within a Firm", co-authored with Professor Markus Glaser of the University of Mannheim and Professor Zacharias Sautner of the University of Amsterdam. More...
19/02/09
Sovereign Wealth Management
The initial conclusions from the EDHEC/Deutsche Bank Research Chair on Asset-Liability Management for Sovereign Wealth Funds will be presented to the press in London on 26 February, 2009.
At the press conference, the theme of which will be "What Financial Management for Sovereign Wealth Funds?", Yassine Bouahara, Global Head of Structuring and Head of Global Markets for Europe, the Middle East and Africa, Deutsche Bank, Jean-René Giraud, Research Associate and Director of Development, EDHEC Risk and Asset Management Research Centre, and Noël Amenc, Professor of Finance, EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, will discuss the preliminiary results of the research chair with journalists. More...
19/02/09
Education
High-calibre students from EDHEC's four finance-based Master of Science programmes (Finance, Risk and Asset Management, Corporate Finance and Capital Markets) will be available for full-time employment, or post-study internships, in financial institutions, consultancies and industry from July 2009 onwards. More...
05/02/09
Indices
The EDHEC Risk and Asset Management Research Centre and the IEIF (an independent French real estate research institute), with the support of Finance Innovation, the global competitiveness institution, have announced the launch of the EDHEC IEIF Commercial Property Index (France). The EDHEC IEIF Commercial Property Index (France) will measure the performance of shares traded in an aggregate portfolio of unlisted property funds. This portfolio currently represents €7.5bn, spread between 3,400 assets.
The EDHEC IEIF Commercial Property Index (France) is a capitalisation weighted index that measures the performance of SCPIs (unlisted property trusts), collective investment companies that invest in commercial property (offices, shopping centres, logistics infrastructures, and so on). The index is computed on a net (change in the prices of components) and gross performance with dividends reinvested) basis. The base date for the index is 31 December 1980.
The EDHEC IEIF Commercial Property (France) index is published monthly. The composition of the index is reviewed at the close of every semester by an index committee made up of property and financial analysts, property managers, well known academics, and representatives of IEIF and EDHEC. The UFG Group, through its patronage of academic and scientific research,
contributed to the launch of the index. More...
30/01/09
Awards
The EDHEC Risk and Asset Management Research Centre, Robeco and the Journal of Portfolio Management have come together to launch an annual award for the paper published in the Journal of Portfolio Management in the previous year that is deemed to be of most relevance and usefulness for European institutional investors. The principle behind the selection will be to choose the paper that best reflects the spirit of the EDHEC Risk and Asset Management Research Centre, namely academic excellence and industry relevance, notably for institutional investors. More...
30/01/09
Alternative Investments
Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, and Jean-René Giraud, Director of Development, have been invited to chair a session on hedge fund risk management and investor relations at the European Commission's conference on hedge funds to be held in Brussels on 27 February, 2009. The session will bring together high-level experts from industry, supervisors, and investor representatives.
The panel session, entitled "Management of micro-prudential risks & transparency towards investors", will seek to take stock of the performance of hedge funds in managing the risks to which they are exposed, robustness of structural, governance and risk-management safeguards employed by the industry, and investor-facing issues (transparency, and management of redemption requests).
This conference has been organised by the European Commission in the context of evolving European policy debate on hedge funds. The event aims to bring together leading authorities from all stakeholder groups to discuss a range of issues relating to the eventual form of an appropriate EU level response to systemic impacts of hedge funds and risk-management/investor-facing issues. More...
22/01/09
Asset Management Education
Since October 2008, EDHEC Business School and the EDHEC Risk and Asset Management Research Centre have been offering a unique PhD in Finance programme to elite practitioners who aspire to higher intellectual levels and aim to redefine the investment banking and asset management industries. The programme is offered in two tracks: a "residential track" for high-potential graduate students who will hold part-time research or teaching positions at EDHEC Business School, and an "executive track" for high-level practitioners who will keep their full-time jobs.
We invite you to attend our Singapore information session which will be held on February 5th between 6:30pm and 8:00pm at the Raffles Hotel. The information session will be conducted by René Garcia, Professor of Finance at EDHEC Business School and Academic Director of the EDHEC PhD in Finance. More...
22/01/09
Alternative Investments
Jointly organised by CFA Institute and the EDHEC Risk and Asset Management Research Centre and CFA Institute, the first Alternative Asset Allocation Seminar (London, 17-19 March) will address the current challenges faced by the industry and present new tools and strategies allowing institutional investors to derive the full benefits of alternative investments while controlling for their specific risks. More...
22/01/09
Alternative Investments
Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be participating in a conference on Inflation-Indexed Securities and Inflation Risk Management at the Federal Reserve Bank of New York on 10 February, 2009, where he will be presenting a paper entitled, "Inflation-Hedging Properties of Real Assets and Implications for Asset-Liability Management Decisions", co-authored with Noël Amenc, Director of the EDHEC Risk and Asset Management Research Centre, and Volker Ziemann, Senior Research Engineer. This paper was sponsored by Morgan Stanley Investment Management as part of the EDHEC-Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" research chair.
The conference will bring together experts in inflation pricing and hedging, inflation-indexed issuer asset-liability management, and macroeconomics. Participants will include leading academics, current and former Federal Reserve and Treasury officials, and practitioners. More...
22/01/09
Performance
Investment & Pensions Europe (IPE) and the EDHEC Risk and Asset Management Research Centre will be presenting the second edition of the IPE-EDHEC Institutional Asset Management Awards (IAMAs) in 2008. The awards will be presented to winning asset managers at a gala dinner on May 26 in Paris during the EDHEC Institutional Days. If your asset management firm operates in a minimum of three European countries and you have not received an official request for information, please contact EuroPerformance. More...
20/01/09
Awards
Dr. Florencio Lopez de Silanes, finance professor at EDHEC Business School and head of the regulation and mutual fund governance research programme at the EDHEC Risk and Asset Management Research Centre, was appointed Knight of the National Order of the Legion of Honour by decree of the French Republic on 31 December 2008.
Professor Lopez de Silanes' research interests revolve around corporate governance, international corporate finance, market finance, the competitiveness of legal systems, and privatisation. He has advised governments, international organisations, and businesses on these issues.
His work has appeared in the major international financial and economics journals, and he is the second most cited professor in the world in the fields of economics and business according to the 2008 edition of the ScienceWatch rankings of management and economics professors. More...
13/01/09
Finance and Economics
On 14 January, 2009 in Paris, EDHEC will be hosting a presentation and debate on the current financial crisis. Noël Amenc, professor of finance at EDHEC Business School and director of the EDHEC Risk and Asset Management Research Centre, will be presenting EDHEC's analysis and proposals at a breakfast meeting (in French). More...
16/12/08
Regulation
We are canvassing opinions on a recent EDHEC position paper, "Banking: Why Does Regulation Alone Not Suffice? Why Must Governments Intervene?" and have formulated a short questionnaire with five questions. In the paper, Samuel Sender, Applied Research Manager with the EDHEC Risk and Asset Management Research Centre proposed a solution to the procyclical nature of prudential regulations that would involve the use of buffers - an amount of regulatory capital that would vary over the business cycle and could eventually disappear provided it is recovered over the medium term. More...
25/11/08
Commodities
The next State-of-the-Art Commodities Investing Seminar organised by EDHEC Asset Management Education, and delivered by Joëlle Miffre, Professor of Finance at EDHEC Business School, and Hilary Till, a principal of Premia Risk Consultancy, and a research associate with EDHEC, will be held in London on 21-22 April, 2009. This intensive seminar provides a comprehensive overview of natural resources markets, a thorough understanding of the importance of commodities as an asset class, and the state-of-the-art techniques for designing futures programmes and implementing institutional commodity investments. The first day will explore commodities as an asset class and examine the fundamentals of commodities investing, while the second day will look at designing and implementing commodity programmes. More...
21/11/08
Asset Allocation
The EDHEC Risk and Asset Management Research Centre and CFA Institute will be organising their inaugural Alternative Asset Allocation Seminar at The Dorchester in London on 17-19 March, 2009.
This intensive three-day course will impart advanced concepts and practical tools for optimal construction and risk management of multi-style multi-class portfolios. The objective is it to enable participants to derive the full benefits of alternative investments for asset management and asset-liability management (ALM) while controlling for their specific risks.
The first day of the seminar will introduce the state-of-the-art in multi-style multi-class portfolio management. The second day will examine novel financial engineering techniques to optimise risk budgeting when alternative assets are added to institutional portfolios, and the final day will explore new frontiers in alternative investments.
Aimed at investment management professionals who advise on or participate in the design and implementation of aset allocation and risk management policies, and at sell-side practitioners who develop new asset management and ALM solutions for investors, the seminar combines exploration of innovative models and concepts, presentation of state-of-the-art practical tools, and case studies of best industry practices, delivered by a team of instructors bringing together academic and industry expertise. More...
21/11/08
Institutional Investment
Noël Amenc, Professor of Finance at EDHEC Business School, and Director of the EDHEC Risk and Asset Management Research Centre has been invited by AF2i, the French association of institutional investors, to make a presentation on the theme: "Financial or regulatory crisis? What initial lessons can be drawn from the crisis in terms of accounting and solvency regulations?" at a meeting organised in Paris on 13 November, 2008. More...
06/11/08
Appointments
The EDHEC Risk and Asset Management Research Centre is pleased to announce the appointment of two new members to its International Advisory Board: Mr. Jaap Maassen, Member of the Executive Board and Chief Pension Officer, ABP Investments; and Mr. Ton van Welie, Chief Executive Officer, ORTEC Finance. The 35 members of the board, which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners, are responsible for validating the relevance and goals of the research programme proposals presented by the centre’s management and for evaluating research outcomes with respect to their potential impact on industry practices.
