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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:

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
Contact Details
  Name   Olivier Scaillet
E-mail   conferenceinfo@fame.ch
  "The Brave New World of Hedge Fund Indices" - Noël Amenc, Lionel Martellini