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Serge Darolles, Mathieu Vaissié:
We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor.
Markus Glaser, Florencio Lopez-de-Silanes, Zacharias Sautner:
This paper reports some of the main results of our paper “Opening the Black Box: InternalCapital Markets and Managerial Power, ”Journal of Finance, LXVIII (4), August 2013.
Concerns about systemic credit risk in the financial system due to the OTC derivatives market has encouraged the use of counterparty credit risk mitigation techniques, including the use of compression.
Stéphane Gregoir, Tristan-Pierre Maury :
Par manque d’information, la relation locataire-bailleur est sensible à nombre d’erreurs d’appréciation des risques et des coûts supportés par les deux parties qui les amènent à prendre des décisions individuelles défavorables au bon fonctionnement du marché.
Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh:
The latest edition of the European ETF Survey has been conducted as part of the Amundi ETF "Core-Satellite and ETF Investment" research chair at EDHEC-Risk
Saad Badaoui, Romain Deguest, Lionel Martellini, Vincent Milhau:
In the present publication, which was produced as part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management,” led by Professor Lionel Martellini, we have attempted to assess the views of pension funds and sponsor companies as they relate to their reactions to dynamic liability-driven investing (LDI) strategies and their desire to integrate this approach into their processes.
Tiffanie Carli, Romain Deguest, Lionel Martellini:
The present publication, “Improved Risk Reporting with Factor-Based Diversification Measures,” is drawn from the CACEIS research chair on “New Frontiers in Risk Assessment and Performance Reporting” at EDHEC-Risk Institute.
Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier:
This study shows that LTGA calibration continues to favour short-duration bonds and could undermine the financial stability and financing of both sovereigns and corporates.
Frédéric Blanc-Brude, Omneia R.H. Ismail:
This paper develops a framework to measure the credit risk of unlisted infrastructure debt, including
the first formulation of "distance to default" in infrastructure project finance.
Lionel Martellini, Vincent Milhau:
The present publication is drawn from the Rothschild & Cie research chair on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives” at EDHEC-Risk Institute.
Lixia Loh, Lionel Martellini, Stoyan Stoyanov:
This study from EDHEC-Risk Institute, entitled “The Local Volatility Factor for Asian Stock Markets,” has shown that using US VIX to hedge the volatility risk of Asian portfolios is not particularly effective.
Frédéric Blanc-Brude, Omneia R.H. Ismail:
In this paper, the authors develop a framework to measure the credit risk of unlisted infrastructure debt, including the first formulation of "distance to default" in infrastructure project finance.
Stéphane Grégoir, Tristan-Pierre Maury, Frédéric Palomino :
Après l’adoption de la Loi Copé-Zimmermann début 2011, la proportion de femmes parmi les membres des conseils d'administration des grandes entreprises françaises a nettement augmenté.
Arnaud Chéron :
Ce document évalue, à partir d’une illustration chiffrée sur le cas de la France, les répercussions en matière de politiques publiques d’emploi et de formation d’une augmentation en moyenne de la dépréciation du capital humain général durant les épisodes de chômage, liée au développement rapide des savoirs techniques et pratiques nécessaires en entreprise.
Keith L. Miller, Chee Ooi, Hong Li, Daniel Giamouridis:
We develop a hybrid model that relies on the nonlinear classification Decision Tree (DT) approach but also on multivariate predictive regressions to aid implement a size rotation strategy in the U.S. equity markets.
Noël Amenc, Felix Goltz, Lionel Martellini:
Recent years have seen increasing interest in new forms of indexation, referred to as Smart Beta strategies. Investors are attracted by the performance of these indices compared to traditional capweighted indices.
Frédéric Blanc-Brude, François Cocquemas, Albena Georgieva:
The purpose of this publication, which is drawn from the AXA Investment Managers research chair at EDHEC-Risk Institute on “Regulation and Institutional Investment”, is to examine the role of pension systems in the dinancing of current and future standards of living in Asia’s ageing nations and to study the potential contribution of scientific asset management to the challenges faced by the region’s pension reserve funds and funded pension schemes.
Romain Deguest, Lionel Martellini, Vincent Milhau:
This paper argues that inflation-linked bonds, in addition to being attractive for issuing corporations, are also attractive for investors such as pension funds facing long-term inflation-linked liabilities.
Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter:
Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being promoted as central to the risk management process.
Romain Deguest, Lionel Martellini, Vincent Milhau:
The present publication, “Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints,” was produced as part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management”.
Frédéric Blanc-Brude, Omneia R. H. Ismail:
This paper is the first one of a series examining the opportunity for institutional investors to become involved in infrastructure debt, as part of the NATIXIS Research Chair on infrastructure debt instruments and governance.
Juha Joenväärä, Robert Kosowski:
The present document, which represents the latest publication from the “Advanced Modelling for Alternative Investments” research chair at EDHEC Risk Institute, supported by the Prime Brokerage Group at Newedge, is part of the chair research on “Analysing the Convergence between Mainstream and Alternative Money Management.”
Narasimhan Padmanaban, Masayoshi Mukai, Lin Tang, Véronique Le Sourd:
In a study entitled “Assessing the Quality of Asian Stock Market Indices,” researchers at EDHEC-Risk Institute have reported results for 10 major Asian stock market indices over the past decade.
Felix Goltz, Véronique Le Sourd, Masayoshi Mukai , Fahd Rachidy:
In this survey, researchers at EDHEC-Risk Institute have analysed industry reactions to a previous EDHEC-Risk study on corporate bond indices and confirmed that investors are dissatisfied with the indices currently on offer.
Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez:
This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping, which motivates the design of a new triplescreen strategy.
Frédéric Blanc-Brude, Dejan Makovsek:
Using new data, we show that construction risk in infrastructure project finance is well-managed
and that project sponsors face very little construction risk compared to the well-documented,
systematic and very large costs overruns found in traditional infrastructure project procurement.
While public and private pension systems in the EU are under tremendous pressure, a new study by EDHEC-Risk Institute analyses the explicit and implicit pension liabilities that are weighing on the public finances, and the principal related risks.
Noël Amenc, Frédéric Ducoulombier:
Within the framework of research on the topic of a better grasp of non-financial risks, which has been conducted over the last three years thanks to sponsorship from CACEIS, EDHEC-Risk Institute would like to summarise its findings and conclusions in a series of proposals targeting not only European regulators, but also fund management professionals and investors.
The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial engineering in the commodity index space which is now in its third generation.
Noël Amenc, François Cocquemas, Lionel Martellini, Samuel Sender:
After a short summary of some of the main challenges facing European pension systems, this paper discusses the Commission’s proposals point by point.
The EDHEC IEIF Commercial Property Index (France) is a capitalisation weighted index that measures the performance of SCPIs (unlisted property trusts), collective investment companies that invest in commercial property (offices, shopping centres, logistics infrastructures, and so on).Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
Noël Amenc, Felix Goltz, Ashish Lodh:
This paper clarifies that methodological choices can be made independently on two steps in the construction of alternative equity index strategies – the constituent selection and the choice of a diversification-based weighting scheme.