The board also advises on the objectives and contents of projects deriving from the expertise of the research centre thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace. More...
06/11/08
Academic Research
On October 13, 2008, the International Accounting Standards Board made amendments to the IAS 39 and IFRS 7 accounting standards, notably allowing the reclassification of some financial assets that were initially accounted for at fair value through the profit and loss account. As a participant in the financial industry, we wish to have your opinion on this reform. More...
22/10/08
Performance
At the start of 2008, the EDHEC Risk and Asset Management Research Centre
published a series of conclusions on the current performance measurement
practices in the industry. If the industry wants to make sophisticated risk analysis an integral part of performance evaluation, an increased use of modern performance measurement techniques is clearly necessary. More...
21/10/08
Performance
On November 12th in Paris, Agefi, the leading newspaper for the financial community in France, will be holding its 2008 asset management awards ceremony.
As in previous years, EDHEC, together with EuroPerformance, has been involved in producing the rankings for the Awards, which were established on the basis of the managers' ability to produce "alpha", or abnormal returns above and beyond the "normal" rewards due to the risks that the manager had taken.
At the event, the awards attributed in the following categories will be presented:- French equities
- Euro equities
- European equities
- North American equities
- Japanese equities
- Asian equities (excluding Japan)
- International equities
- Sectorial equities
- Emerging market equities
- Euro diversified
- International diversified
More...
20/10/08
Alternative Investment Education
EDHEC Asset Management Education, as Authorised CAIA Preparatory Program Provider, is organising the following review courses for the March sessions of the CAIA SM exam:- Level I
Paris: January 14-16, 2009
London: January 20-22, 2009
- Level II
Paris: January 13-15, 2009
London: February 3-5, 2009
Designed and delivered by experienced academics and practitioners, EDHEC's review courses consist of three days of intensive instruction. Each seminar is prepared specifically for a given level and exam session and covers all key learning objectives in the curriculum using lectures, concept applications, and practice exam questions. Courses emphasise problem areas and provide insight and exam strategies to maximise preparation. Additional workshops give participants the opportunity to interact one-on-one with the instructors to address specific content questions. More...
15/10/08
Asset Management Education
Chosen from among nearly 100 applicants for the inaugural class of the programme, seventeen doctoral students from fourteen countries began their coursework on EDHEC Business School’s Nice campus this week. Led by an exceptional team of instructors and dissertation directors, this select group of recent university graduates and experienced professionals will spend three years in a demanding doctoral programme. The EDHEC PhD in Finance prepares doctoral students for academic careers in top institutions and for the highest responsibilities in the finance industry; during the three years of the programme, PhD candidates will acquire the knowledge and the tools to conduct research that will lead to veritable innovation in finance. The programme relies on a faculty of specialists in economics and finance that brings together top researchers at EDHEC and affiliate professor from such renowned universities as the University of Chicago, Wharton, Columbia, Princeton, and Duke. With its residential and executive tracks, its organisation into consolidated weeks, and its e-learning tools, the EDHEC PhD in Finance is designed both for recent university graduates and for established professionals. More...
15/10/08
Performance
EDHEC and EuroPerformance have released their annual rankings of the top UK 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 year’s results are better than last year’s: average alpha increased (approximately 30 basis points) to 2.9% and the average frequency of alpha is 52.2%; whereas it was 46.3% last year.
The winner of the 2008 edition is Jupiter, which was ranked second last year. With its average alpha of 4.23% and the frequency with which alpha is delivered coming to 73.75%, the firm posts an impressive performance.
More...
13/10/08
EDHEC-Risk
On 3rd October, 2008, the international advisory board of the EDHEC Risk and Asset Management Research Centre held its fourth annual meeting in Beaulieu sur Mer (France). The objective of the meeting is to enable the members of the board to validate the relevance and goals of the research programme proposals presented by the centre’s management and to evaluate research outcomes with respect to their potential impact on industry practices. The 35 members of the board also advise on the objectives and contents of projects deriving from the expertise of the research centre, thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace. Several of the board members also took advantage of the opportunity to participate in the centre's annual research meeting organised for its permanent researchers and research associates the previous day, in order to examine EDHEC's research in greater detail. More...
03/10/08
Appointments
Xavier Lépine, Chairman of UFG Group, has recently joined the EDHEC Risk and Asset Management Research Centre’s International Advisory Board, bringing the number of members to 35. The board brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners to validate the relevance and goals of the research programme proposals presented by the centre’s management and to evaluate research outcomes with respect to their potential impact on industry practices. More...
26/09/08
Appointments
Mr. Johan van der Ende, Chief Investment Officer of PGGM has joined the International Advisory Board of the EDHEC Risk and Asset Management Research Centre which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners. The role of the international advisory board is to validate the relevance and goals of the research programme proposals presented by the centre’s management and to evaluate research outcomes with respect to their potential impact on industry practices. The 34 members of the board also advise on the objectives and contents of projects deriving from the expertise of the research centre, thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace. More...
23/09/08
Asset Allocation
CFA Institute and the EDHEC Risk and Asset Management Research Centre have extended their partnership in executive education events to include a bi-annual seminar in Advances in Asset Allocation. The Advances in Asset Allocation Seminar series present the latest research advances in asset allocation and clarify the distinction between mere innovation and true marketing claims in emerging industry trends. Seminars will now be held in both London and New York. The next session will be taking place on 17-19 November, 2008 at The Dorchester, London. More...
23/09/08
Institutional Investment
Following the success of the EDHEC Institutional Days 2008, which attracted more than 1,200 delegates in June in Paris, making it the largest conference in Europe for institutional investment management, the EDHEC Risk and Asset Management Research Centre intends to build on this success in 2009 by presenting a programme with significant added value in terms of both research and business. More...
23/09/08
ALM and Asset Management
The EDHEC Risk and Asset Management Research Centre and ORTEC Finance have announced the creation of a new research chair in Private ALM focused on understanding the application of Asset-Liability Management (ALM) methodology in Private Wealth Management (PWM). The research chair is a three-year research programme piloted by a joint ORTEC Finance/EDHEC committee. First-year research will focus on the superiority of the ALM approach in private wealth management (PWM), with special attention being given to the Life Cycle asset allocation developed in the academic literature over the past decade. More...
22/09/08
Governance
Dr. Florencio Lopez de Silanes, Professor of Finance at EDHEC Business School, will be the guest speaker at the Finance research seminar of HSE and Hanken on Monday 22 September, 2008, where he will be speaking on the theme, "Transparency of political funding, accountability, and corruption".
At the research seminar, Dr. Lopez de Silanes will be presenting his paper, "Transparency and accountability" on international differences in the financial disclosure rules for politicians and their effects on policy making and corruption. More...
19/09/08
Corporate Governance
Dr. Florencio Lopez de Silanes, Professor of Finance at EDHEC Business School, will be one of the keynote speakers at the annual Australasian Finance and Banking Conference to be held at the Shangri-La Hotel in Sydney from Tuesday, 16 December to Thursday 18 December, 2008.
The event, organised by the School of Banking and Finance at the Australian School of Business, is the most prestigious finance conference in the Asia-Pacific region, and brings together the world's foremost leaders of thought from the financial community.
Dr. Lopez de Silanes is also a member of the selection committee which will be selecting the papers submitted by academics and practitioners to be published in a review volume by the World Scientific Publishing Co Ltd.
There will be a number of special issues of journals and prizes for presented papers. More...
19/09/08
Credit Risk
Dominic O’Kane, affiliated Professor of Finance at EDHEC Business School has released a new book entitled “Modelling Single-Name and Multi-Name Credit Derivatives”. Published by Wiley, this book presents an up-to-date, comprehensive, accessible and practical guide to the models used to price and risk-manage credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. More...
05/09/08
Alternative Investments
The EDHEC Risk and Asset Management Research Centre will be staging the fourth edition of the EDHEC Alternative Investment Days at the ExCeL Centre in London on December 9 and 10 next. The conference aims to present the applied research conducted by the EDHEC Risk and Asset Management Research Centre with leading pension fund managers and to discuss its results with the institutional investor and fund manager communities. More...
23/07/08
Asset Management Education
Due to the extent of the response from the market and an accumulation of requests to start the programme early, EDHEC Business School will be opening the executive track of its PhD in Finance one year earlier than anticipated. Applications for September 2008 executive track admissions will be considered until July 15. More...
25/06/08
Asset Management
As part of a partnership between the EDHEC Risk and Asset Management Research Centre and Investment Management Review, we are very pleased to enclose a second complimentary copy of the magazine. More...
24/06/08
Alternative Investments
As part of a partnership between the EDHEC Risk and Asset Management Research Centre and the Journal of Alternative Investments, we are pleased to be able to offer our readers an exclusive preview of the contents of the Summer 2008 issue of this respected academic journal. More...
24/06/08
Performance
The first IPE-EDHEC Institutional Asset Management Awards (IAMAs) were presented at a gala ceremony in Paris on June 12 compered by French television personality Eglantine Eméyé. The ceremony took place during the EDHEC Institutional Days before an invited audience of investors, asset managers, investment banks and other industry advisers and suppliers. More...
24/06/08
Asset Management
The EDHEC European Investment Practices Survey 2008 provides an account of the current practices in the industry and contrasts these practices with the recent state of the art in investment literature. The results of the survey show that the industry does not fully exploit a number of proven portfolio optimisation techniques that research has made readily available, such as management of extreme risks, improved covariance estimation or Bayesian and resampling techniques in portfolio optimisation. More...
