Executive MSc in Risk

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Executive MSc in Risk

  1. 1. Executive MSc in Risk & Investment Management Singapore — London — Nice Institute
  2. 2. Executive MSc in Risk & Investment Management Contents The Executive MSc in Risk and Investment Management at a Glance…………………….. 4 Redefining Investment Management………………………………………………………………….. 8 An Original, Challenging, and Relevant Curriculum……………………………………………… 12 A Programme Tailored to Professional Needs………………………………………………………... 22 Programme Faculty…………………………………………………………………………………………….. 26 EDHEC-Risk Institute…………………………………………………………………………………………. 34 About EDHEC Business School…………………………………………………………………………... 42 Learning Infrastructure and Facilities………………………………………………………………….. 44 Admissions, Fees, and Funding………………………………………………………………….............. 46 2
  3. 3. Executive MSc in Risk & Investment Management 3
  4. 4. Executive MSc in Risk & Investment Management The EDHEC-Risk Institute Executive MSc in Risk and Investment Management at a Glance 4
  5. 5. Executive MSc in Risk & Investment Management Programme Rationale and Objectives Targeting aspiring entrants and perpetuating the Investment management as an industry is justified industry’s security selection bias, the typical master’s by its ability to design and manage portfolios or programmes in finance and investments focus on solutions tailored to the specific constraints and the basics of financial markets and instruments, on objectives of investors whether institutional, financial statement analysis, and on conventional high-net worth or retail. portfolio theory. As such, they cannot prepare professionals for the challenges facing the investment Historically, the industry has focused its value- management industry. proposal on security selection and left aside two major sources of added-value: asset allocation and Practitioners who wish to embrace and lead the major risk management. changes that will reshape investment management should consider pursuing the innovative Executive The progressive realisation of the difficulty of MSc in Risk and Investment Management introduced creating value through security selection has fuelled by EDHEC-Risk Institute. the development of low-margin passive investment vehicles and prompted investment managers to start Driven by the evolving requirements of the exploring asset allocation as a source of performance. investment industry and designed for experienced practitioners, the Executive MSc in Risk and The crises at the turn of the millennium and the more Investment Management trains participants to recent financial turmoil have challenged conventional appreciate recent and forthcoming paradigm shifts investment wisdom and underscored the need for the and equips them with the conceptual and practical profession to redefine itself, adopt state-of-the-art tools to improve the organisation of the investment asset allocation and risk management techniques, process and optimise asset allocation, portfolio and shift from promoting products to designing construction, performance measurement, and risk solutions that truly take account of investors’ needs management. Spanning traditional, alternative, and constraints. and structured investments, and drawing on the latest scientific advances, the programme focuses on dynamic asset allocation and advanced risk management techniques and on the integration of investor needs and constraints in the design of novel solutions for institutional, private and retail investment management. 5
  6. 6. Executive MSc in Risk & Investment Management An Original, Challenging, While the programme is technically challenging, and Relevant Curriculum its underlying force and focus are on the business The curriculum devotes considerable attention to relevance of financial innovation and its uses for the organisation of investment management and investors, whether institutional, high net-worth, to the optimisation of each step in the portfolio or mass-affluent. From this angle, the EDHEC-Risk management process. It reviews competing Institute Executive MSc in Risk and Investment investment architectures and thoroughly examines Management allows participants to view all concepts investment policy, strategic asset allocation, and techniques covered in class from an investor portfolio construction, tactical asset allocation, and solution perspective. performance measurement and reporting. One Programme, It covers the latest theoretical developments in Two Regions, Three Locations asset pricing and portfolio management and The EDHEC-Risk Institute Executive MSc in Risk and equips participants with the financial modelling Investment Management is designed for professionals and empirical finance tools required to implement in the investment management industry who wish to research advances in the context of asset-only and progress, or maintain leadership in their field, and for asset-liability management solutions. other finance practitioners who are contemplating lateral moves. It appeals to senior executives, Taking stock of the rise of alternative and structured investment and risk managers or advisors, and forms of investments, it explores their characteristics, analysts. asset allocation benefits, and addresses the challenges they create for multi-style multi-class investment. This postgraduate programme is designed to be completed in seventeen months of part-time study Going beyond conventional asset allocation and risk and is formatted to be compatible with professional management approaches, it delves into advanced risk schedules. management techniques and develops a dynamic risk budgeting framework allowing for the integration of The programme is offered in Asia—from Singapore— “hard” risk constraints in asset allocation. and in Europe—from London and Nice. 6
  7. 7. Executive MSc in Risk & Investment Management The Support of a Leading First-Rate Faculty Research Centre Programme faculty consists of renowned specialists The programme draws upon the considerable in investment management whose collective resources and exceptional industry reputation of expertise maps asset pricing, quantitative methods, EDHEC-Risk Institute, Europe’s premier centre for alternative and structured forms of investments, asset applied financial research and a global leader in allocation and asset-liability management, portfolio investment management research. In the framework construction, risk management and measurement, of six industry-sponsored research programmes and performance measurement and analysis. It brings ten corporate-endowed research chairs, its team of together EDHEC-Risk Institute’s permanent faculty sixty-two researchers and professionals carries out and researchers and adjunct faculty who pursue a wealth of projects around asset allocation and careers in the financial industry. risk management and implements a multifaceted communications policy towards asset managers and Faculty members embody the programme’s unique institutional investors. combination of academic excellence and industry relevance and many of them have had notable influence over investment management concepts and practices through research, executive education, and direct involvement in the financial industry. 7
  8. 8. Executive MSc in Risk & Investment Management Redefining Investment Management 8
