EDHEC-Risk Newsletter October 2011
28/10/2011 EDHECINDUSTRY ANALYSIS
Clouded outlook for retail distribution The Retail Distribution Review (RDR) has come under fierce attack from authoritative European sources, and how retail investors receive advice is also in the melting pot in Europe, the UK and the USA. The UK Parliament is additionally exerting pressure on the Financial Services Authority (FSA). The problems are compounded by disagreements about the way forward among the various nation states of the European Union (EU). Other European regulatory proposals designed to protect the retail public add to the potential confusion. There is, however, some comfort for the FSA from across the Atlantic. More...
EDHEC-Risk Institute Research Insights - IPE Supplement Q3 2011 The latest edition of the EDHEC-Risk Institute Research Insights supplement in IPE is a special issue to celebrate the 10th anniversary of EDHEC-Risk Institute. Since it was founded in 2001, the institute has endeavoured to remain faithful to its "research for business" approach, by providing research that is both academically excellent and relevant and useful for the industry. In the latest supplement, we look at the industry-sponsored research that has been developed at EDHEC-Risk Institute over the past ten years. More...
FEATURES
Response to ESMA Consultation Paper to Implementing Measures for the AIFMD Several regulatory initiatives are being taken in Europe and recommendations that will reshape the investment fund industry are being made. Existing regulations, such as UCITS, are being reshaped; the need for a regulation of depositaries has been acknowledged, and since the G20 there has been more focus on the monitoring of hedge funds. Many of these regulatory needs have converged in the alternative investment fund managers' directive (AIFMD), which means that the AIFMD could become a unique framework that settles most of the questions related to the common framework for funds, fund managers and depositaries. However, it must avoid the risk of the AIFMD not being applicable if it appears as a patchwork of diverging goals that have been grouped into a single directive solely for political reasons. More...
INTERVIEW
EDHEC Risk Institute - Asia at a glance: An interview with Frédéric Ducoulombier In this month's interview, we talk to Frédéric Ducoulombier, Director of EDHEC Risk Institute - Asia, about the platform's current and future research projects and executive education activities in the region. More...
RESEARCH NEWS
Professor Zipf goes to Wall Street Yannick Malevergne, Pedro Santa-Clara, Didier Sornette. Zipf (1949) established a result which had consequences on assessing the diversification of the market portfolio. He observed that the size of US firms ranked from the largest to the smallest is inversely proportional to its rank. This result corresponds to a heavy-tailed distribution of firm sizes. It was confirmed in different countries and using different measures of firm sizes. As a result, the market portfolio, which is weighted using firms' market capitalisation, appears to be poorly diversified, as only the components having the highest rank in terms of capitalisation have a significant contribution in this index. More...
EDHEC PUBLICATIONS
An Integrated Approach to Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams Lionel Martellini, Vincent Milhau. Correctly assessing the value of a pension plan in deficit with a weak sponsor company is a real challenge given that no comprehensive model is currently available for the joint quantitative analysis of capital structure choices, pension fund allocation decisions and their impact on rational pricing of liability streams. This paper is an attempt to fill this gap by analyzing the valuation of pension liabilities regarded as defaultable claims issued by the sponsor company to workers and pensioners in the context of an integrated model of capital structure. More...
A Moment Expansion of Downside Risk Measures Stoyan V. Stoyanov. This paper introduces a decomposition of a sub-class of spectral risk measures in terms of L-moments accounting for geometric characteristics of the return distribution similar to the ones described by the ordinary moments. The decomposition completely characterises the spectral risk measures with square-integrable risk aversion functions and can be regarded as a link between higher-order moment risk and downside risk measures. More...
EDHEC-RISK NEWS
Early bird rates available for New Frontiers in Equity Investing Seminar in New York, January 26-27, 2012 The New Frontiers in Equity Investing Seminar is an intensive two-day course providing participants with both the technical and conceptual tools to better understand the limits and benefits of traditional and alternative equity benchmarks. More...
High Frequency Trading Presentation from EDHEC-Risk Institute PhD in Finance Affiliate Faculty Member Jakša Cvitanic on November 17 in Singapore At a special presentation in Singapore on November 17, 2011, Jakša Cvitanic, Professor of Mathematical Finance at the California Institute of Technology and Affiliate Faculty of the EDHEC-Risk Institute PhD in Finance will be discussing his recent research modelling the impact of high-frequency traders on limit order markets. More...
New publication on equity valuation released by EDHEC Business School Professor Frank J. Fabozzi A new book entitled "Equity Valuation and Portfolio Management" co-edited by Frank J. Fabozzi, Professor of Finance at EDHEC Business School and member of EDHEC-Risk Institute, together with Harry M. Markowitz, the 1990 co-recipient of the Nobel Prize in Economics, has just been published by John Wiley & Sons. More...
EDHEC-Risk Institute 2001-2011 10-year anniversary events being held in Singapore, London and Paris EDHEC-Risk Institute is celebrating its 10-year anniversary in 2011. In order to mark the tenth anniversary of EDHEC-Risk Institute, and to thank its partners for their continued support over the years, three special celebratory events are being held on October 24 in Singapore, on November 28 in London, and on December 8 in Paris, where senior representatives from the Institute and its partners will present the highlights and achievements of the past decade. More...