24/06/08
Academic Research
René Garcia and Florencio Lopez de Silanes, Professors of Finance at EDHEC Business School, have been invited by the Sociedade Brasileira de Finanças to present at the eighth Brazilian Finance Meeting on 31 July - 2 August, 2008.
René Garcia will be speaking on 31 July on the subject "Empirical Likelihood and Stochastic Factor Discounts, and Florencio Lopez de Silanes will be discussing the topic "Law and Finance 10 Years Later". More...
27/05/08
Academic Research
This year, René Garcia has been invited to present the paper "Empirical Likelihood Estimators for Stochastic Discount Factors", co-authored with Caio Almeida to the American Finance Association (AFA) in San Francisco, the Econometric Society European Meeting in Milan in August, and the Northern Finance Association in Alberta (Canada) in September. More...
27/05/08
Academic Research
Florencio Lopez de Silanes, Professor of Finance at EDHEC Business School, has been named the number one European lecturer in Management and Economics. His work is widely acknowledged and is cited in scientific journals around the world. This ranking is a key indicator for the global academic community: www.sciencewatch.com. The ranking is drawn up by Thomson Reuters, based on an analysis of 11,000 international journals and 10 million articles, spanning a 10-year publication cycle. More...
27/05/08
Education
Two new Finance-based programmes and an innovative Accounting programme have been added to the EDHEC Business School’s already wide range of English taught Masters of Science (MSc) degrees. More...
21/05/08
Risk & Asset Management
The European Financial Management Association and EDHEC Business School jointly organised the European Financial Management 2008 Symposium on April 17 to 19 at the EDHEC Business School campus in Nice. More...
20/05/08
Alternative Investments
The Lhabitant & Martellini Hedge Fund Investing Seminar, conducted by François-Serge Lhabitant, PhD, Associate Professor of Finance at EDHEC Business School, and Lionel Martellini, PhD, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be held at The Grand Hyatt in New York on 8-9 July, 2008. More...
23/04/08
Commodities
Hilary Till, research associate at the EDHEC Risk and Asset Management Research Centre, and co-founder and principal of Premia Capital Management, will be making a one-hour presentation on the topic of "Intelligent Commodity Investing", followed by a question and answer session, to CAIA Canada members at the Fairmont Royal York Hotel in Toronto on 12 May, 2008 at 5.00pm. More...
17/04/08
Appointments
Dr. Arjuna Sittampalam has joined the EDHEC Risk and Asset Management Research Centre as Research Associate. Dr. Sittampalam's experience encompasses the banking, insurance and specialist fund management fields, with a particular interest in derivatives and other innovative portfolio management techniques. Dr. Sittampalam is the Managing Director of investment company Sage & Hermes Ltd., which he founded in 1994 to advise leading financial institutions in the USA and Europe on investment management business strategy and operations. More...
28/03/08
Asset Management
The EDHEC Risk and Asset Management Research Centre is pleased to announce that it has entered into a partnership with Investment Management Review whereby three free electronic copies of the publication will be offered to readers of the EDHEC-Risk newsletter. More...
20/03/08
Awards
Daniel Mantilla, EDHEC MSc in Risk & Asset Management graduate, and research assistant with the EDHEC Risk and Asset Management Research Centre, has won the AFGAP/PRMIA prize, awarded by the French Association of Asset-Liability Managers and the Professional Risk Managers' International Association, in the 2008 edition of a national competition for the best thesis in economics and finance. More...
17/03/08
Performance
EDHEC and EuroPerformance have published their third annual rankings of French asset management management firms based on an accurate measure of risk-adjusted performance: the Alpha League Table. The Alpha League Table ranks asset management firms on their equity management and on their ability to deliver alpha.
As with the earlier series, this new table will be distributed widely to asset
management professionals throughout Europe.
This year's results have revealed that both the frequency of alpha and the average alpha generated by French asset managers have fallen in comparison with 2007.
The winner of the 2008 edition is HSBC Private Bank France with a score of 1.52%. MMA Finance, with a score of 1.43%, takes second place after improving from eighth position last year. The biggest jump in this year’s edition was from State Street Global Advisors France. The firm moved up sixteen places in the rankings to third. More...
17/03/08
Asset Management
Dr. Felix Goltz, Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre and lead author of the recent EDHEC European Investment Practices Survey, has been invited to present the findings of the survey to the members of the UK CFA society at its annual conference on 18 June. More...
17/03/08
Performance
Investment & Pensions Europe (IPE) and EDHEC, France’s premier business school, are setting up the IPE-EDHEC Institutional Asset Management Awards (IAMAs) in 2008. The awards will be presented to winning asset managers at a gala reception on June 12 in Paris during the EDHEC Institutional Days. If your asset management firm operates in a minimum of three European countries and you have not received an official request for information, please contact EuroPerformance. More...
12/03/08
Institutional Investment
The EDHEC Risk and Asset Management Research Centre will be staging the second edition of the EDHEC Institutional Days in Paris on June 12 and 13, 2008. Over 1,200 delegates are expected to attend this latest event, which will feature more than 50 top speakers and panellists, including leading European institutional figures. The EDHEC Institutional Days are the most important initiative for delivering research results to finance professionals. More...
05/03/08
Institutional Investment
The EDHEC Risk and Asset Management Research Centre and Morgan Stanley Investment Management (MSIM) have announced the creation of a new research chair titled Financial Engineering and Global Alternative Portfolios for Institutional Investors. The research chair is a three-year research programme piloted by a joint MSIM/EDHEC committee. The EDHEC Risk and Asset Management Research Centre’s team, led by the centre’s scientific director, Lionel Martellini, will research new forms of welfare-improving financial innovation through the engineering of alternative solutions for institutional portfolios. The findings of this research will be presented at both MSIM’s Second Annual Alternatives Investment Conference (2ème Conférence Gestion Alternative) in Paris on 23 October and the EDHEC Alternative Investment Days at the ExCeL Conference Centre in London on 9 and 10 December 2008.
More...
20/02/08
Private Banking
An EDHEC Risk and Asset Management Research Centre study entitled "Asset-Liability Management Decisions in Private Banking" argues that asset-liability management is the natural approach in high quality financial management for private banking clients. We are seeking to obtain the reactions to EDHEC's conclusions from a wide range of investors and asset managers. More...
15/02/08
Commodities
Hilary Till, Research Associate at the EDHEC Risk and Asset Management Research Centre and Principal, Premia Capital Management, LLC, made a presentation to the CAIA London Chapter on 23 January 2008 entitled, "Intelligent Commodity Investing: Opportunities and Challenges", in which she discussed the the demand for energy investments, portfolio construction and inadvertent concentration risk, macro portfolio protection, risky asset deleveraging and the Amaranth case. More...
23/01/08
Alternative Investments
The next edition of the Lhabitant Hedge Fund Seminar will be taking place on April 7, 2008, at The Dorchester in London. Conducted by François-Serge Lhabitant, Associate Professor of Finance at EDHEC Business School, Professor of Finance at the University of Lausanne and Chief Investment Officer at Kedge Capital, the Lhabitant Hedge Fund Seminar equips participants with a workable knowledge of the techniques essential for anyone investing in hedge funds or advising private and institutional clients on the inclusion of hedge funds in their portfolios. More...
22/01/08
Alternative Investments
The paper entitled, "EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle", by Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre and Principal, Premia Capital Management, was cited in the Bank of Japan Paper Series of Risk Management in Financial Institutions, "Hedge Fund Investments: Risk Management Perspectives", dated December 2007, the English translation of the Japanese original released in July 2007. More...
08/01/08
Careers
Within the framework of its strategy of international excellence, EDHEC has developed a very active research policy in recent years which has led to the creation of research centres that are based on its faculty’s expertise. More...
20/12/07
Asset Allocation
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. More...
22/11/07
Performance
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 in June 2008 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. More...
20/11/07
Performance Measurement
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, received one of four Honorable Mention Awards from The Journal of Performance Measurement as part of this year's Dietz Award for Excellence in Performance Measurement Literature, for their paper entitled, "A Critical Analysis of Fund Rating Systems, published in Volume 11 Nº. 4 of the journal. More...
12/11/07
Best Execution and Operational Performance
A working paper published by the International Montetary Fund (IMF) in October 2007 and entitled "The Markets in Financial Instruments Directive: Banking on Market and Supervisory Efficiency" by François Haas, refers to EDHEC's recent position paper on MiFID by Jean-René Giraud and Catherine D'Hondt: "MiFID: the (in)famous European Directive?".
More...
06/11/07
Alternative Investments
The results of the third edition of the EDHEC French Funds of Hedge Funds rankings were published in the financial daily, La Tribune, on 6 November. More...
06/11/07
Institutional Investment
In 2008, EDHEC will be merging two of its most important conferences into a
single event. The EDHEC Asset Management Days, which had been taking place
in Geneva up until now, have been integrated into a new edition of the EDHEC
Institutional Days, which will now be held every year in Paris in June. This new joint event will capitalise on the previous success of both events, with
the most recent editions having attracted in total more than 1,500 institutional
investors, asset managers and private bankers. By merging the two events, EDHEC’s intention is to establish in Paris the most important European conference for institutional investment management. More...
17/10/07
Alternative Investments
Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, has been invited to conduct a Financial Engineering Practitioners Seminar at Columbia University on the topic of Hedge Fund Replication, on 15 October. More...