  9. 9. Executive MSc in Risk & Investment Management Sergio Focardi, PhD Stoyan Stoyanov, PhD Professor of Finance, EDHEC Business School Professor of Finance, EDHEC Business School Programme Director, EDHEC-Risk Institute Programme Director, EDHEC-Risk Institute Executive MSc in Risk and Investment Executive MSc in Risk and Investment Management for Europe Management for Asia Historically, the investment management industry This new importance of asset allocation and risk has focused its value proposal on asset selection management has profound implications for the and underutilised two key sources of added-value: investment management industry and calls into asset allocation and risk management. Furthermore, question the traditional concepts and techniques sophisticated asset allocation and consideration of used by the profession. liability constraints have largely remained limited to the confines of institutional investors with maturity The first major implication concerns the limits of transformation or retirement provision activities. using diversification as the sole approach to risk management. While diversification may be relied Over the last twenty years, the realisation of the upon to beat a benchmark, it cannot be regarded difficulty of delivering added-value through asset as a robust risk management approach allowing selection has led to the brisk development of passive for the respect of “hard” risk budgeting constraints, investment vehicles, to the emergence of the core- whether absolute in an asset management context or satellite management framework, and to renewed relative in an asset-liability management framework. interest in asset allocation approaches as sources of Against this backdrop, the Executive MSc in Risk performance. The turn of the millennium crises which and Investment Management offered by EDHEC- sent the equity markets reeling at the same time as Risk Institute devotes considerable attention to falling interest rates were increasing the value of novel dynamic asset allocation and risk budgeting future obligations prompted institutional investors techniques which provide a solution to the limits to explore advanced asset-liability management of traditional static allocation approaches. This techniques and alternative diversification. The exploration of dynamic strategies is built on a review recent global financial crisis has served to dash the of the mathematical tools of continuous-time finance exaggerated hopes placed in diversification, highlight and the economic fundamentals of asset-pricing and the challenges of alternative investment, and fuel market equilibrium. investor demand for advanced asset allocation and risk management skills. 9
  10. 10. Executive MSc in Risk & Investment Management The second significant issue relates to the correct investment funds, but also to high-net-worth and integration of alternative and emerging classes even mass-affluent clienteles. While it is recognised in investment management be it to improve the that investment objectives and liability constraints risk-return trade-off of an asset-only mandate should play a central role in asset allocation and or to reduce the cost of liability-driven investing risk management policies, ALM has remained the (LDI) solutions by relying on real assets. With their preserve of pension funds, insurance companies, and different risk profiles, alternative investments commercial banks. A solid understanding of state- indeed offer opportunities for asset allocation. of-the-art ALM techniques is required to optimally However, the scarce, biased, and non-Gaussian address the investment management needs of return data as well as the limited liquidity and emerging institutional investors, offer truly client- transparency of hedge funds, private equity, real centric services in private wealth management, and estate, or emerging alternatives have far-reaching design innovative value-adding solutions for retail impacts on all steps of the investment management investors. The EDHEC-Risk Institute Executive MSc process. To allow participants to design investment in Risk and Investment Management thus explores solutions that capture the benefits of these vehicles strategic asset allocation in the context of ALM, in a risk-controlled fashion, the Executive MSc in introduces the latest advances in ALM, and discusses Risk and Investment Management integrates the the specifics of ALM for sovereign investment funds specific characteristics of alternatives throughout and private investors. the risk and investment management process and equips participants with advanced knowledge of Since 2001, EDHEC-Risk Institute has been the operational aspects of alternative investment. conducting academic research on asset allocation Implementing LDI solutions that draw on the liability- and risk management, highlighting research results hedging potential of alternative investments requires and applications to practitioners, and assisting them quantitative analysis not only of hedging properties in their implementation. This has allowed EDHEC- but also of the robustness of methods used to Risk Institute to become the most influential centre assemble hedging portfolios. These requirements for applied financial research in Europe and to justify the prominent status and advanced nature attract considerable industry interest and financial of portfolio construction and empirical finance support for its projects. EDHEC-Risk Institute’s techniques in the programme. unique blend of academic relevance and professional relevance permeates the Executive MSc in Risk and The third key consequence involves the extension of Investment Management and is epitomised by its the asset-liability management (ALM) approach not first-rate faculty. Bringing together EDHEC-Risk only to new institutional investors, such as sovereign Institute’s professors and researchers and high- 10
  11. 11. Executive MSc in Risk & Investment Management level practitioners acting as affiliate instructors and We encourage you to find out more about the format, guest speakers, the programme faculty team is a curriculum, and faculty of the EDHEC-Risk Institute group of respected specialists who not only have Executive MSc in Risk and Investment Management scientific expertise in the variety of areas covered and invite you to evaluate how the programme could by the programme but also play a significant role help you embrace and lead the major changes that in advancing investment management theory and will reshape investment management. practices through research, executive education, and direct industry involvement. While the programme is broad and technically challenging, its underlying force and focus are on the business relevance of financial innovation and its uses for investors whether institutional, high net-worth, or mass-affluent. The Executive MSc in Risk and Investment Management offered by EDHEC-Risk Institute allows participants to cast all concepts and techniques covered in class in an investor solution perspective: innovation is pertinent only to the extent that it truly allows the needs of investors to be addressed. The curriculum’s manifold applications include designing long-only absolute return funds and dynamic risk-controlled strategies mixing traditional and alternative vehicles, creating new inflation-hedging solutions based on real assets, adapting ALM techniques to private wealth management, implementing time- and state-dependent asset allocation models for target-date funds, and reconciling dynamic core satellite techniques and mean reversion approaches to optimise the long-term performance of pension schemes while respecting their short-term funding ratio constraints, to cite but a few. 11
  12. 12. Executive MSc in Risk & Investment Management An Original, Challenging, and Relevant Curriculum 12
