Publications | EDHEC Climate Institue

June 2014

A Proposal for an Interest Rate Dampener for Solvency II to Manage Pro-Cyclical Effects and Improve Asset-Liability Management

The aim of this study is to propose the introduction of a Dampener adjustment in the risk measure for bond instruments —…

June 2014

Why Some Futures Contracts Succeed and Others Fail: A Survey of Relevant Research

Why do some futures contract succeed and others fail? Numerous researchers have provided case studies on both new and…

June 2014

OPEC Spare Capacity and the Term Structure of Oil Futures Prices

This article looks into whether we can parsimoniously explain whether holding long futures positions in crude oil is a…

June 2014

On the Rate of Return and Valuation of Non-Conventional Projects

This paper provides a solution for evaluating non-conventional projects, firstly showing that the well-known modified…

June 2014

Quantitative Portfolio Construction and Systematic Trading Strategies using Factor Entropy Pooling

The Entropy Pooling approach is a versatile theoretical framework to process market views and generalised stress-tests…

May 2014

The Importance of the Structural Shape of Crude Oil Futures Curves

In the past, one could confidently discuss how crude oil futures contracts typically trade in “backwardation.” By…

April 2014

The History of Financial Derivatives: A 2-Part Feature

This 2-part series discusses the emergence of financial derivatives after the collapse of the Bretton Woods accord in…

April 2014

Towards Conditional Risk Parity — Improving Risk Budgeting Techniques in Changing Economic Environments

This paper introduces three distinct conditional risk parity strategies, explicitly designed to optimally respond to…

April 2014

The Fund of Hedge Fund Selection Puzzle: A Pragmatic Approach to Identify the X-Factor

We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to…

April 2014

Growth Optimal Portfolio Insurance For Long-Term Investors

We solve for the growth-rate optimal multiplier of a portfolio insurance strategy in the general case with a locally…

March 2014

Tail Risk Of Equity Market Indices: An Extreme Value Theory Approach

Value-at-risk (VaR) and conditional value-at-risk (CVaR) have become standard choices for risk measures in finance. Both…

March 2014

Optimising The Compression Cycle: Algorithms For Multilateral Netting In OTC Derivatives Markets

This paper proposes and analyses a set of optimal compression algorithms for fungible derivatives. It finds that they…

March 2014

Index Transparency - A Survey Of European Investors' Perceptions, Needs And Expectations

Between August and November 2013, EDHEC-Risk Institute surveyed 109 institutional investors from across Europe,…

March 2014

The EDHEC European ETF Survey 2013

The latest edition of the European ETF Survey, which presents the results of a comprehensive survey of 207 European ETF…

March 2014

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities

In much of the current research on market practices with respect to the use of credit ratings, the rating shopping…

March 2014

Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis

In this paper, we compare the effects of different regulatory measures used to reduce excess volatility of stock-market…

February 2014

Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds? A Survey Of The LDI Practices For Pension Funds

A number of profound changes have taken place, which have collectively led to the emergence of a new investment paradigm…

February 2014

Improved Risk Reporting With Factor-Based Diversification Measures

This paper analyses various measures of portfolio diversification, and explores the implication in terms of advanced…

January 2014

Why Haven't Weather Derivatives Been More Successful as Futures Contracts? A Case Study

Why have some seemingly promising futures contracts not succeeded in the recent past? This paper examines one such…

January 2014

Why Haven't Uranium Futures Contracts Succeeded? A Case Study

Why have some seemingly promising futures contracts not succeeded in the recent past? This paper examines one such…

January 2014

Why Haven't Pulp Futures Contracts Succeeded? A Case Study

Why have some seemingly promising futures contracts not succeeded in the recent past? This paper examines one such…

January 2014

Who Needs Inflation Hedging? A Quantitative Analysis Of The Benefits Of Inflation-Linked Bonds, Real Estate And Commodities For Long-Term Investors With Inflation-Linked Liabilities

This paper proposes an empirical analysis of the opportunity gains (costs) involved in introducing (removing) various…

December 2013

Discussion of the Central Bank of Ireland discussion paper on loan origination by investment funds

The Central Bank of Ireland has issued a discussion paper on loan origination by investment funds, in which it suggests…

November 2013

Challenges Facing Commodity Futures Market Participants: The Anti-Speculation Cycle, the RORO Environment, and Position Limits

Professor Scott Irwin of the University of Illinois has argued that there is a reasonably predictable “anti-speculation…

November 2013

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures…

October 2013

Analysing Statistical Robustness of Cross-Sectional Volatility

This paper proposes a robust method of estimation which is intuitive and is functionally similar to the weighted-average…

October 2013

LTGA Impact Assessment and Bond Management: Has Solvency II reached a Deadlock?