15/10/07
Appointments
Dr. Michel Verlaine has been appointed Business Analysis Director at the EDHEC Risk and Asset Management Research Centre. Prior to joining EDHEC, Dr. Verlaine worked for several financial and public institutions, including Ernst & Young’s Risk Advisory Services, the Ministry of Economics in Luxembourg and the Caisse des Dépôts et Consignations. More...
11/10/07
Appointments
Dr. Dominic O’Kane has been appointed Affiliated Professor at EDHEC Business School. He was previously Managing Director and Head of Fixed Income Quantitative Research (Europe) at Lehman Brothers International, where he focused on the pricing and risk models used across credit, interest rates, FX and commodity derivatives. His future research activities will focus on the modelling of European and US sub-prime mortgages. More...
28/09/07
Legal Origins & Financial Markets
Florencio Lopez de Silanes, Professor of Finance at EDHEC Business School, was invited to conduct seminars at Harvard Law School and Harvard Economics Department on 24 & 25 September to present his latest work on legal origins, which focuses on the impact of law on financial and other markets across 100 countries. In the paper entitled, "The Economic Consequences of Legal Origins", Dr. Lopez de Silanes and co-authors Rafael La Porta and Andrei Shleifer, find that in common law countries, as opposed to civil law countries, investors are much better protected, and larger and more liquid financial markets have developed as a result. More...
24/09/07
Institutional Investment
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). The aim, for both partners, is to carry out a joint operation on a European scale to highlight the challenges for institutional investment management of regulatory developments. More...
21/09/07
EDHEC-Risk
The international advisory board of the EDHEC Risk and Asset Management Research Centre held its third annual meeting in Beaulieu sur Mer (France) on 21st September. The meeting, chaired by Jean-François Lepetit, Associate Professor at EDHEC Business School and former Chairman of the French Securities and Exchange Commission, enabled the board's members to validate the results of the work undertaken by the EDHEC Risk and Asset Management Research Centre during the previous year, and to endorse its research projects for the coming year. More...
21/09/07
Alternative Investments
Against the backdrop of record institutional investments into private equity, hedge funds, real estate, commodities, and derivatives, the number of candidates for the Chartered Alternative Investment Analyst® designation jumped 73% to 4,274 in 2007. Sponsored by the not-for-profit CAIA Association®, the charter attests to an individual’s mastery of the concepts, tools and practices essential for managing alternative vehicles. More...
18/09/07
Asset Management Education
EDHEC Asset Management Education (EAME) has been admitted as an Approved Provider under the CFA Institute Professional Development (PD) Programme. The decision by the leading association of investment practitioners means that pre-approved executive education courses offered by EAME will be considered “safe harbour” professional development activities for the 91,000+ CFA Institute members worldwide.
More...
18/09/07
Risk & Asset Management
On 17-19 April, 2008 in Nice, France, EDHEC Business School and the EFM Association are jointly organising the European Financial Management 2008 Symposium on Risk and Asset Management. The keynote speaker at the event will be Richard Roll, UCLA. The call for papers is open and all papers accepted for the symposium will be eligible for publication in a special issue of European Financial Management. More...
13/09/07
MiFID & Best Execution
EDHEC is organising a two-day seminar on 18-19 December 2007 on the topic of MiFID and Best Execution. The aim of the seminar is to offer a practical understanding of the directive’s impact on business and on the wider asset management industry, and to 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. The seminar is designed and delivered by academic and industry specialists, Catherine D'Hondt and Jean-René Giraud.
More...
13/09/07
13/09/07
Alternative Investments
The third edition of EDHEC Hedge Fund Days, now renamed EDHEC Alternative Investment Days to accommodate the latest developments in the alternative investment industry such as real estate and commodities investment, will be taking place at The Brewery in London on 20-21 November, 2007. More...
13/09/07
Alternative Investments
Following the official presentation of the results and conclusions of its latest research into hedge fund replication at a seminar in London on 28 June, EDHEC is organising a new session, the Alternative Betas & Hedge Fund Replication Seminar, in New York on 16 October where Lionel Martellini will present a novel approach to hedge fund investing and detail the associated techniques for identifying, measuring, and optimizing the beta benefits of hedge funds. More...
13/09/07
Commodities
Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre and Principal, Premia Capital Management, LLC, will be participating in a panel session at the event entitled, "Commentary on breaking news stories and their impact on commodity performance", alongside Guy Isherwood, Editor of Commodities Now and Kevin Morrison, Senior Commodities Correspondent of the FT. More...
13/09/07
Portfolio Management
David Kuenzi, Research Associate with the EDHEC Risk and Asset Management Research Centre, and Head of Risk Management and Quantitative Research at Glenwood Capital Investments, LLC, is one of five financial experts invited to speak at the 43rd meeting of the Chicago QWAFAFEW (Quantitative Work Alliance for Applied Finance, Education & Wisdom) on the theme, "Portfolio Management and the Volatility of Volatility Indexes". More...
13/09/07
Institutional Investment
Sponsorship opportunities for the EDHEC Institutional Days 2008, which will be held on 12-13 June in Paris, are now open. The conference will include five major events: the ETF Summit, the EDHEC Wall Street Journal Europe Institutional Investor Forum, the EDHEC Pension Fund Conference, the EDHEC Corporate Governance Panel, and the EuroPerformance EDHEC Alpha League Forum, together with five seminars for French and European institutional investors.
Various sponsorship options are available, allowing event partners to best target their audience.
More...
13/09/07
Appointments
Dr. Florencio López-de-Silanes has been appointed Finance Professor at EDHEC Business School. He holds a PhD in Economics from Harvard University and his
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. More...
12/09/07
Appointments
Pierre Mella-Barral has joined EDHEC Business School as Professor of Finance.
Pierre's research projects revolve around corporate finance and asset valuation. His work consists of taking concepts used in corporate finance, in banking, or in strategic planning and adapting them to dynamic models for the valuation of financial assets. He is a graduate of the Ecole Nationale Supérieure d'Arts et Métiers and earned his Doctorate in Economics from the University of Cambridge. More...
16/08/07
Asset Allocation & Alternative Diversification
Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre and Principal, Premia Capital Management LLC, has been invited by the CFA Institute to speak at their 51st annual Financial Analysts Seminar in Chicago on Friday 20 July, on the theme "Lessons to be learned from the 2006 Hedge Fund Debacles". More...
20/07/07
ALM
On 6 July, Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre, presented a paper entitled, "Dynamic Allocation Decisions in the Presence of Liability Constraints", at a workshop on "Advances in Portfolio Management" organised by the Bank of Canada and the Rotman School of Management at the University of Toronto. More...
06/07/07
Real Estate
Frédéric Ducoulombier, Associate Professor at EDHEC Business School, has been invited to speak at Property Derivatives World in London on Thursday 5 July, when he will be making a presentation in the session on "Risk Management – How Derivatives can Help" entitled, Property derivatives: investors' perceptions and expectations", during which he will be discussing the results of a pan-European survey conducted by the EDHEC Risk and Asset Management Research Centre. More...
05/07/07
Appointments
On 3 July, Dr. René Garcia joined EDHEC as a finance professor. Prior to this appointment, René was a professor at the Université de Montreal, where he taught finance and econometrics. His research interests revolve around the valuation of financial assets, portfolio management and risk management. René has published in leading international journals and is the editor-in-chief of the Journal of Financial Econometrics. René holds a PhD in Economics from Princeton University.
More...
03/07/07
Appointments
Dr. Devraj Basu has been appointed Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre, with effect from 2 July. Prior to joining EDHEC, Devraj was a lecturer in finance at CASS Business School, City University, London, and at Warwick Business School in Coventry. He holds a PhD in Mathematics and his fields of research include asset pricing and asset allocation, and continuous time finance.
More...
02/07/07
Alternative Investments
On 28 June at the Marriott Renaissance Chancery Court hotel in London, Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be unveiling the results and conclusions of EDHEC's forthcoming survey on hedge fund replication at an exclusive evening seminar and debate. In the survey entitled "The Myths and Limits of Passive Hedge Fund Replication", EDHEC provides a critical analysis of the various methodologies involved in hedge fund replication offers and examines the respective benefits and limits of the "factor-based" and "payoff-distribution" hedge fund replication approaches, presenting independent tests of each technique's ability to consistently deliver hedge-fund-like returns, and suggesting new directions to improve hedge fund trackers. More...
28/06/07
Alternative Investments
Designed and delivered by two leading experts in the theory and practice of hedge fund investing, François-Serge Lhabitant, CIO of Kedge Capital and Associate Professor at EDHEC Business School, and Lionel Martellini, Professor at EDHEC and Scientific Director of the EDHEC Risk and Asset Management Research Centre, this intensive seminar will equip participants with a workable knowledge of the state of the art techniques for analysing the performance and risks of alternative investments and optimising hedge fund benefits both at the fund level and for end-investors. More...
28/06/07
Best Execution & Operational Performance
Jean-René Giraud, Director of Development at the EDHEC Risk and Asset Management Research Centre, will be moderating a workshop on the theme, "Are regulators about to seal the future of exchanges?" at Euronext's International Advisory Board Meeting which will bring together major institutional investors. More...
15/06/07
Alternative Investments
On 7 June in Paris at the inaugural EDHEC Research Day, Jean-François Lepetit, Chairman of the EDHEC-Risk International Advisory Board, former Chairman of the COB and recently appointed Chairman of the French National Accounting Council, delivered a presentation on the subject of Regulation and Hedge Funds, entitled "When EDHEC's Research Convinces the Regulator". More...
07/06/07
Best Execution & Operational Performance
At the seminar, Jean-René Giraud, Director of Development at the EDHEC Risk and Asset Management Research Centre, will be presenting the results of EDHEC's Europe-wide survey on investors' attitudes towards trading and Transaction Cost Analysis and will be discussing an alternative benchmark, EBEX indicators, that can be used for measurement purposes. More...