  13. 13. Executive MSc in Risk & Investment Management Perpetuating the traditional asset selection bias of the The curriculum of the Executive MSc in Risk and industry and targeting aspiring entrants, the typical Investment Management offered by EDHEC-Risk master’s in investment management programme Institute is centred around core courses which provide covers the basics of financial markets and focuses on participants with sound knowledge of the economic analysing financial statements and valuing traditional and mathematical underpinnings of investment, with investment vehicles. The various steps in the investment the modelling and empirical finance tools required to management process are studied in a module that bridge the gap between investment management theory centres on conventional portfolio theory – investment and practices, and with clear directions for optimising policy, performance measurement, and portfolio the value added from investment policy definition, rebalancing receive the most cursory treatment and strategic and tactical asset allocation, performance asset allocation and risk management are too often analysis and reporting, and risk management. While equated with static diversification. alternative and structured forms of investment receive dedicated treatment in the context of specific core Designed for experienced investment professionals courses, all courses dealing with asset pricing, empirical and driven by the changing needs of the industry, the finance, portfolio construction and management, and EDHEC-Risk Executive MSc in Risk and Investment risk management are set in a multi-style multi-class Management takes a radically new approach. It discards framework that spans traditional, alternative, and the coverage of basics of markets and securities, structured investments. disregards security selection, and focuses on asset allocation and risk management as key sources of Electives allow participants to further explore a specific added-value. The programme questions the organisation step in the investment management process, analyse of investment management and explores in detail every emerging investment themes and investor solutions, or step in the investment management process. It casts review recent regulatory and compliance developments investment in a dynamic framework and shows how to affecting the industry. blend asset allocation and risk management to provide a solution to the limits of static allocation approaches. Complimentary and optional access to the wealth of research events organised by EDHEC-Risk Institute gives While the programme explores research advances in Executive MSc in Risk and Investment Management asset allocation and risk management, its emphasis is participants an advance view of future developments in on equipping participants with a conceptual framework investment management theory and practices. and the practical tools to design and implement new solutions tailored to the needs and constraints of investors. 13
  14. 14. Executive MSc in Risk & Investment Management Key learning benefits > Appreciate paradigm shifts in investment management and their strategic and operational impact. > Understand the recent advances in financial theory with respect to asset pricing and portfolio models and acquire the empirical finance tools to implement them. > Review the fundamentals of strategic asset allocation and asset-liability management, explore their latest advances, and apply them to the needs of institutional, high-net worth and mass-affluent investors. > Understand the specific characteristics of alternative investments and learn to integrate alternative asset classes into asset allocation. > Bridge the gap between modern portfolio theory and portfolio construction. > Understand the models, techniques, and applications of tactical asset allocation, learn to design and implement tactical models and to package them into investment solutions. > Review portfolio insurance techniques and learn to blend active asset allocation and risk management to design risk-controlled dynamic asset allocation strategies for asset management and asset-liability management. > Acquire state-of-the-art methods for the measurement and management of market, credit, operational, and liquidity risks. > Understand how structured products are designed, priced, and hedged, learn to analyse their performance and risks, and assess their role in asset allocation and risk management. > Use advanced tools for performance measurement and analysis to measure the performance attributable to each step in the portfolio management process and to individual portfolio managers. > Optimise the contribution of specific asset classes and investment vehicles, and analyse current industry issues and investment themes. > Obtain advance exposure to forthcoming developments in investment management theory and practices. 14
  15. 15. Executive MSc in Risk & Investment Management Core Courses It opens with a review of the mathematical tools required Core courses train participants to appreciate recent for continuous-time models of security prices and interest rates and surveys the economic fundamentals for the study and forthcoming paradigm shifts in investment of individual decisions and market equilibrium. It then management and equip them with the conceptual looks at consumption and investment under uncertainty, and practical tools required to optimise risk mean variance theory and alternative risk measures, capital and investment management and design novel market equilibrium, arbitrage pricing theory, derivatives investment solutions for institutional, private and pricing, interest rate models and the pricing of interest rate sensitive claims, and hedging. retail investors that span traditional, alternative, and structured forms of investments. All core courses are Empirical finance (42 hours) mandatory. This course focuses on the empirical aspects of asset pricing and portfolio management and on the State-of-the-art investment management (28 hours) econometrics of financial markets. Applications span The course discusses the organisation of the investment primitive and derivative asset pricing, strategic and tactical management process by reviewing competing investment asset allocation, and trading strategies. Topics covered models and examining the paradigm shifts in investment include asset return modelling and predictability, volatility management and their impact on the organisation of modelling and forecasting, treatment of non-linearity the investment process. It establishes the framework of in data, simulation methods, calibration and testing of the investment management process and looks at recent pricing models and trading strategies, correlation and co- and emerging models in institutional investment, wealth integration analysis, econometrics of derivatives pricing, management, and retail asset management organisations, and econometrics of fixed income markets. assessing academic recommendations and detailing innovations in architecture and solutions pioneered by Alternative investments (28 hours) world-class buy- and sell-side institutions. It discusses This course looks at alternative investments from an the benefits, limits, and implementation conditions of asset allocation perspective. It opens with a presentation advanced quantitative models for asset allocation and of assets from private equity and real estate, to hedge risk management. The course combines analysis by funds, commodities and managed futures, and alternative EDHEC-Risk Institute researchers and dialogue with high- alternatives (infrastructure assets, timber, etc.). The level practitioners to equip participants with a sound emphasis is on investment characteristics, risk and return understanding of alternative investment processes and drivers, and statistical properties of alternative classes organisations and best industry practices as well as insight and investments. The course then looks at the benefits into upcoming changes. and challenges of integrating alternative assets in asset allocation and discusses alternative integration models. Foundations of asset pricing and portfolio It concludes with an examination of practical portfolio management (42 hours) management issues that arise with alternative assets, and This course introduces the economic and mathematical provides techniques to manage asset class exposure and foundations of asset pricing and portfolio management. operational risk. 15
