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-Risk IEIF Commercial Property Indices Hedge Fund Index Research Equity Index Research Amundi ETF "Core-Satellite and ETF Investment" Research Chair EDHEC-Risk Institute Solvency II Benchmarks ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings 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 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 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 Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair Russell Investments "Solvency II" Research Chair Non-Financial Risks, Regulation and Innovations 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 Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute "Investing in Smart Beta" European Seminar Series: Stockholm (17 June, 2013), Oslo (18 June, 2013), Helsinki (19 June, 2013) "Investing in Smart Beta" European Seminar Series: Vienna (28 June, 2013) "Investing in Smart Beta" North American Seminar Series: San Francisco (2 July, 2013) "Investing in Smart Beta" European Seminar Series: Zurich (4 July, 2013) "Investing in Smart Beta" European Seminar Series: London (10 July, 2013) "Smart Beta 2.0" North American Seminar Series: Boston (9 July, 2013), New York (10 July, 2013), Toronto (11 July, 2013), San Francisco (23 July, 2013) "Investing in Smart Beta" Middle-East Seminar Series: Doha (11 September, 2013), Dubai (12 September, 2013) EDHEC-Risk Days North America 2013, New York, 8-9 October, 2013 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic 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 Institute PhD in Finance Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Investment Management Seminars CFA Institute/EDHEC-Risk Advances in Asset Allocation Seminar, New York, 16-18 July, 2013 Execution and Trading on Equity Markets - The New Landscape Seminar, Singapore, 31 July, 2013 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta
Research Conference The European Investment Review 25-26 September, 2003 - Geneva, Switzerland 2003 Annual Conference


Leading top academics and practitioners will be participating as guest speakers to share their expert views on this year's conference topics:

  • International Finance
  • Alternative Investment
  • Credit
  • Asset Management
The Edhec Risk and Asset Management Research Centre is well represented at this year's event:
Programme

Thursday, 25th September 2003

Credit Papers

11:15-12:45 - Room 1170
Credit Risk Dynamics (Session 1)
  • "Credit Risk Dynamics: Forecasting Rating Transition Matrices"
    F. Couderc, O. Renault & O. Scaillet
  • "Conditional Credit Migration Matrices for a Bank Loan Portfolio"
    D. Aunon-Nerin & J. Burkhard
  • "Stock Market Performance, Firms' Debt Issuance and the Term Structure of Credit Spreads"
    A. Demchuck & R. Gibson
Asset Management

11:15-12:45 - Room 1160
Derivatives (Session 2)
  • "Why is the Index Smile so Steep?"
    N. Branger & C. Schlag
  • "Market Perception of Information Asymmetry: Concentration of Ownership by Different Types of Institutions and Bid-Ask Spread"
    S. S. Barabanov & M. J. McNamara
  • "Is Volatility Risk Priced? Properties of Tests Based on Option Hedging Errors"
    N. Branger & C. Schlag
International Finance Papers

11:15-12:45 - Room 1150
International Diversification (Session 3)
  • "Systemic Risks in the Major Eurobanking Markets: Evidence from Inter-Bank Offered Rates"
    J. Simpson, L. De Mello & J. Evans
  • "Emerging Market Bond Spread Dynamics: A Panel Data Perspective"
    S. Roudet
Credit Papers

14:15-15:45 - Room 1170
Econometrics of Credit Risk (Session 4)
  • "Long Memory of the Term Structure Dynamics of Corporate Spread Indices"
    U. Haegler
  • "How does Systematic Risk Impact US Credit Spreads? A Copula Study"
    H. Gatfaoui
  • "On the Way to Recovery: A Nonparametric Bias-Free Estimation of Recovery Rate Densities"
    O. Renault & O. Scaillet
Asset Management

14:15-15:45 - Room 1160
Asset Allocation (Session 5)International Finance Papers

14:15-15:45 - Room 1150
International Equity Markets (Session 6)
  • "Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns"
    D. Isakov & F. Sonney
  • "The Impact of Sovereign Country Risk and Market Integration on European Stock Markets"
    A. Chambet & R. Gibson
  • "Integration of European Equity Markets"
    S. Sontchik
Credit Papers

16:15-17:45 - Room 1170
Credit Risk Capital Allocation (Session 7)
  • "Risk Aggregation in the Basel II Framework"
    A. Chabaane, A. Chouillou & J-P. Laurent
  • "Calculating Credit Risk Capital Charges with the One-Factor Model"
    S. Emmer & D. Tasche
  • "Sensible and Efficient Capital Allocation for Large Credit Portfolios"
    Kalkbrener, Lotter & L. Overbeck
  • "Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements"
    J-D. Fermanian & O. Scaillet
Asset Management

16:15-17:45 - Room 1160
Empirical Stock Analysis (Session 8)
  • "Are Euro Area Small Caps an Asset Class? Evidence from Mean Variance Spanning Tests"
    G. Petrella
  • "An Empirical Analysis of the Relation between Stock and Option Trading Activity"
    I. Kalodera & C. Schlag
  • "Portfolio Rebalancing: Evidence from Practice"
    C. Leclercq, L. Brafman & J-F. Boulier
Alternative Investment Papers

16:15-17:45 - Room 1150
Hedge Fund Selection (Session 9)
Friday, 26th September 2003

Credit Papers

11:15-12:45 - Room 1170
Structural Credit Risk Models (Session 10)
  • "Liquidation Triggers and the Valuation of Equity and Debt"
    D. Galai, A. Raviv & Z. Wiener
  • "Managing Corporate Liabilities of Financially Weakened Firms"
    F. Moraux
  • "Counterparty Risk in a Network Economy"
    H. Schellhorn & D. Cossin
Asset Management

11:15-12:45 - Room 1160
Risk & Performance Management (Session 11)
  • "The Effect of Mis-Estimating Correlation on Value-At-Risk"
    V. D. Skintzi, G. Skiadopoulos & A-P. N. Refenes
  • "A Universal Performance Measure"
    C. Keating & W. F. Shadwick
Alternative Investment Papers

11:15-12:45 - Room 1150
Alternative Investments (Session 12)
  • "Market Timing and Trading Size"
    E. Acar & A. Middleton
  • "Alternative Risk Measures for Alternative Investments"
    A. Chabaane, J-P. Laurent, Y. Malevergne & F. Turpin
  • "Robust Mean-Variance Portfolio Selection"
    C. Perret-Gentil & M-P. Victoria-Feser
Asset Management

14:15-15:45 - Room 1160
Investment Strategy (Session 13)
  • "Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance"
    R. Häberle & A. Ranaldo
  • "Style Rotation Strategies: Issues of Implementation"
    M. Levis & N. Tessaromatis
Alternative Investment Papers

14:15-15:45 - Room 1150
Hedge Funds (Session 14)
Event Details
  When   Between 25/09/2004 09:00 AM and 26/09/2004 05:00 PM
Where   University of Geneva, Switzerland
Web  
 
Contact Details
  Name   Olivier Scaillet
E-mail   conferenceinfo@fame.ch
Phone  
 
Attachments
  "The Brave New World of Hedge Fund Indices" - Noël Amenc, Lionel Martellini