09/05/07
Real Estate
Frédéric Ducoulombier, Associate Professor at EDHEC, was invited to speak at the IEIF's annual conference which took place in Paris on 24 April. At the event, the theme of which was "Real Estate: where are the limits?", Frédéric Ducoulombier presented the preliminary results from a pan-European survey on the real estate investment and risk management practices of institutional investors. More...
24/04/07
Best Execution & Operational Performance
Jean-René Giraud, Director of Development at the EDHEC Risk and Asset Management Research Centre, will be participating in the MiFID Focus Day where he will be making a presentation entitled, "MiFID: The (In)famous Revolution - Consequences and Opportunities", on 24 April. He will also be chairing a plenary session on 26 April on the theme, "Do exchanges have a future and what lies in store for the evolution of the execution landscape?", involving representatives of the major European stock exchanges. More...
24/04/07
Commodities
Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre, and Principal, Premia Capital Management, LLC, will be participating in a luncheon panel discussion organised by the CFA Society of Chicago on 5 April, during which the Chicago authors of the recently published book "Intelligent Commodity Investing" will clarify what the key return drivers for commodity investing are and will also explain how to manage the risks in these investments. More...
05/04/07
Asset Allocation & Alternative Diversification
The French Banking Federation has announced that it has awarded one of five high-level Research Chairs in the field of corporate and investment banking to EDHEC Business School. The objective of the "Structured Products and Derivatives" Research Chair which has been awarded to EDHEC, will be to examine structured products with regard to clients' specific requirements. The FBF will contribute 300,000 euros over five years to finance each of the Research Chairs, which aim to increase the competitiveness of the French financial market. More...
03/04/07
ALM & Asset Management
On 29 March at the Club Saint James in Paris, Noël Amenc, Director of the EDHEC Risk and Asset Management Research Centre, Philippe Foulquier, Director of the EDHEC Financial Analysis and Accounting Research Centre, and Samuel Sender, Research Associate, made a presentation on the theme: "Solvency II: inadequate and poorly constructed regulations" to business leaders from France's leading insurance companies and the insurance regulatory authorities. More...
29/03/07
ALM & Asset Management
Philippe Foulquier, Associate Professor at EDHEC Business School, and Director of the EDHEC Financial Analysis and Accounting Research Centre, made a presentation on 27 March on the theme: "Solvency II: Does the increasing demand for transparency constitute a sufficient guarantee to avoid the pitfalls of IFRS and EEV?", at the second annual conference on Solvency II organised by the French insurance publication, "L'Argus de l'Assurance". More...
27/03/07
ETFs
The first of a series of EDHEC/iShares European seminars, the theme of which is "Innovations: Being Active with ETFs" will be taking place in Rome on 21 March, followed by Milan on 22 March, featuring EDHEC speaker Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre. The programme will cover topics such as the benefits of core-satellite portfolio management, case study examples of how ETFs can be used in a "core" and "satellite" strategy, designing completeness portfolios, and how ETFs can offer risk reduction benefits for both equity and bond markets. The seminars will be taking place in other European cities during March and April. More...
21/03/07
Commodities
Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre and Principal, Premia Capital Management, LLC, will be making a presentation entitled, "Term Structure Properties of Commodity Investments" at this unprecedented event which gathers top industry leaders worldwide in Foreign Exchange and Commodities to discuss, explore and educate institutional investors on the intricacies, merits, and applications of both asset classes. More...
20/03/07
Appointments
On 16 March, the French Ministry of Economy, Finance and Industry announced the appointment of Jean-François Lepetit as Chairman of the French National Accounting Council. In this role, Jean-François Lepetit, who is an Associate Professor of Finance at EDHEC Business School and Chairman of the EDHEC Risk and Asset Management Research Centre's International Advisory Board, will be responsible for the institution's development, notably with the
introduction of the new IFRS accountancy standards. More...
16/03/07
Appointments
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. More...
14/03/07
Asset Management
The EDHEC Risk and Asset Management Research Centre will be organising the second edition of the EDHEC Asset Management Days at the Hotel President Wilson in Geneva on 12-13 March. EDHEC Asset Management Days 2007 will explore how to use the most recent research advances and the latest industry innovations as new sources of value in investment management. More...
12/03/07
Alternative Investments
The third edition of the EDHEC Hedge Fund Days, now rebranded as EDHEC Alternative Investment Days to accommodate the latest developments in the alternative investment industry such as real estate and commodities investment, will be taking place in London on 20-21 November, 2007. The first day of the event will comprise a Hedge Funds Summit, and the second day will cover State of the Art Alternative Investment. CNBC Europe and the International Herald Tribune will be premium media partners of the event. More...
02/03/07
Commodities
Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre and Principal, Premia Capital Management, LLC, co-editor of the recent book "Intelligent Commodity Investing", will be participating in a panel discussion on 11 June in New York featuring fellow authors of the publication, which provides comprehensive insights into commodity investment. More...
01/03/07
ALM & Asset Management
Further to their work in this area, the authors of the recent EDHEC paper entitled "CP20: Significant improvements in the Solvency II framework but grave incoherencies remain", Philippe Foulquier and Samuel Sender, were invited by the European Parliament to participate in a roundtable on 27 February in Brussels. Their presentation concluded that efficient risk management, asset-liability management and asset management is ultimately penalised heavily by the IFRS and Solvency II, which goes against the objectives that they initially wanted to promote. More...
27/02/07
Alternative Investments
The latest edition of the Lhabitant Hedge Fund Seminar will be taking place in London on 26 February 2007. This seminar, delivered by François-Serge Lhabitant, Associate Professor of Finance at EDHEC Business School and CIO of Kedge Capital, is designed to equip participants with a workable knowledge of the techniques that should be part of the toolkit of anyone investing in hedge funds or advising private and institutional clients on the inclusion of hedge funds in their portfolios. More...
26/02/07
Commodities
The State-of-the-Art in Commodities Investing Seminar run by EDHEC Asset Management Education will be taking place in London on 30-31 January 2007.
This limited enrolment seminar has been designed by two EDHEC experts, Research Associate Hilary Till, who is the co-founder and principal of natural resources proprietary trading Premia Capital Management, and Associate Professor François-Serge Lhabitant, who is the CIO of Kedge Capital, to equip participants with a comprehensive overview of natural resources markets and products, a thorough understanding of the importance of commodities as an asset class, and the state-of-the art techniques for implementing futures programmes and managing institutional commodity investments. More...
30/01/07
Alternative Investments
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. More...
17/01/07
Alternative Investments
On the back of record commitments to non-traditional assets and strategies by institutional investors, the number of candidates for the Chartered Alternative Investment AnalystSM designation has reached new record highs in 2006.
EDHEC Asset Management Education, the exclusive CAIA AssociationSM course provider for Europe, is organising the following review courses for the March sessions of the exam:- Level I: January 10-12 (Paris), January 24-26 (Zurich), February 7-9 (London)
- Level II: January 17-19 (London)
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10/01/07
Appointments
Ms. Joëlle Miffre has joined EDHEC as Associate Professor of Finance to teach Fixed-Income Securities and Derivatives. She will also participate actively in the work of the EDHEC Risk and Asset Management Research Centre. Her 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. More...
09/01/07
Alternative Investments
EDHEC Associate Professor François-Serge Lhabitant’s latest publication, the "Handbook of Hedge Funds", combines new material with updated information from his two other best sellers: "Hedge Funds: Quantitative Insights" and "Hedge Funds: Myths & Limits", to provide a comprehensive guide to the hedge fund industry for investors and fund and portfolio managers. More...
31/12/06
Alternative Investments
Following the launch in 2004 of the EuroPerformance-EDHEC Style Ratings, the innovative system for rating the performance of European mutual funds, which measures the performance with regard to the risks that were really taken by the managers while at the same time taking the extreme risks being run and the managers’ capacity to generate outperformance into account, the French financial daily La Tribune asked EDHEC in 2005 to apply the same approach to rating funds of hedge funds. The results of the second edition of the rankings were published in France on December 5th. More...
05/12/06
Institutional Investment
The 2006 IPE Awards will be taking place in Paris on 30th November. This year again, EDHEC will be involved in the event and Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, will be a keynote speaker during the presentations, alongside Mr. Charlie McCreevy, European Commissioner for Internal Market and Services and former Irish Minister for Finance, and Mr. Bernard Kouchner, Member of the European Parliament, former French Health Minister and Co-Founder of Médecins du Monde and Médecins sans Frontières. More...
30/11/06
Institutional Investment
Following on from the success of its Hedge Fund Days in London and Asset Management Days in Geneva, the EDHEC Risk and Asset Management Research Centre is organising its inaugural two-day EDHEC Institutional Days 2006 at the CNIT in Paris on 21-22 November next. The event will feature the EDHEC ETF Summit, the New Challenges for European Institutional Investors Conference, and the State of the Art Institutional Asset Management Master Class, with speakers including EDHEC's research specialists and distinguished figures from the institutional investor community. More...
21/11/06
Alternative Investments
Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, has been invited to speak at the Luxembourg Investment Forum in Rome, the theme of which is "Where and how to be invested in 2007?". In the Alternative Investment session of the three-day event, Noël Amenc made a presentation entitled "What are the prerequisites for out-performance and low correlation to traditional asset classes?" More...