This study analyses the effect of the new LTGA spread risk calibration on bond management. The analysis is conducted…

October 2013

Commodity Position Limit Rules Should Be Based on a Finding of Necessity

According to a Commodity Futures Trading Commission (CFTC) official, the CFTC will unveil new speculative commodity…

October 2013

Scepticism About Commodity Futures Markets: An Answer

This paper argues that commodity futures markets and its participants have an essential economic role. As such, the task…

October 2013

An Update on the Debate over Commodity Futures Position Limits

On 28 September 2012 a federal judge struck down the U.S. Commodity Futures Trading Commission’s (CFTC’s) current…

September 2013

The Local Volatility Factor For Asian Stock Markets

The study finds strong evidence for a very significant local volatility factor in the Asian market index returns. In…

September 2013

Analysing and Decomposing the Sources of Added-Value of Corporate Bonds Within Institutional Investors' Portfolios

This paper provides a formal analysis of the benefits of corporate bonds in investors’ portfolios, distinguishing…

August 2013

Measuring infrastructure debt credit risk

In this paper, the authors develop a framework to measure the credit risk of unlisted infrastructure debt, including the…

August 2013

Tail Risk Of Asian Markets: An Extreme Value Theory Approach

This paper aims to draw inference about the tail behaviour of different markets through the fitted parameters of a GARCH…

August 2013

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

This paper studies whether investors can exploit stock return serial dependence to improve the out-of-sample performance…

August 2013

Optimal Hedging With Higher Moments

This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the…

July 2013

The Trial-and-Error Development of the Chicago Futures Markets

Financial professionals are well aware that the ongoing implementation of the Dodd-Frank Act may cause changes to market…

July 2013

Momentum Strategies in Futures Markets and Trend-Following Funds

In this paper, we rigorously establish a relationship between time-series momentum strategies in futures markets and…

June 2013

Smart Beta 2.0

This position paper seeks to draw the attention of investors to the risks of traditional smart beta equity indices and…

May 2013

Investment Solutions For East Asia's Pension Savings

Two of the most commonplace stylised facts about East Asia have to do with pension issues: the region's population is…

April 2013

The Benefits of Sovereign, Municipal and Corporate Inflation-Linked Bonds in Long-Term Investment Decisions

This paper proposes an empirical analysis of the opportunity gains involved in investing in inflation-linked bonds for…

April 2013

Returns-Based Analyses of Hedge Funds

This article discusses the state of the art in applying returns-based analyses to hedge funds. It pays particular…

April 2013

Implicit Options in Hedge Fund Products

This article discusses the option-like exposures of a number of hedge fund strategies based on a review of the…

April 2013

Related Securities and Equity Market Quality: The Case of CDS

We document that the emergence of markets for single-name credit default swap (CDS) contracts adversely affects equity…

April 2013

Short interest, returns, and fundamentals

This paper shows that short interest predicts stock returns because short sellers are able to anticipate bad news,…

March 2013

The Relevance of Country- and Sector-specific Model-free Volatility Indicators

This paper tests for the presence of local volatility factors using model-free volatility indicators in contrast to the…

March 2013

Who is Afraid of Construction Risk?

This paper examines the known investment characteristics and portfolio diversification properties of infrastructure debt…

March 2013

The EDHEC European ETF Survey 2012

The EDHEC European ETF Survey 2012 presents the results of a comprehensive survey of 212 European ETF investors. The aim…

March 2013

Hedging Versus Insurance: Long-Horizon Investing With Short-Term Constraints

This study provides comprehensive insights into all of EDHEC-Risk Institute’s research on dynamic allocation in asset…

March 2013

Taking Full Advantage of the Statistical Properties of Commodity Investments

Academic and practitioner research has documented that commodities yield important risk-reduction benefits for a…