  16. 16. Executive MSc in Risk & Investment Management Strategic asset allocation and error and parameter uncertainty, prior knowledge, realistic asset-liability management (28 hours) risk preferences, and transaction costs. It discusses scenario This course deals with strategic asset allocation for optimisation and its applications. It reviews risk budgeting mass-affluent, high net-worth and institutional investors in the core-satellite investing model, benchmark- and introduces the ALM framework. The first part of the relative optimisation, and concludes with a survey of the course reviews the steps to developing an investment limitations of traditional indices and benchmarks and a policy statement highlighting major considerations for discussion of alternative weighting schemes. the different types of investors. The course then discusses asset class specification and selection, and looks at the Risk measurement and management (49 hours) various methods used to estimate and model long- The course presents the tools used to identify, measure, term returns, risks, and relationships between classes. It and manage market risk, credit risk, operational risk, concludes with a review of the various approaches to and liquidity and execution risks. It deals with the whole combining investor objectives, constraints and asset class range of assets and devotes specific attention to the risks forecasts. The second part of the course focuses on the associated with derivatives and complex strategies. Its ALM approach to strategic asset allocation. It covers basic coverage of market risk includes alternative risk metrics, ALM approaches, surplus optimisation techniques, liability- the Value-at-Risk framework and extensions, risk factor driven investing, and stochastic ALM models looking at the mapping, modelling of time-varying volatility and volatility limitations, costs, and benefits of each approach. It reviews clustering, and approaches to modelling extreme values. the practical issues of hedging hedgeable and imperfectly Its survey of credit and counterparty risks discusses hedgeable risks with cash and derivatives and discusses default, downgrade, and credit spread risk, methods short-term constraints on optimal ALM. It discusses liability for credit risk measurement, tools for modelling of loss identification and concludes with a series of case studies and recovery risks, traditional credit risk management highlighting the salient features of implementing ALM methods, and credit derivatives. Treatment of operational in banks, insurance companies, and pension funds and risk encompasses a review of its various dimensions and introducing extensions of the ALM approach into private presentation of the tools to measure, model, and mitigate banking and sovereign investment management. operational risk, including specific controls, insurance, swaps, and catastrophe instruments. The course’s review of Portfolio construction liquidity risk centres on identifying its sources, presenting and risk budgeting in practice (28 hours) mitigation techniques, designing liquidity provision plans This course is devoted to bridging the gap between and execution strategies. The course concludes with portfolio theory and practical portfolio construction and a survey of stress tests looking at their objectives and building viable, stable, and realistic portfolio models. It presenting steps and tools for designing and performing looks at feasibility and relevance issues with traditional them. portfolio models, introduces techniques to redefine the investment universe and make covariance matrix estimation feasible, improve parameter estimates, address data limitations, and deal with illiquid asset classes. It presents methods to implement alternative portfolio models that account for non-normality risks, estimation 16
  17. 17. Executive MSc in Risk & Investment Management Tactical asset allocation (21 hours) Structured investments (28 hours) This course explores the models, techniques, and This course explores structured products, understood applications of tactical asset allocation. The course opens as investment vehicles founded on derivatives-based with a review of the various approaches to tactical asset strategies involving underlying assets such as equities, allocation, introduces commonly used signals and their indices, funds, and so on. The course opens with a corresponding horizons, looks at the different types of presentation of the main types of credit, fixed-income, parametric and non-parametric models used to generate and equity-derivatives structured products; their risk and and filter signals, and discusses portfolio construction return profiles are detailed. It looks at the design, pricing, issues. It then focuses on the econometrics of tactical asset and hedging of the most common structures, e.g. capital allocation, addressing practical issues such as variable protection, leverage, inverse indexation, and discusses identification and model calibration, and out-of-sample exotic and customised structures. The course then reviews performance testing and model training. It also examines the tools and methods used to assess the performance and the specific characteristics of tactical asset allocation in risks of structured investments and applies them to the a high frequency context. The course concludes with case analysis of products linked to equity, fixed-income, and studies of momentum-based tactical asset allocation in the alternative investments. It concludes with a look at the commodity futures markets, business cycle analysis-based benefits and constraints of structured investments in terms timing between traditional classes, and quantitatively- of asset allocation and risk management. driven multi-style multi-class tactical asset allocation. Performance measurement, Dynamic asset allocation analysis and reporting (21 hours) and risk management (14 hours) This course introduces participants to the metrics, models, This course examines portfolio insurance techniques and and rules to measure the performance of investment introduces a new framework for dynamic asset allocation management, attribute it to investment process decisions decisions in asset management and ALM that blends and managers, and report it according to global standards. active management and risk management. It first looks The course presents standard metrics for performance at the introduction of risk management constraints into measurement and advanced models for risk-adjusted asset allocation and discusses time- and state-dependent performance analysis of asset management and ALM. strategies for risk management. It contrasts constant It addresses issues such as data biases, style biases, and proportion portfolio insurance and option-based portfolio dynamic trading, to provide for reliable performance insurance. It then discusses principles, derivation, and measurement and analysis in a multi-style multi- implementation of the dynamic core-satellite model and class dynamic framework. It deals with the specific shows how to use it to blend active management and risk characteristics of performance analysis for equity, fixed management to engineer new risk-controlled strategies in income, derivatives and alternative investments. It asset management and ALM. concludes with a review of Global Investment Performance Standards and their compliance requirements. 17