17/11/06
ALM & Asset Management
In a new position paper by Philippe Foulquier, director of the EDHEC Financial Analysis and Accounting Research Centre, and Samuel Sender, research associate with the EDHEC Risk and Asset Management Research Centre, entitled "QIS 2: Modelling that is at odds with the prudential objectives of Solvency II", EDHEC regrets the approach chosen by the CEIOPS (Committee of European Insurance and Occupational Pensions Supervisors) for the European Commission as proposed in the QIS 2 (Quantitative Impact Study 2). More...
17/11/06
Alternative Investments
The next "State of the Art in Hedge Fund Investment" Seminar run by EDHEC Alternative Investment Education and delivered by François-Serge Lhabitant, professor at EDHEC Business School, will be held at the Dorchester Hotel in London on 16 November. This limited enrolment seminar draws on the latest results of the alternative investment research conducted within the EDHEC Risk and Asset Management Research Centre, offering insight into state of the art practices for implementing hedge fund programmes, controlling risk, and measuring and reporting on performance and risks. More...
16/11/06
Appointments
An active researcher for over 15 years in the fields of finance, economics and computer science and engineering, Dr. Harmantzis is a specialist in alternative investments, and his research interests include investment strategies and investment management. He is a member of the Investment Management Research team at FX-Concepts in New York, an investment firm with $12 billion in assets. More...
09/11/06
Style & Performance Analysis
Agefi, the leading newspaper for the financial community in France, will be holding its 2006 asset management awards in Paris on November 8th. As in previous years, EDHEC, together with EuroPerformance, has been involved in producing the rankings for the Awards. More...
08/11/06
Style & Performance Analysis
EDHEC and EuroPerformance have released their rankings of the top UK asset management companies. The Alpha League Table 2006 for the UK reveals that compared to the results obtained by leading asset managers in France, Italy and Spain, the figures from the UK are truly remarkable. 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. More...
16/10/06
Alternative Investments
François-Serge Lhabitant, Associate Professor at EDHEC Business School, will be delivering a presentation on the theme, "Hedge Funds: From diversification to diworsification", organised by the Swiss CFA Society, on 18 September in Geneva and on 19 September in Zurich. More...
18/09/06
Asset Allocation
Lionel Martellini will be speaking on the theme "Optimal Allocation Decisions in Asset and Liability Management" at a research seminar organised by the Bank of Italy at the Ente "Luigi Einaudi" for monetary, banking and financial studies in Rome on September 15.
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15/09/06
Asset Allocation
Lionel Martellini has been invited to speak at a seminar organised by Assogestioni (the Italian association of fund mangers), where he will be addressing the topic of new frontiers in asset management, with a focus on dynamic asset allocation strategies.
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14/09/06
Asset Allocation
The theme of this year’s summer school, run by the Department of Mathematics for Economics and Social Science of the University of Bologna, is "Asset Management Markets: People, Products and Techniques". Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be making a presentation entitled, "Dynamic Asset Allocation Strategies and Non-Linear Payoffs in Asset Management and Asset-Liability Management". More...
13/09/06
Indexes & Benchmarking
Af2i (the French association of institutional investors) and EDHEC have carried out research on the main market indices used by European investors. This work received the support of BNP Paribas Asset Management and UBS Global Asset Management. The results of the Af2i/EDHEC study, entitled “Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement”, will be presented to the members of Af2i by Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, in Paris on 12 September. More...
12/09/06
Regulation
Jean-René Giraud, Director of Development at the EDHEC Risk and Asset Management Research Centre, was invited to make a presentation about hedge fund regulation in Europe during the Economic Symposium, as part of the "Global Capital Markets and the Role of Hedge Funds" working group. More...
31/08/06
Alternative Investments
International investment manager Olympia Capital Management (OCM) and EDHEC Business School, have teamed up yet again to organize the second annual summer programme in alternative investment, aimed at helping young talents from all over the world to discover one of the fastest growing and yet least understood sectors of the asset management industry. More...
10/07/06
Indexes & Benchmarking
The European Financial Management Association invites its members to participate in its annual meeting by submitting papers in all areas of finance. In addition to the regular sessions of academic research, the program includes special sessions to enhance the exchange of ideas between academics and practitioners and to provide a forum for discussion of special topics.
This year, Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be presenting a paper in the special session "Hedge Funds: Performance and Risk", entitled "Hedge Fund Indices: Reconciling Investability and Representativity", co-authored with Felix Goltz (EDHEC) and Mathieu Vaissié (research associate), on 1st July in Madrid.
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01/07/06
Alternative Investments
On 22-23 June, François-Serge Lhabitant, associate professor at EDHEC Business School and Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be holding an exclusive seminar in London aimed to equip participants with a workable knowledge of the state of the art techniques for analysing the performance and risks of alternative investments and optimising hedge fund benefits both at the fund level and for end-investors. This seminar draws on the latest results of the alternative investment research conducted within the EDHEC Risk and Asset Management Research Centre. More...
22/06/06
Alternative Investments
EDHEC AI Education, the exclusive CAIA Association® course provider for Europe since 2004, will be holding a three-day Level I CAIA review seminar in Paris on 21-23 June. This will be followed by a second review seminar in London on 3-5 July and a Level II review course in London on 31 August to 1 September. To date, EDHEC AI Education has helped professionals from more than a hundred organisations pass the CAIA® exams, with a success rate of 90%.
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21/06/06
EDHEC
On 20th June, Daniel Haguet, Professor in the Economics and Finance department at EDHEC Business School made a presentation on the theme, "Investor behaviour: Application to Financial Markets", to the Cercle de l’Orangerie in Paris, whose members are the private clients of BNP Paribas bank. The conference principally dealt with the biases of investor behaviour and their consequences in the field of portfolio management, and the conference minutes were distributed to all the members of the Cercle de l’Orangerie. More...
20/06/06
Alternative Investments
IOSCO is the international standard setter for securities markets, regulating more than 90% of the world's securities markets. The organization has established a specialised Technical Committee, divided into five major functional subject areas, whose objective is to review major regulatory issues related to international securities and futures transactions and to coordinate practical responses to these concerns.
It is within the context of IOSCO’s comprehensive consultation policy that Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, and Jean-René Giraud, CEO of EDHEC-Risk Advisory, were heard by IOSCO’s Standing Committee nº 5 in charge of investment management on 14th June 2006 on the subject of hedge fund risks, as part of a specific consultation process concerning the regulation of hedge funds. More...
14/06/06
Indexes & Benchmarking
To mark the first anniversary of the EDHEC Hedge Fund Diversifier Benchmarks, the EDHEC Risk and Asset Management Research Centre and Lyxor Finance, jointly organised a breakfast seminar at Le Meurice hotel in Paris on 8th June to present the year’s results. More...
08/06/06
Asset Allocation
Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, was invited to speak at Europe's premier networking event for risk management and derivative trading professionals held in Monaco from 5-8 June, on the theme, "Dynamic asset allocation strategies and non-linear payoffs in ALM". More...
07/06/06
EDHEC-Risk
The advisory board of the Edhec Risk and Asset Management Research Centre will be holding its first annual meeting on 27th May in Beaulieu sur Mer (France).
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27/05/06
Alternative Investments
The 59th CFA Institute Annual Conference will be taking place in Zurich on 20th-24th May. The theme of this year’s conference is “Reaching for the Investment Management Summit”, and topics will include global geopolitics and the impact on investments, pension plan investment strategies, the sustainability and institutionalization of hedge funds, investing in emerging markets, and asset/liability management.
François-Serge Lhabitant, Associate Professor of Finance at EDHEC Business School, will be hosting a workshop session at the conference entitled, “Hedge Fund Myths and Limits: A View from the Buy Side”. More...
24/05/06
Style & Performance Analysis
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.
After, France and Spain-Italy, EDHEC and EuroPerformance have released the third edition of the Alpha League Table, which this time ranks the top asset management companies in Switzerland.
The results are extremely tight, the top three only being separated by a hair’s breadth with a difference of less than one hundredth of a point. More...
22/05/06
Risk Management
Mr. Bruno Dupire, world expert in the field of derivatives, will be sharing his expertise with the EDHEC Risk and Asset Management Research Centre's team and EDHEC's MSc Finance and MSc Risk and Asset Management students on Tuesday, 16th May at 13:00 at EDHEC Business School's Nice campus.
The presentation, the theme of which will be “Risk Premia Revisited”, will include the following topics:- Arbitrage, completeness, link measure/numeraire
- Numeraire portfolio associated with the physical measure
- Risk premium as a convexity bias
- Portfolio theory revisited
Mr. Bruno Dupire headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products before joining Bloomberg in NY to develop pricing, risk management and arbitrage models. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and subsequent stochastic volatility extensions. Prior to this, he obtained a Master’s Degree in Artificial Intelligence, a PhD in Numerical Analysis and introduced the use of Neural Networks for financial time series forecasting. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame” of the 50 most influential people in the history of Derivatives and Risk Management. He is the recipient of the 2005 “Cutting edge research” award of Wilmott magazine. More...
16/05/06
EDHEC-Risk
The second annual meeting of the EDHEC Risk and Asset Management Research Centre’s international advisory board was held in Beaulieu on 12th May, chaired by Mr. Jean-François Lepetit, associate professor with EDHEC and former president of the French regulatory authority, the COB (Commission des Opérations de Bourse).
This was the occasion for the members of the advisory board, made up of distinguished scholars, representatives of regulatory bodies and senior executives from business partners and other leading institutions, to discuss the research centre’s scientific programme and the results of on-going research projects, as well as future research themes.
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12/05/06
EDHEC-Risk
The permanent researchers and research associates of the EDHEC Risk and Asset Management Research Centre met in Nice on 11th May to review the progress and highlights of the year's research work.
