EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Advances in Asset Allocation Blended Learning Programme 2017-2018 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 5-7 February, 2018 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
EDHEC-Risk Information
Asset Management Education - July 01, 2014

PhD in Finance candidates and alumni contribute to success of EDHEC-Risk Days

Dr Michelle Sisto, PhD (2014), Dr Seong-Han Kim, PhD (2014) and Dr Su Fen Lee, PhD (2014)
presenting their work at the EDHEC-Risk Days.

Since 2004, the EDHEC-Risk Days have been giving finance practitioners access to some of the latest research advances in the fields of investment and risk management and allowed them to discuss the implications and applications of new concepts and results with the Institute’s research team.

Since 2010, as part of the EDHEC-Risk Days, the PhD Forum has allowed students and graduates of the EDHEC-Risk Institute PhD in Finance programme to engage industry practitioners about their dissertation work.

In 2013/2014, a record number of PhD in Finance candidates and alumni contributed to the success of the EDHEC-Risk Days, presenting a wide array of research echoing issues faced by their organisations.

Professors Frank Fabozzi and René Garcia co-chaired the New York City edition of the PhD Forum at which programme candidates Douglas Chau and Claudio Galimberti discussed their dissertation work.

Douglas Chau, who heads quantitative research at Canada’s OPSEU Pension Trust, presented work titled “Constructing an Observable Regime Indicator for Asset Allocation”, showing how to use different sources of data to estimate a real-time regime indicator that can be used consistently across asset classes for asset allocation purposes. A Senior Advisor in Strategy and Portfolio at the headquarters of Shell Oil Company in Houston, Claudio Galimberti presented a modelling approach underpinning the “Pricing Real Options in the Oil and Gas Value Chain”.

Also contributing to the EDHEC-Risk Days in New York were programme candidate Harsh Parikh, who works as Portfolio Manager and Strategist at BNY Mellon Investment Management, and programme alumnus Vijay Vaidyanathan (2012), who serves as Chief Executive Officer of Optimal Asset Management. Mr Parikh discussed results of surveys conducted by EDHEC-Risk Institute on “The Development of Passive Investment in North America, Asia and Europe” with Vanguard Principal and Head of the Index Analysis and ETF Trading teams Rodney Comegys, Tennessee Consolidated Retirement System Deputy Chief Investment Officer Andrew Palmer and EDHEC-Risk Institute Head of Applied Research Dr Felix Goltz. Dr Vaidyanathan, who was involved in the sponsored section of the programme, led a workshop titled “Creating Robust Portfolios by Dynamically Weighting Multiple Smart Beta Strategies”.

Professor Raman Uppal joined Programme Academic Director René Garcia to co-chair the London edition of the forum at which freshly-minted graduates Mr Seong-Han Kim (2014) and Ms Michelle Sisto (2014) presented their dissertation work.

Dr Kim, who heads London-based Singularion Asset Management, presented work looking at forecasting the volatility of long-short momentum portfolios titled “Momentum Profit Volatility: The Predictive Power of Investor Sentiment Indicators”, whereas Monaco-based Dr Sisto, who teaches statistics and business modelling in EDHEC Business School’s MBA Programme, discussed “The Responsible CAPM”, new empirical work linking corporate social responsibility to the cost of capital, which she co-authored with Professor Abraham Lioui.

Presenting at the Singapore edition of the PhD Forum on 3-4 July are alumna Ms Su Fen Lee (2014) and candidate Mr Rodney Hoskinson.

A Senior Economist at the Monetary Authority of Singapore, Dr Lee will discuss her work on cross-border banking networks titled “The Role of Credit and Liquidity in Financial Contagion”, which she co-authored with Professor Frank Fabozzi and CFM-Imperial Institute of Quantitative Finance Director Professor Rama Cont. Mr Hoskinson’s presentation “Regime-Switching in Multiple Curve Libor Market Models” will introduce a new option valuation and market calibration toolkit for fixed income that accommodates multiple volatility regimes for discount rates and spreads - Mr Hoskinson, who worked for fifteen years as an actuary is taking a short career break to complete his dissertation.

Finally, Professor Ekkehart Boehmer, who chairs this Asian edition of the PhD Forum will also present work on “High-Frequency Trading and Systemic Risk Concerns”, which was co-authored by R. L. Shankar, a PhD candidate who heads the Centre for Advanced Financial Studies at India’s Institute for Financial Management and Research.

For further information about the PhD forum and the EDHEC-Risk Institute PhD in Finance, please contact Brigitte Bogaerts-Chevillotte at phd.admissions@edhec-risk.com or on +33 4 9318 3267 / +65 6653 8586.

A presentation of the PhD in Finance programme will be held after the PhD forum in Singapore on July 3 at 17:00 at the Ritz Carlton Millenia.