  18. 18. Executive MSc in Risk & Investment Management Elective Courses Optional Research Events Elective courses allow participants to further explore Executive MSc in Risk and Investment Management a specific step in the investment management participants also have the opportunity to go process, analyse emerging investment themes beyond coursework and become involved in and investor solutions in depth, or review recent research activities. They will be offered the chance regulatory and compliance developments affecting to join the Doctoral Research Workshop and the the industry. While a minimum of twenty-one hours Applied Research Seminar series and will enjoy of electives is mandatory, participants are free to take complimentary access to the annual conferences as many elective courses as they wish. and occasional presentations organised by EDHEC- Risk Institute. Online or physical attendance in For 2011/2012, the provisional catalogue of electives these research events provides Executive MSc in is as follows: Risk and Investment Management participants with Advanced fixed-income investing (14 hours) additional opportunities to review and discuss future Advanced commodity investment and risk developments in investment management theory and management (14 hours) practices. Advances in allocating to real assets: optimising diversification and hedging benefits (7 hours) EDHEC-Risk Institute Doctoral Research Workshop Primarily organised for faculty, permanent Transaction cost analysis and best execution researchers, and EDHEC-Risk Institute PhD in Finance challenges (7 hours) candidates, the Doctoral Research Workshop sees Analysing emerging investment themes: outstanding scholars present and discuss their green business (7 hours) ongoing research work. Executive MSc in Risk and Behavioural finance and private investment Investment Management participants will be invited management (14 hours) to join selected sessions of the Doctoral Research Managing compliance obligations in investment Workshop chosen for their relevance for investment management (14 hours) management. The workshop is accessible in multimedia streaming over the Internet both live and Risk management techniques for fund-of-fund structures (7 hours) on-demand. Each session lasts for an hour and a half and there are one to two sessions per month. State-of-the art manager selection and management (7 hours) Socially Responsible Investment in practice (7 hours) 18
  19. 19. Executive MSc in Risk & Investment Management Recent Doctoral Research Workshops relevant to Executive MSc in Risk and Investment Management participants include: > CoVaR > Do the Fama French Factors Really Proxy for Time Varying Tobias Adrian, Assistant Vice President, Federal Reserve Bank Opportunity Set? of New York Abraham Lioui, Professor of Finance, EDHEC Business School > Market Volatility, Market Frictions, and the Cross-Section of Stock Returns and Member, EDHEC-Risk Institute Federico M. Bandi, Professor of Economics and Finance, The Johns > Giants at the Gate: On the Cross-section of Private Equity Hopkins Carey Business School and Affiliate Faculty Member, Investment Returns EDHEC-Risk Institute Florencio López-de-Silanes, Professor of Finance, EDHEC Business > Short Selling and the Informational Efficiency of Prices School and Member, EDHEC-Risk Institute Ekkehart Boehmer, Professor of Banking and Finance, Lundquist > How Costly is Regulatory Short-Termism for Defined-Benefit College of Business, University of Oregon and Affiliate Faculty Pension Funds? Member, EDHEC-Risk Institute Lionel Martellini, Scientific Director, EDHEC-Risk Institute and > Tails, Fears and Risk Premia Professor of Finance, EDHEC Business School Tim Bollerslev, Professor of Finance, Fuqua School of Business, > Optimal Portfolio Allocations with Hedge Funds and Professor of Economics, Duke University Marcel Rindisbacher, Associate Professor of Finance and Economics, > When Uncertainty Blows in the Orchard: Comovement and School of Management, Boston University Equilibrium Volatility Risk Premia > Do Fund Managers Make Informed Asset Allocation Decisions? Andrea Buraschi, Chair in Finance, Imperial College Business School Jacob Sagi, Associate Professor of Finance, Owen Graduate School of > Longevity Risk and Retirement Savings Management, Vanderbilt University João Cocco, Associate Professor of Finance, London Business School > Keynes Meets Markowitz: The Trade-off between Familiarity and > Systemic Risk and Default Contagion in Banking Networks Diversification Rama Cont, Director of the Centre for Financial Engineering, Raman Uppal, Professor of Finance, London Business School and Columbia University Affiliate Faculty Member, EDHEC-Risk Institute > Gradual Information Diffusion in Asset Markets > Stock-Based Compensation and CEO (Dis)Incentives Harrison Hong, Professor of Economics and Finance, Princeton University Pietro Veronesi, Booth School of Business, University of Chicago > When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns Robert Kosowski, Head of the Centre for Hedge Fund Research, Imperial College Business School Guest scholars contributing to the EDHEC-Risk Institute Doctoral Research Workshop in 2010/2011 include: > Professor Yacine Ait-Sahalia, Director of the Bendheim Centre for > Professor Francis X. Diebold, Co-Director of the Wharton Financial Finance, Princeton University Institutions Centre, University of Pennsylvania > Professor Peter Christoffersen, McGill University > Professor Pascal Maenhout, INSEAD > Professor Jakša Cvitanic, California Institute of Technology ‘ > Professor Antonio Mello, University of Wisconsin-Madison > Professor Jérôme Detemple, Boston University > Professor Nicholas G. Polson, Booth School of Business, University of Chicago 19
  20. 20. Executive MSc in Risk & Investment Management EDHEC-Risk Institute Applied Research Seminar Primarily organised for the research team of EDHEC- Risk Institute, the Applied Research Seminar sees faculty and senior research staff present and discuss the results of the applied research projects they conduct in the context of the centre’s six industry- supported programmes and ten corporate-endowed research chairs. Executive MSc in Risk and Investment Management participants will be given the opportunity to participate in the Applied Research Seminar. The seminar is accessible in multimedia streaming over the Internet both live and on-demand. Each session lasts for an hour and a half and there is one session per month. A non-exhaustive list of recent and forthcoming presentations given as part of the Applied Research Seminar series: > Advanced Risk Budgeting Techniques for Institutional > Evaluating Hedge Fund Replication Strategies Portfolios with Alternative Assets > How to Reconcile Long-Term Investment with > Assessing the Cost of Protecting against Non-Financial Short-Term Constraints Risks > Life-Cycle Investing in the Presence of Stochastic > Asset and Liability Management Practices of European Interest Rates and Equity Risk Premium: Implications for Pension Funds the Design of Enhanced Forms of Target Date Funds > Creating Novel Hedging Solutions Using Real Assets > Optimal Asset-Liability Management Decisions for Sovereign Wealth Funds > Current and Emerging Uses of Exchange-Traded Funds by Institutional Investors > Portfolio Construction and Performance Measurement: Evidence from the Field > Designing an Asset-Liability Management Model for Private Wealth Management 20
  21. 21. Executive MSc in Risk & Investment Management EDHEC-Risk Institute Conferences and Research Presentations As part of its industry outreach activities, EDHEC-Risk Institute organises annual conferences and occasional events to present and discuss the results of its research with the investment management industry. Executive MSc in Risk and Investment Management participants will enjoy complimentary access to all of these research events. 21