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11/05/06
Best Execution & Operational Performance
Jean-René Giraud, CEO of Edhec-Risk Advisory, will be speaking at the pre-conference Focus Day on 25th April, the theme of which is "Successfully Rising to the Challenges of Achieving Increased Transparency and Unbundled Execution in the New International Regulatory Landscape" and will also be participating in the Transaction Cost Analysis workshop led by Catherine D'Hondt, Associate Professor of Finance at Edhec Business School. More...
25/04/06
Institutional Investment
Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be speaking on the theme, “Investing in Hedge Funds from the Institutional Investor’s Perspective” on 24th April. More...
24/04/06
Institutional Investment
During this year's institutional investment forum that will be taking place in Paris at the Palais des Congrès on 15th & 16th March, EDHEC will again be jointly organising the "Agora de la Performance" with EuroPerformance. Based on the EuroPerformance-EDHEC Style Rating, a selection of the best European institutional managers will be presented, and French managers will be interviewed by editorial staff from several major French publications.
EDHEC will also be participating in a conference on the theme "Solvency II: impacts on institutional investment well before 2010!" on 15th March at 4.15 pm, at which Philippe Foulquier, Associate Professor of Finance at EDHEC Business School, will be speaking. More...
15/03/06
Style & Performance Analysis
After the Alpha League Table for France, EDHEC and EuroPerformance have released their rankings of the top Italian and Spanish asset management companies.
The rankings were constructed on the basis of a genuine measure of alpha, using a methodology developed by EDHEC which corresponds to the state-of-the-art in financial research.
In terms of alpha creation in both Spain and Italy, internationally invested funds dominate.
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13/03/06
Alternative Investments
Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, and Jean-René Giraud, CEO of Edhec-Risk Advisory, will be jointly making the keynote opening presentation at the conference on 9th March, entitled "New Ideology for Alternative Investments". More...
09/03/06
Fixed Income & Alternative Investments
Jean-René Giraud, CEO of Edhec-Risk Advisory, will be participating in the panel discussion entitled "Hedge Funds and Bonds: No Direction Home?" on 28th February at the Queen Elizabeth II Conference Centre in London. More...
28/02/06
Alternative Investments
Following on from the success of its inaugural Hedge Fund Day in London last year, the Edhec Risk and Asset Management Research Centre will be returning to London for the three-day Edhec Hedge Fund Days 2006 at The Brewery conference centre on February 14th, 15th and 16th. At this unique event, which is organised by an academic research centre for the benefit of professionals, Edhec's research specialists and distinguished figures from the institutional and asset management worlds will be discussing Edhec's research in a range of areas such as hedge funds in asset liability management, optimising the risk budget, the value added by funds of hedge funds and the existence or otherwise of a capacity effect. More...
14/02/06
Alternative Investments
François-Serge Lhabitant, Associate Professor of Finance at EDHEC Business School, will be speaking at the third edition of the MondoHedge awards for Italian hedge funds on 8th February at the Four Seasons Hotel in Milan. More...
08/02/06
Alternative Investments
The results of the EDHEC European Alternative Diversification Practices Survey were published on 9 January. The study generated responses from 151 European institutional investors representing, at 30/09/2005, a total volume of over one trillion euros of assets under management, enabling EDHEC to produce a detailed assessment of current institutional practices in Europe. More...
09/01/06
Alternative Investments
Jean-René Giraud, CEO of Edhec-Risk Advisory and Research Associate at the Edhec Risk and Asset Management Research Centre, will be participating in this prestigious black-tie dinner and debate moderated by the well-known presenter and broadcaster, Jon Snow, and organised by the Futures and Options Association (FOA). More...
05/01/06
Asset Allocation
The conference will be taking place from 14th to 16th December at the Ecole Nationale de l’Industrie Minérale in Rabat. Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, will be making a presentation on the theme, “Dynamic Allocation Strategies in the Presence of Liability Constraints” in the “Mathematics for Finance” session.
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15/12/05
Alternative Investments
The 3-day seminars organised by Edhec Alternative Investment Education, the exclusive official provider of CAIASM exam preparatory courses for Europe, will be taking place in Paris, Geneva and London in December and January.
Level I: Paris (13-15 December); Geneva (19-21 December); London (4-6 January)
Level II: London (11-13 January); Geneva (16-18 January) More...
13/12/05
Alternative Investments
Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be making a presentation on 2nd December entitled "What innovations in alternative investment?", in which he will talk about alternative diversification. More...
02/12/05
Asset Allocation
Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, has been invited by Eurex to participate as a guest speaker at a meeting of its Investors Advisory Committee to be held on 23rd November. More...
23/11/05
Alternative Investments
François-Serge Lhabitant, Associate Professor of Finance at Edhec Business School, will be making a keynote address on 22nd November entitled, "Hedge funds for long term capital management - a buy side perspective". More...
22/11/05
Asset Allocation
On the occasion of the launch of Alteram Optimal Equity on the 22nd November in Paris, Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be presenting the “Dynamic Core-Satellite” methodology developed by Edhec upon which the Alteram optimal equity fund is based.
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22/11/05
Style & Performance Analysis
The sixth session of “Les Matinales Fidelity”, a series of training seminars on different topics aimed at financial consultants and taking place at 13 locations throughout France, was held in Paris on the 18th November at the Pavillon Gabriel, on the theme, “With 9,943 mutual funds on the market, what fund selection tools are available?”. The presentation to over 300 participants, including financial consultants, bankers, insurers and funds of funds, was the occasion for Daniel Haguet, Professor of Finance at Edhec Business School to:- assess the use of the traditional ratios (Sharpe ratio and information ratio) in analysing the fund's risk/return combination
- present the rating agencies’ methodologies (Morningstar, S&P, etc.)
- describe the basis of the EuroPerformance-Edhec Style Rating methodology
- apply the Style Rating to concrete examples.
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18/11/05
Style & Performance Analysis
The Alpha League Table is the first European classification of asset management firms on the basis of an accurate measure of risk-adjusted performance. Applied in turn to each European country, followed by an overall list, the Alpha League Table evaluates all the asset management firms in the country studied for their equity management and their ability to deliver alpha. For its first edition, the Alpha League Table has ranked the 25 best asset management firms in France. More...
15/11/05
Asset Management
The South European Center for Contemporary Finance (SECCF) has invited Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, to participate in a series of four seminars on the theme, “An academic perspective on the asset management industry”, at the Faculty of Economics at the University of Belgrade from 10th to 13th November. More...
10/11/05
Alternative Investments
Edhec Alternative Investment Education is organising its next "State of the Art in Hedge Fund Investment" seminar at the Dorchester Hotel in London on 9th November. This limited enrolment seminar, delivered by François-Serge Lhabitant, offers insight into state of the art practices for implementing hedge fund programmes, controlling risk, and measuring and reporting performance and risks.
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09/11/05
Regulation
The Edhec Risk and Asset Management Research Centre was invited to speak on the theme, "The specificities of the management and governance of long-term savings", at a meeting of the scientific advisory board of the Autorité des Marchés Financiers that was held in Paris on 25th October. The research centre was represented by Daniel Haguet, Professor of Finance at Edhec Business School, Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, Jean-François Lepetit, Chairman of the Edhec Risk and Asset Management Research Centre Advisory Board, and Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre.
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25/10/05
Style & Performance Analysis
Agefi, the leading newspaper for the financial community in France, will be holding its annual asset management awards in Paris on October 19th. As for the past four years, Edhec, together with EuroPerformance, has been involved in producing the rankings for the Awards. More...
19/10/05
Asset Allocation
The seminar, presenting weekly lectures in financial modeling by leading researchers and practitioners, will be taking place at The Courant Institute of Mathematical Sciences, New York University. Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, will be speaking on the theme, "Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations", on October 13th.
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13/10/05
Alternative Investments
Edhec and Lyxor Asset Management jointly held a conference for institutional investors on the 5th October at the Pavillon Ledoyen in Paris. Both Noël Amenc (Director) and Lionel Martellini (Scientific Director) of the Edhec Risk & Asset Management Research Centre spoke at the event.
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05/10/05
Wealth Management
Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be making a presentation on "How to Produce and Monitor Alpha in the Long Only Universe", in which he will be speaking on the EuroPerformance-Edhec Style Rating. More...
29/09/05
Appointments
Philippe Foulquier, a top-rated financial analyst specialising in the insurance sector, has joined Edhec as an associate professor. He will also be in charge of IFRS/Solvency 2 issues affecting the institutional investment industry, at the Edhec Risk and Asset Management Research Centre. More...
22/09/05
Awards
The Edhec Risk and Asset Management Research Centre will be participating in this prestigious event, which awards financial firms with the best technology operations in Europe. The winners will be announced at a ceremony to be held at the Merchant Taylor's Hall in the City of London on the evening of 21st September.
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21/09/05
Asset Management
Each week, from the 20th September to the 13th December, La Tribune will be publishing a page in its "Asset Management" section dedicated to the work undertaken by the Edhec Risk and Asset Management Research Centre, covering a wide range of topical themes. More...
20/09/05
Appointments
Daniel Capocci has been named as a Research Associate with the Edhec Risk and Asset Management Research Centre. He will be contributing regular papers on hedge fund strategies to the centre’s web site and will also be lecturing in finance at EDHEC Business School. Daniel, who works as a Fund of Funds Manager with the Institutional & Fund Management division of Kredietrust Luxembourg, speaks and writes regularly on issues related to alternative investment. More...
12/09/05
Alternative Investments
This major survey of 183 industry players, including institutional investors and hedge fund and fund of hedge fund managers, was conducted by the Edhec Risk and Asset Management Research Centre from May 31st to July 8th 2005. It confirms the conclusions of the centre's recent study on alleged capacity effects in the hedge fund industry, and reveals that alternative investment professionals are upbeat about future prospects for the industry and do not see the so-called “capacity effect” as a major threat to future profitability. More...
