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Academic Research - June 15, 2017

Chris Firth and Jeroen Jansen, Research Associates at EDHEC-Risk Institute, presented their latest research at the inaugural EDHEC PhD in Finance Forum 2017

Since 2008, EDHEC Business School has been offering an original PhD in Finance programme allowing outstanding professionals to acquire the background and skills required to conduct research and development projects that advance knowledge and practices in the financial industry. EDHEC is very proud of its 37 PhD graduates to date who have gone on to author over 20 publications in top academic journals and leading professional reviews. To broaden the audience of this collection of original contributions, they have created a forum where industry professionals will have first-hand access to new and stimulating research on the functioning of financial markets and how it can be improved.

Chris Firth, PhD (2015), Senior Lecturer in Banking and Finance at Lincoln International Business School, spoke at the event on the theme "Could a mandatory investor assessment lead to better investment outcomes?

  • The empirical relationship between investor performance and the results of a regulator-imposed assessment.
  • Takeaways from a natural experiment that resulted from a regulation introduced in Singapore.
  • On average, householders who have made fewer basic mistakes in the past tend to pass the test.
  • The high misclassification rates suggest it is possible to pass (fail) the test with poor (good) investment skill.

    Jeroen Jansen, PhD (2016), Fixed Income and Convertible specialist at Palladyne International Asset Management in The Netherlands spoke at the forum on the theme "Local Volatility and the Recovery Rate of Credit Default Swaps

  • Separation of default probabilities and recovery rates in a CDS contract is challenging.
  • Usually separating the two variables is done using historical equity volatilities.
  • What about including the full implied volatility surface and jump to default?
  • Estimates of the recovery rate are sensitive to the particular information used.

    Raman Uppal, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, delivered the keynote speech "A Portfolio Perspective on the Multitude of Firm Characteristics".

    The EDHEC PhD in Finance Forum 2017 took place on June 13 from 1.45pm on the EDHEC London campus.

    For detailed information on the EDHEC PhD in Finance Forum, please consult the conference programme.

    For detailed information on the EDHEC PhD in Finance programme, please go to the EDHEC PhD in Finance web site.