  22. 22. Executive MSc in Risk & Investment Management A Programme Tailored to Professional Needs 22
  23. 23. Executive MSc in Risk & Investment Management Programme Audience Structure Tailored to Professional Needs The Executive MSc in Risk and Investment This specialist master’s programme is delivered over Management offered by EDHEC-Risk Institute seventeen months of part-time study and formatted helps professionals to embrace and lead the major to be compatible with professional schedules. It is changes that will reshape investment management. offered in Asia—from Singapore—and in Europe— It trains participants to appreciate recent and from London and Nice. forthcoming paradigm shifts and equips them with the conceptual and practical tools required to The core and elective course requirements of the improve the organisation of the investment process; programme represent fifty full days. They are optimise portfolio construction, risk management, delivered over three residential weeks and ten and performance measurement; and design novel three-day blocks (from Thursday afternoon to investment management approaches and solutions Sunday morning in Asia, and from Thursday for institutional, private and retail investment morning to Saturday afternoon in Europe). Some management. of the blocks may be taken as distance-learning sessions. This eases management of the demands The programme is targeted at experienced of work, programme, and personal life and allows investment professionals. It appeals to chief participation not only of London- and Singapore- investment officers, heads of asset allocation/ based practitioners, but also of professionals who investment strategy/asset-liability management, regularly travel to these cities. heads of investment solutions/financial services, portfolio and risk managers, investment and risk Core courses are given every year in Europe and Asia analysts and officers, advisers and consultants. It is so that missed modules requiring attendance may also of interest to professionals who have hitherto be made up, and the portfolio of electives offered in specialised in supporting roles such as financial London and Singapore allows Executive MSc in Risk modelling or programming, and wish to make lateral and Investment Management candidates to select moves. It is relevant to a wide cross-section of seminars that fit their professional objectives and institutions including third-party asset managers, constraints. private banks and wealth managers, investment banks, institutional investors (pension funds, All core courses and electives take place in state-of- endowments, foundations; insurance companies; the-art e-learning classrooms to allow remote sovereign investment vehicles), family offices, participation as well as asynchronous access to all consultancies, and financial software companies. class sessions attended. 23
  24. 24. Executive MSc in Risk & Investment Management Programme Timeline Timely completion of this challenging and rewarding an average of fifteen hours per week to readings, programme demands that participants commit assignments, and class attendance. Executive MSc in Risk and Investment Management Timeline: Asia Jan. Feb. Mar. Apr. May June July Aug. Sept. Oct. Nov. Dec. YEAR 2 YEAR 1 Residential weeks S S Three-day blocks S S S S S S S Residential week S Three-day blocks S S S S: Session taking place at the Singapore executive learning centre Executive MSc in Risk and Investment Management Timeline: Europe YEAR 2 YEAR 1 Jan. Feb. Mar. Apr. May June July Aug. Sept. Oct. Nov. Dec. Residential weeks N N Three-day blocks L L L L L L L Residential week N Three-day blocks L L L N: Session taking place at the Nice campus L: Session taking place at the London executive learning centre Participation in the programme also helps practitioners fulfil their responsibility to maintain and improve their professional competence, whether this responsibility arises from personal ethics, obligations to maintain certifications, designations, or memberships in professional associations, organisational policy, or legal requirements. EDHEC-Risk Institute is a participant in the CFA Institute Approved-Provider Programme, and the Executive MSc in Risk and Investment Management qualifies for the maximum number of continuing education credit hours possible under the CE Programme. 24
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  26. 26. Executive MSc in Risk & Investment Management Programme Faculty 26
  27. 27. Executive MSc in Risk & Investment Management The EDHEC-Risk Institute Executive MSc in Risk and A Selection of Recent Reference Texts Investment Management programme faculty is an Authored or Edited by Core Programme exceptional team of international experts who blend Faculty academic excellence and industry experience and have been making significant contributions to the investment management profession as scholars and practitioners Wiley Finance and Investments Series Faculty members are renowned specialists from academe and industry with expertise across the whole spectrum of risk and investment management: strategic asset allocation and asset-liability management; tactical asset allocation, trading, and market microstructure; portfolio construction and optimisation; performance measurement and analysis; risk measurement, modelling and management; traditional and alternative investments; asset pricing, continuous-time modelling, and empirical finance. The programme faculty brings together a core—made up of EDHEC-Risk Institute’s professors and senior researchers—and high-level practitioners contributing their technical expertise as affiliate professors. It is complemented by senior industry figures sharing their vision and experience as guest lecturers. Faculty members have an outstanding track record Riskbooks series of publication in leading academic and practitioner journals, authoring of and contribution to innumerable professional books for prestigious finance and investments series, a rich experience of executive education, and a history of senior-level engagements within the investment management industry. 27
  28. 28. Executive MSc in Risk & Investment Management Core Programme Faculty Noël Amenc, The majority of courses are taught by EDHEC-Risk MSc in Economics, Institute professors and senior researchers chosen MPhil and PhD in Management – Finance for their academic and professional expertise in the (Nice) subjects taught and their experience of graduate and executive education. EDHEC-Risk Institute Director EDHEC Business School Professor of Finance and Director of Development > Specialist in performance analysis, investment management, and alternative investments. > Noël Amenc is Professor of Finance and Director of Development at EDHEC Business School and the Director of EDHEC-Risk Institute. Before joining the School and establishing EDHEC-Risk Institute, he was Head of Research with Misys Asset Management Systems. Prior to this, he was the president of SIP, a portfolio management software company he founded, developed, and sold. He has advised numerous investment and wealth management organisations. Professor Amenc’s research on hedge funds, indices, performance analysis, and asset allocation has appeared in leading academic and practitioner journals. He sits on the editorial board of the Journal of Portfolio Management and is the Associate Editor of the Journal of Alternative Investments. He is also a member of the Scientific Committee of France’s financial market authority (AMF). He has co-authored books on quantitative equity management, portfolio management, performance analysis, and hedge funds. He frequently delivers research presentations and keynote addresses at industry conferences. 28