09/08/05
Asset Management
Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be speaking on "Clarifying The Means & Practices Of Asset Allocation
In A Fund Of Hedge Funds: Implementing A Genuine Quantitative Strategic Allocation Process" on 7th July. More...
07/07/05
Alternative Investments
The world’s first hedge fund summer camp will be taking place on the Nice campus of EDHEC between 4th and 9th July.
Aimed at helping European students to discover one of the fastest growing and yet least understood sectors of the asset management industry, it will be attended by thirty young talents from fifteen countries.
The intensive week-long course will concentrate on the fundamentals of hedge fund strategies and risk, and examine the practical aspects, opportunities and potential threats of including hedge funds in portfolios. More...
04/07/05
Best Execution & Operational Performance
Jean-René Giraud, CEO of Edhec-Risk Advisory will be speaking at the Transaction Cost Analysis & Best Execution Focus Day on 28th June, on the theme: "Clarifying the Path Towards Best Execution to Ensure your Desk Delivers High Performance". More...
28/06/05
Asset Allocation
The Asset Allocation Summit is a two day conference covering all aspects of strategic and tactical asset allocation, current strategy and alternative investing.
Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, has been invited to speak on the role of structured products in Asset Allocation on the 27th June. More...
27/06/05
Alternative Investments
Designed and delivered by François-Serge Lhabitant, one of the most respected practitioners and academics in the field, this intensive seminar will offer insights into state of the art practices for implementing hedge fund programmes, controlling risk, and measuring and reporting performance and risks. More...
23/06/05
Alternative Investments
The study entitled “The Right Place for Alternative Betas in Hedge Fund Performance: an Answer to the Capacity Effect Fantasy”, by Walter Gehin and Mathieu Vaissié, concludes that there is absolutely no proof of a ‘capacity effect’ in the hedge fund industry. More...
16/06/05
Style & Performance Analysis
The methodology, which was developed in 2002 by Edhec within the context of the "Grands Prix de la Gestion d'Actifs" for the French publication L'Agefi, has been adapted to the universe of Swiss funds. The awards will take place in Geneva on 14th June.
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14/06/05
Alternative Investments
EDHEC AI Education, the Chartered Alternative Investment Analyst Association's exclusive official provider of CAIASM exam preparatory courses for Europe, will be holding two intensive review courses for the CAIA Level 1 July 2005 exam session in London on 8th-10th June and in Paris on 22nd-24th June. More...
08/06/05
Style & Performance Analysis
Edhec has published a detailed summary of its study on the main existing fund rating methods which puts into perspective the responses given to the inadequacies of the existing ratings by the new EuroPerformance-Edhec Style Ratings.
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03/05/05
Alternative Investments
Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, will be making a keynote address on 28th April entitled: "How to Implement a Hedge Fund Allocation Strategy in an institutional portfolio". More...
28/04/05
Best Execution & Operational Performance
Jean-René Giraud, CEO of Edhec-Risk Advisory, will be speaking at the "Unbundling & Best Execution Focus Day" on April 26th, that explains how businesses can profit from the new regulatory landscape and remain at the forefront of the drive to achieve best execution in an unbundled world.
Jean-René's presentation will examine the role of MiFID in raising execution standards, from an EC perspective. More...
26/04/05
Asset Management
The Edhec Risk and Asset Management Research Centre will be organising its first Edhec Asset Management Days in Geneva on April 21st and 22nd.
This unique event, organised by an academic research centre for the benefit of professionals, will feature Edhec's research in a range of areas such as core-satellite portfolio management, the use of hedge funds in institutional investors' portfolios, risk management, fund ratings and best operations.
The speakers will include Edhec's research specialists and over 40 distinguished figures from the institutional investor and asset management worlds. More...
21/04/05
Alternative Investments
At this year's seminar, which is on the theme "In Search of Alpha", Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be making a presentation entitled "From Alpha picking to Beta management in alternative multi-management". More...
15/04/05
Style & Performance Analysis
On the 12th April at 08:30, the EuroPerformance-Edhec Style Ratings were presented to French institutional investors at the Hôtel de Crillon in Paris.
This breakfast seminar was organised by AF2I and EuroPerformance with the support of Edhec. The presentations were made by Frédéric Picard, CEO of EuroPeformance, and Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre.
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12/04/05
Alternative Investments
Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, has been invited to speak at the European Hedge Fund Workshop organised by Institutional Investor at the Berkeley Hotel in London on 12th April. Lionel will be speaking on the theme of hedge funds and asset liability management.
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12/04/05
Institutional Investment
During the "Forum de la Gestion Institutionnelle" (institutional investment forum) taking place in Paris at the Palais des Congrès on 16th & 17th March, Edhec is organising a conference on the theme "The Impact of IFRS Standards on Institutional Investment" on 16th March at 5.00 pm. Speakers at the conference will be Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, Michel Degiovanni, Director of Finance at Matmut and President of AF2I, Philippe Foulquier, Financial Analyst at Exane and lecturer at Edhec Business School, Jean-Pierre Grimaud, CIO of Swiss Life (France) and Joël Prohin, Head of Active/Passive Investment at AG.
Also during the forum, Edhec is jointly organising with EuroPerformance the "Agora de la Performance", where the best French managers, who have been awarded 5* in the EuroPerformance-Edhec Style Rating, will be interviewed by editorial staff from "La Tribune", "L'Agefi", "Asset Management Magazine" and "Option Finance". More...
16/03/05
Style & Performance Analysis
ACI Monaco - The Financial Markets Association will be holding its 8th annual symposium in Monaco on the 11th and 12th March where Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be discussing the rating of mutual funds and whether the ratings are based on luck or skill. More...
11/03/05
Appointments
Timothy, a partner at Berwin Leighton Paisner, will be a regular contributor to www.edhec-risk.com on European hedge fund regulation. He is a New York qualified lawyer and English solicitor, and writes regularly on issues related to investment funds and alternative asset classes. More...
01/03/05
Alternative Investments
Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, will be speaking at Super Hedge 2005 on 28th February to 1st March in Frankfurt, where he will be presenting a research paper supported by Eurex. More...
28/02/05
Alternative Investments
The findings of Edhec's European consultation on Funds of Hedge Funds Reporting were presented to a panel of journalists on February 17th in London at a press conference hosted by FIMAT. More...
17/02/05
Alternative Investments
Noël Amenc, Professor of Finance at Edhec Business School and Director of the Edhec Risk and Asset Management Research Centre, will be speaking at the next breakfast seminar organised by AFGAP, the French association for Asset Liabilites Management, on the theme "Hedge Funds and Asset Allocation" to be held in Paris on 10th February. More...
10/02/05
Appointments
Koray Simsek has been appointed associate professor of finance at Edhec, where he is responsible for teaching classes in financial modelling and quantitative methods in finance. He is also a member of the Edhec Risk and Asset Management Research Centre where he is co-head of the Asset Liability Management (ALM) programme. More...
01/02/05
Alternative Investments
Within the context of the "Grande Ecole" and the MSc in Finance programmes, François-Serge Lhabitant, Associate Professor at Edhec Business School and Research Associate with the Edhec Risk and Asset Management Research Centre, held the "Hedge Funds and Alternative Diversification" course on the 17th, 18th, 24th and 25th January 2005. More...
25/01/05
Alternative Investments
The first CAIASM preparation seminars organised by Edhec Alternative Investment in preparation for the February exam have taken place in Geneva and London. The remaining January sessions will take place in Paris on 27th & 28th.
More...
25/01/05
Regulation
Jean-François Lepetit, Associate Professor and President of the Edhec Risk and Asset Management Research Centre Advisory Board, will be speaking on the theme "The Future of Asset Management Regulation" on the 4th February 2005 at the Lille campus, within the context of the "Grande Ecole" programme. More...
25/01/05
EDHEC
EQUIS, which stands for European Quality Improvement System, is an accreditation awarded by the EFMD (European Foundation for Management Development), based in Brussels, which delivers a label of quality to the best European management institutions.
The renewal of Edhec's accreditation confirms the high international academic level of the business school, which is one of the few French schools to hold triple accreditation from the AACSB, AMBA and Equis.
More...
22/01/05
Alternative Investments
Lionel Martellini, Professor of Finance at Edhec Business School and Scientific Director of the Edhec Risk and Asset Management Research Centre, was invited to talk at the Pioneer Insitutional Forum on the theme "Hedge Funds from the Institutional Investor's Perspective", alongside Professor Myron Scholes, Nobel prize winner for Economics.
More...
21/01/05
Institutional Investment
On this occasion, Edhec and EuroPerformance will be organising the "Agora de la Performance" in which managers ranked 5* in the EuroPerformance-Edhec Style Rating will be interviewed by the editorial staff of "La Tribune", "L'Agefi", "Asset Management Magazine" and "Option Finance". More...
21/01/05
Alternative Investments
This conference, which will discuss the risks inherent in hedge funds, also features a special presentation by Myron Scholes, winner of the Nobel Prize for Economics. More...
18/01/05
EDHEC-Risk
The Edhec Risk and Asset Management Research Centre has moved from Sophia Antipolis to new premises in Nice.
Our new contact details are:
Edhec Risk and Asset Management Research Centre
393-400 Promenade des Anglais
BP 3116
06202 Nice Cedex 3
France
Tel. +33 (0)4 93 18 78 24
Fax +33 (0)4 93 18 78 44
E-mail: research@edhec-risk.com More...
14/01/05
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