Academic Publications
On stability of operational risk estimates by LDA: From causes to approaches
Journal of Banking and Finance, Volume 68, July 2016, pp266-287
The stability of estimates is critical when applying advanced measurement...
Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model
International Journal of Theoretical and Applied Finance, Volume 4, Issue 04, June 2016
In this paper, we study a model that captures four...
Elliptical tempered stable distribution
Quantitative Finance, Volume 16, Issue 7, May 2016
Elliptical distributions are useful for modelling multivariate data, multivariate normal and...
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
International Review of Financial Analysis, Volume 45, May 2016, pp189-201
We propose a model for constructing Asian funds of hedge funds. We...
Equity style allocation: A nonparametric approach
Journal of Asset Management, Volume 17
In this article we provide a framework to assist with style allocation in Asian equity funds. We implement...
Pricing Coupon Bond Options and Swaptions under the One-Factor Hull-White Model
Journal of Fixed Income, Volume 25, No. 4, Spring 2016, pp76-82
In this article, the authors propose an alternative approach for pricing bond...
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
Journal of Banking & Finance, Volume 65, April 2016, pp134-155
Statistical arbitrage strategies are typically based on models of returns...
Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades
The Journal of Derivatives, Winter 2016, Vol. 24, No. 2: pp. 48-65
The OTC derivatives market has always suffered from the fact that there are...
Diversified or Concentrated Factor Tilts?
The Journal of Portfolio Management, Winter 2016, Vol. 42, No. 2, pp64-76
The authors compare two approaches to single-factor index design:...
A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling
Journal of Fixed Income, Volume 25, No 3, pp36-45, Winter 2016.
In this article, the authors propose a one-factor shifted squared Gaussian model...
Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach
The Journal of Derivatives Summer 2015, 22 (4) 10 - 25
The stress test has become an increasingly important risk assessment and management tool....
Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds
The Journal of Fixed Income Winter 2015, 24 (3) 5 - 29
In the absence of inflation-linked bonds or inflation swaps, no perfect hedging strategy...
Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations
Applied Economics, Volume 47, Issue 48, September 2015.
We compare the backtesting performance of ARMA-GARCH models with the most common types of...
Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?
Journal of Derivatives, Volume 23 (2), pp76-89, Winter 2015
This article applies the stochastic alpha-beta-rho (SABR) model to the foreign...
In search of Cash-Flow Pricing
Journal of Financial Research, Volume 38, Issue 4, pp511-527, Winter 2015
There are varying views on the relative importance of cash flow versus...
Mass Customization in Life-Cycle Investing Strategies with Income Risk
Bankers, Markets & Investors, No.139, November-December 2015
Formal intertemporal portfolio selection models show that the utilitymaximizing...
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads
Computational Economics, Volume 46, Issue 2, pp243-273, August 2015
Most important financial models assume randomness is explained through a...
New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp11-20
Real estate has continued to evolve as an asset...
The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?
The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp118-125
In this article, the authors discuss the...
Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments
Journal of Alternative Investments, Volume 18, Issue 1, Summer 2015, 48-64
Risk parity portfolios are traditionally constructed by choosing...
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
