EDHEC-Risk Institute

Since 2001, EDHEC has been pursuing an ambitious policy in terms of international research. This policy, known as “Research for Business”, aims to make EDHEC an academic institution of reference for the industry in a small number of areas in which the school has reached critical mass in terms of expertise and research results.

Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of a major research facility: EDHEC-Risk Institute. This institute now boasts a team of 80 permanent professors, engineers and support staff, as well as 18 research associates from the financial industry and 6 affiliate professors.

EDHEC-Risk Institute is located at campuses in Singapore, which was established at the invitation of the Monetary Authority of Singapore (MAS), the City of London in the United Kingdom, and Nice, France. In addition, it has a research team located in the United States.

The research projects managed at EDHEC-Risk Institute receive the support of several financial companies representing some thirty different sponsors (including AXA Investment Managers, BNP Paribas Investment Partners, CME Group, Deutsche Bank, Eurex, iShares, NYSE Euronext, HSBC, Pictet, Robeco, Rothschild & Cie, Russell Investments, Newedge, SocGen, State Street, UBS, and many others).

The philosophy of the institute is to validate its work by publication in prestigious academic journals, but also to make it available to professionals and to participate in industry debate through its Position Papers, published studies and conferences. Each year, EDHEC-Risk organises two conferences for professionals in order to present the results of its research, one in London (EDHEC-Risk Days – Europe) and one in Singapore (EDHEC-Risk Days – Asia), attracting more than 2,000 professional delegates.

To ensure the distribution of its research to the industry, EDHEC-Risk also provides professionals with access to its website, www.edhec-risk.com, which is entirely devoted to international risk and asset management research. The website, which has more than 50,000 regular visitors, is aimed at professionals who wish to benefit from EDHEC-Risk’s analysis and expertise in the area of applied portfolio management research. Its monthly newsletter is distributed to more than 1,000,000 readers.

EDHEC-Risk Institute also has highly significant executive education activities for professionals. In partnership with CFA Institute, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London. EDHEC-Risk Institute has an original PhD in Finance programme which, in addition to its highly selective residential track for young talents worldwide, has an executive track for high level professionals who already have masters degrees from prestigious universities and significant industry experience. These professionals are looking to go beyond their usual activities in order to develop research on the concepts that are relevant to their occupation. Complementing the core faculty, this unique PhD in Finance programme has highly prestigious affiliate faculty from universities such as Princeton, Wharton, Oxford, Chicago and CalTech.

All content by EDHEC-Risk Institute

Asset allocation with shadow assets

Company:EDHEC-Risk Institute

The wealth of most investors contains both financial assets as well as non-financial assets. This white paper defines shadow assets as (mostly) non-financial and non-tradeable assets that are exogenous to the investor’s asset allocation decision.

Category: Asset Liability Management | Published: 05 June 2013 | Type: White Paper

Rating: + 8

Proposals for better management of non-financial risks within the European fund management industry

Company:EDHEC-Risk Institute

This white paper offers a review and proposes methods of limiting non-financial risks within the European fund management industry which emerged during the 2007-2008 crisis and undermined the quality of the UCITS label.

Category: Hedge Funds | Published: 31 January 2013 | Type: White Paper

Rating: + 1

Towards efficient benchmarks for infrastructure equity investments

Company:EDHEC-Risk Institute

The nature and investment profile of infrastructure assets and investment funds using infrastructure as an underlying asset are discussed. This white paper is designed to benefit the entire investment management community and help improve asset allocation and portfolio construction decisions.

Category: Commodities | Published: 29 January 2013 | Type: White Paper

Rating: + 4

Comparing First, Second and Third Generation Commodity Indices

Company:EDHEC-Risk Institute

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. This white paper reviews this evolution and gives an assessment of index performance.

Category: Commodities | Published: 04 December 2012 | Type: White Paper

Rating: + 1

The Risks of Volatility ETNs

Company:EDHEC-Risk Institute

Exchange traded notes and exchange traded funds come under the spotlight in this white paper. Using the recent crisis with TVIX, a volatility ETN, it reviews an observed market distortion. It discusses the key features of these products, and ultimately, the potential hidden risks.

Category: Structured Products | Published: 21 September 2012 | Type: White Paper

Rating: + 3

The impact of Solvency II on bond management

Company:EDHEC-Risk Institute

This white paper analyses the bond Solvency Capital Requirement as a risk measure, the effects of this risk measure on bond management within a return volatility-Value-at-Risk-SCR universe, and whether Solvency II will lead to a new bond hierarchy and arbitrage opportunities.

Category: Solvency II | Published: 31 July 2012 | Type: White Paper

Rating: + 11

How to assess hedge fund performance through non-parametric discounting

Company:EDHEC-Risk Institute

This white paper evaluates the performance of hedge funds through a new nonlinear risk adjustment of returns. The risk adjustment is such that it prices exactly the usual set of risk factors considered in the hedge fund literature. This nonlinear risk adjustment goes beyond the usual linear regression... view abstract

Category: Hedge Funds | Published: 30 June 2012 | Type: White Paper

Rating: + 1

Regulating the financial markets and institutions - who, how and why?

Company:EDHEC-Risk Institute

This note discusses the need to regulate financial markets and institutions, the benefits and costs of this regulation, and whether regulation needs to be undertaken by public/government agencies or can be left to private entities.

Category: Compliance | Published: 08 June 2012 | Type: White Paper

Rating: + 3

EDHEC-Risk North American Index Survey 2011

Company:EDHEC-Risk Institute

The EDHEC-Risk North American Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices. The survey elicited responses from 139 North American investment professionals.

Category: Equity Derivatives | Published: 08 June 2012 | Type: White Paper

"Who Sank the Boat?" Response to the Finance Watch paper "Investing Not Betting"

Company:EDHEC-Risk Institute

What implications does recent commodity price spikes have for European derivatives regulations? This white paper offers a fresh view on current thinking.

Category: Commodities | Published: 08 June 2012 | Type: White Paper

Rating: + 2