OPINION

Capturing true geographic exposures in risk reporting

New research by EDHEC-Risk Institute questions the usefulness of analysing geographic equities exposures based on the stock’s place of listing, incorporation or headquarters. Head of applied research, Felix Goltz, suggests that in a globalised marketplace, a more meaningful analysis of geographic risk exposures, and performance attribution, comes from looking at geographic segmentation data including total sales... Read more »
OPINION

Towards a new generation of pension funds in Australia

Numerous surveys suggest that Australians are not completely satisfied with superannuation as it exists today. First, fund members tend to think that they will not have enough to retire and second, that investment plan providers are not necessarily acting in their best interest. In this context, we asked in a recent study supported by AXA... Read more »
RESEARCH

Benchmarking infrastructure a step closer

The first valuation and risk measurement model created for unlisted infrastructure debt has been developed, with the release of a paper showing the valuation of illiquid infrastructure project debt, taking into account its illiquidity and the absence of market price feedback, can be done using advanced, state-of-the-art structural credit risk modelling. The paper by EDHEC-Risk... Read more »
IN CONVERSATION

EDHEC: a bridge to practical portfolio construction

The new chairman of EDHEC-Risk Institute’s international advisory board, chief investment strategist at Swedish pension fund AP2, Tomas Franzen, says institutional investors should embrace academia and be open to applying research in the implementation of practical portfolio construction. He says that while investing is part art and part science, it is important to employ science... Read more »
ANALYSIS

Brussels ‘cooking up real estate shock’

The European Union is threatening to drive pension funds out of real estate investments, experts warn. That could be one of the undesirable results of plans to put pension funds under new risk regulations akin to the Solvency II requirements for the continent’s insurers. What most concerns John Forbes, a PriceWaterhouseCoopers real estate expert, is... Read more »
RESEARCH

EDHEC puts CDS under the spotlight

In recently released research, Dominic O’Kane, affiliated professor of finance at EDHEC Business School, challenges the assumptions about the operation of the eurozone sovereign-linked credit default swaps (CDS) market. The European Parliament decided to permanently ban so-called “naked” CDS in October 2011 on the back of claims that their speculative use caused or accelerated the... Read more »
RESEARCH

EDHEC-Risk: reform retirement

  EDHEC-Risk Institute has released a study highlighting the need to reform retirement systems and pension funds. The study Shifting Towards Hybrid Pension Systems: A European Perspective also looks at the need to adopt professional management structures and to considerably improve the product offering of defined-contribution funds. To read the paper click here
RESEARCH

Risk management in commodity derivatives trading

EDHEC-Risk Institute research associate Hilary Till looks at the risk management of commodity derivatives trading and the lessons that can be learned from recent high profile trading debacles. Till, a principal, at Premia Capital Management, LLC, analysed several case studies and looks at risk management at large institutions, proprietary trading firms and at hedge funds.... Read more »
RESEARCH

Latest research

A study comparing the performance of equal-, value-, and price-weighted portfolios of stocks in the major US equity indices over the last four decades has won a prestigious award. Raman Uppal, Member of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, along with co-authors Grigory Vilkov and Yuliya Plyakha, both of Goethe University... Read more »
RESEARCH

Enhanced estimates generate improvement in hedge funds

EDHEC-Risk Institute has conducted research looking at an application of the improved estimators for higher order co-moment parameters as they apply to the optimisation of hedge fund portfolios.
ANALYSIS

Edhec warns of narrow focus on ETF risks

European regulators should focus on ensuring transparency of risk and disclosure about costs and returns to create a level playing field for all financial products, rather than focusing on the potential risks of exchange-traded funds (ETFs), EDHEC-Risk Institute has warned.
RESEARCH

Conventional indexes still popular

A new EDHEC-Risk Institute survey of 104 European institutional investment professionals analyses the current uses and views on equity and fixed-income indexes.