  29. 29. Executive MSc in Risk & Investment Management Federico M. Bandi, Ekkehart Boehmer, Sergio Focardi, Laurea and MA in Economics (Bocconi), MA in Economics and PhD in Finance MSc in Electronic Engineering MA, MPhil and PhD in Economics (Yale) (Georgia) (Swiss Federal Institute of Technology), PhD in Mathematical Finance (Karlsruhe) Johns Hopkins University University of Oregon EDHEC-Risk Institute Professor of Economics and Finance, The Johns Hopkins John B. Rogers Professor of Banking and Finance, Lundquist Programme Director, Executive MSc in Risk and Investment Carey Business School College of Business Management (Europe) EDHEC-Risk Institute EDHEC-Risk Institute EDHEC Business School Affiliate Faculty Member Affiliate Faculty Member Professor of Finance > Specialist in financial econometrics, continuous-time > Specialist in equity market micro-structure and the > Specialist in quantitative equity management, portfolio asset pricing, and market microstructure. economics of trading. optimisation, financial modelling and econometrics, and risk management. > Federico M. Bandi is Professor of Economics and Finance > Ekkehart Boehmer is the John B. Rogers Professor of at The Johns Hopkins Carey Business School and an Affiliate Banking and Finance at the University of Oregon Lundquist > Sergio Focardi is Professor of Finance at EDHEC Business Faculty Member of EDHEC-Risk Institute. He was previously College of Business and an Affiliate Faculty Member of School and the Programme Director of the EDHEC-Risk Associate Professor of Econometrics and Statistics and the EDHEC-Risk Institute. He was previously Associate Professor Institute Executive MSc in Risk and Investment Management David W. Johnson Professor at the Booth School of Business, and holder of the Nichols Professorship of Finance at Texas for Europe. He was previously a partner at the Intertek having joined the University of Chicago upon completion A&M University Mays Business School. Prior to that, he held Group, a firm specialised in research, training and consulting of his PhD. His research on market microstructure, financial positions in the financial industry, as Director of Research in quantitative portfolio management and mathematical econometrics, and continuous-time asset pricing has been at the New York Stock Exchange and Senior Economist at finance. Prior to founding the Intertek Group in 1993, he published in leading economics and finance journals and the United States Securities and Exchange Commission. His was the Managing Director of the Italian subsidiary of he currently serves as associate editor of Econometric research on the micro-structure of equity markets, short- Control Data Corporation. His research interests include the Theory, the Econometrics Journal, the Journal of Business selling, and market efficiency has appeared in leading econometrics of large equity portfolios and the modelling and Economic Statistics, and the Journal of Financial academic journals. He has contributed to books on corporate of interactions between multiple heterogeneous agents. He Econometrics. He has contributed to books on financial governance and financial markets and is an experienced has developed proprietary models for equity management. engineering and econometrics and has been distinguished instructor. His work on quantitative equity management, trading, for his excellence in executive education. investment management, portfolio optimisation, credit risk contagion, and financial econometrics has appeared in leading academic and practitioner journals. He sits on the editorial board of the Journal of Portfolio Management. Professor Focardi has authored and co-authored award- winning books on financial modelling and investment management and CFA Institute monographs on equity management and quantitative finance. He is a seasoned executive education instructor. 29
  30. 30. Executive MSc in Risk & Investment Management René Garcia, Felix Goltz, Georges Hübner, MiM (ESSEC), MPhil and PhD in Management – Finance PhD in Management – Finance (INSEAD) MA in Economics (Montréal), (Nice) PhD in Economics (Princeton) EDHEC-Risk Institute EDHEC-Risk Institute Gambit Financial Solutions Academic Director, PhD in Finance Head of Applied Research Co-Founder and Chief Scientific Officer EDHEC Business School > Specialist in alternative asset allocation and indexing. EDHEC-Risk Institute Professor of Finance Member > Felix Goltz is Head of Applied Research at EDHEC- > Specialist in asset pricing theory, portfolio and risk Risk. As such, he supervises a team of researchers who EDHEC Business School management, and financial econometrics. conduct industry surveys and applied research projects on Affiliate Professor of Finance exchange-traded funds, portfolio construction, performance > René Garcia is Professor of Finance at EDHEC Business > Specialist in performance measurement, hedge funds, measurement and reporting. He also co-heads EDHEC-Risk School and Academic Director of the EDHEC-Risk Institute derivatives, and credit risk Institute’s programme on indices and benchmarking and PhD in Finance programme. He was previously a professor leads the research and development activities related to > Georges Hübner is Affiliate Professor of Finance at at the University of Montreal and the scientific director of the Institute’s partnership with the FTSE Group. His research EDHEC Business School. In addition, he is a co-founder and the interuniversity research centre CIRANO. Prior to joining focuses on asset allocation with alternative assets and on the Chief Scientific Officer of Gambit Financial Solutions, academe, Professor Garcia worked for four years as an indexing and passive investment across traditional and a financial software company specialising in risk profiling economist in the public and private sectors and for six years alternative investments. His work on hedge fund indices, and portfolio construction tools. He also serves as co-chair as the president of financial services company Synectra equity indices, exchange-traded funds, and asset allocation of the Finance, Accounting and Law Department and is Inc. His research interests in finance and econometrics has appeared in leading academic and practitioner journals. the Deloitte Professor of Financial Management at the revolve around the valuation of financial assets, portfolio Doctor Goltz has contributed to various reference texts on University of Liege HEC Management School. His research management, risk management, and regime-switching exchange-traded funds, investment management, and hedge on performance measurement, credit risk, hedge funds, models. He has published widely in leading journals and funds. He has been teaching postgraduate and executive and derivatives has appeared in leading scientific and participated in the founding of the Journal of Financial education courses for several years and regularly presents practitioner journals. Professor Hübner has co-authored and Econometrics, for which he serves as Editor-in-Chief. He research work at industry conferences. co-edited several books on venture capital, hedge funds and has received numerous research awards and grants, held CTAs, credit derivatives, operational risk, and performance the Hydro-Québec chair in integrated risk management and measurement. He is an experienced graduate and executive financial mathematics, and recently been awarded a three- education instructor and has been involved in Financial year grant from the AXA Research Fund. Risk Manager (FRM®) and Chartered Alternative Investment Analyst (CAIA®) preparation courses. 30