Clouded outlook for retail distribution The Retail Distribution Review (RDR) has come under fierce attack from authoritative European sources, and how retail investors receive advice is also in the melting pot in Europe, the UK and the USA. The UK Parliament is additionally exerting pressure on the Financial Services Authority (FSA). The problems are compounded by disagreements about the way forward among the various nation states of the European Union (EU). Other European regulatory proposals designed to protect the retail public add to the potential confusion. There is, however, some comfort for the FSA from across the Atlantic. More...
EDHEC-Risk Institute Research Insights - IPE Supplement Q3 2011 The latest edition of the EDHEC-Risk Institute Research Insights supplement in IPE is a special issue to celebrate the 10th anniversary of EDHEC-Risk Institute. Since it was founded in 2001, the institute has endeavoured to remain faithful to its "research for business" approach, by providing research that is both academically excellent and relevant and useful for the industry. In the latest supplement, we look at the industry-sponsored research that has been developed at EDHEC-Risk Institute over the past ten years. More...
FEATURES
Response to ESMA Consultation Paper to Implementing Measures for the AIFMD Several regulatory initiatives are being taken in Europe and recommendations that will reshape the investment fund industry are being made. Existing regulations, such as UCITS, are being reshaped; the need for a regulation of depositaries has been acknowledged, and since the G20 there has been more focus on the monitoring of hedge funds. Many of these regulatory needs have converged in the alternative investment fund managers' directive (AIFMD), which means that the AIFMD could become a unique framework that settles most of the questions related to the common framework for funds, fund managers and depositaries. However, it must avoid the risk of the AIFMD not being applicable if it appears as a patchwork of diverging goals that have been grouped into a single directive solely for political reasons. More...
INTERVIEW
EDHEC Risk Institute - Asia at a glance: An interview with Frédéric Ducoulombier In this month's interview, we talk to Frédéric Ducoulombier, Director of EDHEC Risk Institute - Asia, about the platform's current and future research projects and executive education activities in the region. More...
RESEARCH NEWS
Professor Zipf goes to Wall Street Yannick Malevergne, Pedro Santa-Clara, Didier Sornette. Zipf (1949) established a result which had consequences on assessing the diversification of the market portfolio. He observed that the size of US firms ranked from the largest to the smallest is inversely proportional to its rank. This result corresponds to a heavy-tailed distribution of firm sizes. It was confirmed in different countries and using different measures of firm sizes. As a result, the market portfolio, which is weighted using firms' market capitalisation, appears to be poorly diversified, as only the components having the highest rank in terms of capitalisation have a significant contribution in this index. More...
EDHEC PUBLICATIONS
An Integrated Approach to Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams Lionel Martellini, Vincent Milhau. Correctly assessing the value of a pension plan in deficit with a weak sponsor company is a real challenge given that no comprehensive model is currently available for the joint quantitative analysis of capital structure choices, pension fund allocation decisions and their impact on rational pricing of liability streams. This paper is an attempt to fill this gap by analyzing the valuation of pension liabilities regarded as defaultable claims issued by the sponsor company to workers and pensioners in the context of an integrated model of capital structure. More...
A Moment Expansion of Downside Risk Measures Stoyan V. Stoyanov. This paper introduces a decomposition of a sub-class of spectral risk measures in terms of L-moments accounting for geometric characteristics of the return distribution similar to the ones described by the ordinary moments. The decomposition completely characterises the spectral risk measures with square-integrable risk aversion functions and can be regarded as a link between higher-order moment risk and downside risk measures. More...
EDHEC-RISK NEWS
Early bird rates available for New Frontiers in Equity Investing Seminar in New York, January 26-27, 2012 The New Frontiers in Equity Investing Seminar is an intensive two-day course providing participants with both the technical and conceptual tools to better understand the limits and benefits of traditional and alternative equity benchmarks. More...
High Frequency Trading Presentation from EDHEC-Risk Institute PhD in Finance Affiliate Faculty Member Jakša Cvitanic on November 17 in Singapore At a special presentation in Singapore on November 17, 2011, Jakša Cvitanic, Professor of Mathematical Finance at the California Institute of Technology and Affiliate Faculty of the EDHEC-Risk Institute PhD in Finance will be discussing his recent research modelling the impact of high-frequency traders on limit order markets. More...
New publication on equity valuation released by EDHEC Business School Professor Frank J. Fabozzi A new book entitled "Equity Valuation and Portfolio Management" co-edited by Frank J. Fabozzi, Professor of Finance at EDHEC Business School and member of EDHEC-Risk Institute, together with Harry M. Markowitz, the 1990 co-recipient of the Nobel Prize in Economics, has just been published by John Wiley & Sons. More...
EDHEC-Risk Institute 2001-2011 10-year anniversary events being held in Singapore, London and Paris EDHEC-Risk Institute is celebrating its 10-year anniversary in 2011. In order to mark the tenth anniversary of EDHEC-Risk Institute, and to thank its partners for their continued support over the years, three special celebratory events are being held on October 24 in Singapore, on November 28 in London, and on December 8 in Paris, where senior representatives from the Institute and its partners will present the highlights and achievements of the past decade. More...