Research Chairs and Strategic Research Projects
The EDHEC-Risk Institute research chairs involve close partnerships with their financial sponsors and a commitment from EDHEC-Risk to publishing related articles in international academic journals as well as to releasing the research results to the investment management profession through wide distribution of practitioner-oriented publications and presentations at industry conferences.
The EDHEC-Risk Institute research chairs include three types of actions:
- Carrying out the research
Each year, the chair proposes to produce a major research study which will lead to both academic and professional publications. The themes are proposed by EDHEC-Risk and agreed with the sponsor.
- Organising the dissemination of the research
The research work from the chair is widely promoted on the basis of:
• "Features" in the EDHEC-Risk newsletter;
• A section on the EDHEC–Risk website dedicated to the work of the chair;
• Distribution of the research to European institutional investors;
• Specific actions with European financial newspapers and professional publications.
- Presentation at conferences
Each of the chair’s publications is presented at a conference organised by the sponsor(s) and aimed at the public of their choice (employees or clients) and also at the EDHEC-Risk conferences which bring together more than 2,500 European institutional investors and asset managers each year.
The research chair is managed by one of the directors of the centre. The research topics and associated plans are drawn up by EDHEC-Risk and validated by the sponsor. The marketing actions are validated and carried out by a steering committee comprising the marketing director of EDHEC-Risk Institute and a representative from the sponsor.
- Regulation and Institutional Investment
In partnership with AXA Investment Managers (AXA IM)
The chair investigates the interaction between regulation and institutional investment management and highlights the challenges of regulatory developments for institutional investment managers.
- Asset-Liability Management and Institutional Investment Management
In partnership with BNP Paribas Investment Partners
The chair examines advanced ALM topics such as dynamic allocation strategies, rational pricing of liability schemes, and formulation of an ALM model integrating the financial circumstances of pension plan sponsors.
- Innovations and Regulations in Investment Banking
Sponsored by the French Banking Federation (FBF)
This chair is providing advanced research in four areas: skewness as an asset class; corporate and sovereign credit default swap (CDS) markets; the evaluation of policies to regulate financial markets; and options on liquidity.
- ALM and Sovereign Wealth Fund Management
In partnership with Deutsche Bank
The chair involves formalising a dynamic asset allocation model that incorporates the most salient factors in sovereign wealth fund management, analysing the risk factors impacting the inflows and outflows of cash of sovereign funds, and exploring the design of solutions for optimal financial management of sovereign wealth funds.
- Core-Satellite and ETF Investment
In partnership with Amundi ETF
The chair analyses the developments in the use of exchange-traded funds as part of the asset allocation process and looks at advanced forms of risk budgeting within the framework of a core-satellite approach.
- Advanced Modelling for Alternative Investments
In partnership with Newedge Prime Brokerage
The purpose of the chair is to expand the frontiers in alternative investment modelling techniques by enhancing the understanding of the dynamic and non-linear relationship between alternative investment returns and the returns on underlying fundamental systematic factors, and analysing the implications for managing portfolios that include alternative investments.
- New Frontiers in Risk Assessment and Performance Reporting
In partnership with CACEIS
This chair looks at improved risk reporting, integrating the shift from asset allocation to factor allocation, improved geographic segmentation for equity investing, and improved risk measurement for diversified equity portfolios.
- The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives
In partnership with Rothschild & Cie
The purpose of this research chair is to support research undertaken at EDHEC-Risk on the benefits of inflation-linked corporate bonds from the issuers’ perspective as well as from the investors’ perspective. The research chair also focuses on comparing and contrasting issuers’ and investors’ perceptions of inflation-linked corporate bonds.
- Advanced Investment Solutions for Liability Hedging for Inflation Risk
In partnership with Ontario Teachers' Pension Plan
This chair analyses the design of novel forms of inflation-hedging portfolios that do not solely rely on inflation-linked securities but instead involve substantial investment in traditional asset classes. Overall these novel forms of inflation hedging solutions should be engineered to generate higher expected performance for a given inflation hedging level, which in turn will allow for a decrease in the cost of inflation hedging.
- Solvency II
In partnership with Russell Investments
The aim of this research chair is to provide the investment industry with the latest academic analyses of the Solvency II directive and to enable European insurance companies that do not have a full internal risk mitigation model to be able to avail of an objective academic reference in order to manage the risk of their equity investments. As the EDHEC-Risk Solvency II Benchmarks in cooperation with Russell Investments are based on dynamic allocation of sources of risk (equity and cash) and a rules-based approach, they constitute an easily-replicable independent external reference, which facilitates the implementation of a partial internal model to assess equity risk, and its internal and external control.
- Investment and Governance Characteristics of Infrastructure Debt Instruments
In partnership with Natixis
The aim of the research chair is to contribute to clarifying the nature and investment profile of infrastructure debt instruments in order to reduce the relative shortfall of publicly available investment data on the subject, compared to longer established investment segments. The chair will specifically focus on the risk and return characteristics and portfolio diversification benefits that infrastructure debt instruments can bring to institutional investors.
- Infrastructure Equity Investment Management and Benchmarking
In partnership with Meridiam Infrastructure and Campbell Lutyens
The purpose of the research chair is to provide a better understanding of the nature and investment profile of equity investment in infrastructure assets. It will focus on fostering data collection and aggregation from investors and on improving the benchmarking of return distributions for direct and indirect investment in infrastructure equity by developing an academically-validated and industry-recognised index.
- Optimising Bond Portfolios
In partnership with BDF Gestion
The chair looks at the question of forming bond portfolios with optimal risk/reward by optimising in the absence of credit risk or within a homogenous credit risk category, in the presence of heterogeneous credit risk, and with a fixed horizon.
- Asset Allocation Solutions
In partnership with Lyxor Asset Management
This chair is examining performance portfolios with improved hedging benefits, hedging portfolios with improved performance benefits, and inflation risk and asset allocation solutions.
Strategic research projects
In addition to the research chairs, EDHEC-Risk Institute is currently conducting three major strategic research projects:
- Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation
In partnership with CME Group
The aim of the project is to explore the conditional correlations between the commodity risk premium and the returns of traditional assets over the long term to examine the diversification and extreme-risk hedging potential of commodity futures as an asset class. It will also look at the possible influence of long-short speculators and long-only index traders on commodity markets to bring research-based facts to the current debate on the link between commodity market “financialisation” and price formation.
- Structured Equity Investment Strategies for Long-Term Asian Investors
In partnership with Société Générale Corporate & Investment Banking
The objective of the project is to develop a framework for the comparative analysis of various forms of allocation to equities, including new structured forms of investment management, from an institutional asset allocation and risk management standpoint.
- The Benefits of Volatility Derivatives in Equity Portfolio Management
In partnership with Eurex
The project is dedicated to exploring the uses of volatility derivatives by professional investors, with specific emphasis on their equity portfolio management applications. It will show how volatility derivatives can be used to optimise access to the equity risk premium in a controlled volatility-risk environment, and engineer equity portfolios with downside-risk properties that compare favourably to solutions put forward by leading asset managers.