  31. 31. Executive MSc in Risk & Investment Management François-Serge Lhabitant, Abraham Lioui, Lionel Martellini, MSc in Computer Science MSc in Finance MiM (ESCP-EAP), (Swiss Federal Institute of Technology), and MA in Economics (Paris I), MSc in Economics (ENSAE), MSc in Banking and Finance MA in Probability and Stochastic MSc in Statistics (Paris VI), and PhD in Finance (HEC Lausanne) Processes (Paris VI), PhD in Finance (Berkeley) PhD in Management (ESSEC & Paris I) Kedge Capital EDHEC-Risk Institute EDHEC-Risk Institute Chief Investment Officer Member Scientific Director EDHEC-Risk Institute EDHEC Business School EDHEC Business School Member Professor of Finance Professor of Finance EDHEC Business School > Specialist in asset pricing theory, dynamic asset > Specialist in asset allocation, derivatives, fixed income Affiliate Professor of Finance allocation, derivatives, and risk management. modelling, and alternative investment. > Specialist in alternative investment and asset > Abraham Lioui is Professor of Finance at EDHEC Business > Lionel Martellini is Professor of Finance at EDHEC management. School. He was previously at the department of economics at Business School and Scientific Director of EDHEC-Risk Bar Ilan University where he held the Vice Chair position. He Institute. He was previously on the faculty of the University > François-Serge Lhabitant is Affiliate Professor of has served as a consultant to various financial institutions on of Southern California. He has served as a consultant Finance at EDHEC Business School and Chief Investment questions related to performance measurement and market to various institutional investors, investment banks, and Officer at Kedge Capital. He is responsible for the investment making. His research interests in finance revolve around asset management firms on questions related to risk management of the Kedge Capital Funds and investment the valuation of financial assets, portfolio management, management, alternative investment strategies, and asset mandates operated by the Kedge Group. He was previously and risk management. His economics research looks at the allocation decisions. He is a member of the global advisory a senior executive at UBP where he was in charge of the relationship between monetary policy and the stock market. board of FTSE Group. Professor Martellini’s research on asset quantitative analysis and the management of dedicated Professor Lioui has published widely in, and refereed for, management, portfolio theory, derivatives valuation, fixed hedge fund portfolios. Prior to that, he was a director at UBS leading journals and received several research grants. He income products, and alternative investment has appeared Private Banking Division and Global Asset Management. His has recently co-authored a book on the use of derivatives in leading academic and practitioner journals. He sits on the research on alternative investment and asset management for dynamic asset allocation. He is an experienced graduate editorial boards of the Journal of Portfolio Management has been published in refereed academic and practitioner and executive education instructor and is regularly invited and the Journal of Alternative Investments. Professor journals. He is a member of the Scientific Committee of to present at international scientific conferences. Martellini has co-authored and co-edited reference texts France’s financial market authority (AMF) and of the AIMA on fixed-income management and alternative investment. Investor Steering Committee. He also contributes to the He is regularly invited to speak at leading academic and Chartered Alternative Investment Analyst Association, the industry conferences and is a seasoned executive education International Association of Financial Engineers and the instructor. Professional Risk Managers’ International Association. Professor Lhabitant has authored several bestsellers on hedge funds, co-authored a primer on new asset management techniques, and co-edited books on commodities, hedge funds, and stock market liquidity. He is a seasoned executive education instructor and a frequent keynote speaker at top industry events. 31
  32. 32. Executive MSc in Risk & Investment Management Joëlle Miffre, Dominic O’Kane, Bernd Scherer, MSc and PhD in Finance (Brunel) PhD in Theoretical Physics (Oxford) MSc in Economics (Augsburg), MSc in Economics (London), PhD in Finance (Giessen) EDHEC-Risk Institute EDHEC-Risk Institute EDHEC-Risk Institute Member Member Member EDHEC Business School EDHEC Business School EDHEC Business School Professor of Finance Affiliate Professor of Finance Professor of Finance > Specialist in tactical asset allocation, derivatives, and > Specialist in interest and credit risk pricing and > Specialist in asset valuation, portfolio construction, asset commodity futures management allocation, and asset liability modelling > Joëlle Miffre is Professor of Finance at EDHEC Business > Dominic O’Kane is Affiliate Professor of Finance at EDHEC > Bernd Scherer is Professor of Finance at EDHEC School. She was previously with the Cass Business School Business School. Prior to joining EDHEC-Risk Institute in Business School. He has sixteen years of experience in and also held faculty positions at the University of 2007, he was Head of Fixed Income Quantitative Research at the asset management industry. Prior to joining EDHEC- Technology, Sydney, the ICMA Centre at the University of Lehman Brothers in London, where he worked for nine years, Risk Institute in 2010, he was Global Head of Quantitative Reading, and Brunel University. Her research on tactical and taught postgraduate courses at the University of Oxford. Structured Products at Morgan Stanley in London and asset allocation, derivatives, commodity futures, and hedge He had previously spent two years at Salomon Brothers. His Honorary Visiting Professor at the University of London funds has appeared in refereed academic and practitioner expertise lies in the pricing and risk managing of credit Birkbeck College. Previously, he was with Deutsche Asset journals. Professor Miffre received support from Inquire- derivatives. He has published numerous research notes and Management where he successively headed the Investment UK for her work on higher moments and the conditional primers on credit modelling and credit derivatives as well as Solutions and Overlay Management Group in Frankfurt, and performance of alternative investments. She has presented articles in academic and professional publications. In 2005, Global Quantitative Research and Portfolio Engineering at international academic and industry conferences and is an he and his team were voted number one for quantitative from New York. His research on investment management, experienced graduate and executive education instructor. credit research and modelling in an investor poll taken by strategic asset allocation, portfolio construction, and asset Euromoney. He is the author of a noted book on credit pricing has been widely published in refereed academic and derivatives modelling and has contributed to two other practitioner journals. He serves as Associate Editor for the books on fixed income securities and portfolio management. Journal of Asset Management. He is also on the management He has frequently lectured at industry conferences and in committee of the London Quant Group. Professor Scherer executive education courses. has authored and co-authored reference books on portfolio construction and optimisation, risk management, investment management, and liability hedging. He is regularly invited to present research work at industry conferences, and has significant experience as an instructor of postgraduate and executive education courses. 32

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