Executive MSc in Risk & Investment Management

Transcription

1 Executive MSc in Risk & Investment Management Singapore London Nice Institute

2 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 Programme Faculty.. 24 EDHEC-Risk Institute. 32 About EDHEC Business School Learning Infrastructure and Facilities.. 42 Admissions and Fees

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4 The EDHEC-Risk Institute Executive MSc in Risk and Investment Management at a Glance 4

5 Programme Rationale and Objectives Investment management as an industry is justified by its ability to design and manage portfolios or solutions tailored to the specific constraints and objectives of investors whether institutional, high-net worth or retail. Historically, the industry has focused its valueproposal on security selection and left aside two major sources of added-value: asset allocation and risk management. The progressive realisation of the difficulty of creating value through security selection has fuelled the development of low-margin passive investment vehicles and prompted investment managers to start exploring asset allocation as a source of performance. The turn of the millennium crises and the recent financial market meltdown have challenged conventional investment wisdom and underscored the need for the profession to redefine itself, adopt state-of-the-art asset allocation and risk management techniques, and shift from promoting products to designing solutions that truly take account of investors needs and constraints. Targeting aspiring entrants and perpetuating the industry s security selection bias, the typical master s programmes in finance and investments focus on the basics of financial markets and instruments, on financial statement analysis, and on conventional portfolio theory. As such, they cannot prepare professionals for the challenges facing the investment management industry. Practitioners who wish to embrace and lead the major changes that will reshape investment management should consider pursuing the innovative Executive MSc in Risk and Investment Management introduced by EDHEC-Risk Institute. Driven by the evolving requirements of the investment industry and designed for experienced practitioners, the Executive MSc in Risk and Investment Management trains participants to appreciate recent and forthcoming paradigm shifts and equips them with the conceptual and practical tools to improve the organisation of the investment process and optimise asset allocation, portfolio construction, performance measurement, and risk management. Spanning traditional, alternative, 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 An Original, Challenging, and Relevant Curriculum The curriculum devotes considerable attention to the organisation of investment management and to the optimisation of each step in the portfolio management process. It reviews competing investment architectures and thoroughly examines investment policy, strategic asset allocation, portfolio construction, tactical asset allocation, and performance measurement and reporting. It covers the latest theoretical developments in asset pricing and portfolio management and equips participants with the financial modelling and empirical finance tools required to implement research advances in the context of asset-only and asset-liability management solutions. Taking stock of the rise of alternative and structured forms of investments, it explores their characteristics, asset allocation benefits, and addresses the challenges they create for multi-style multi-class investment. Going beyond conventional asset allocation and risk management approaches, it delves into advanced risk management techniques and develops a dynamic risk budgeting framework allowing for the integration of hard risk constraints in asset allocation. While the programme is 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. From this angle, the EDHEC-Risk Institute Executive MSc in Risk and Investment Management allows participants to view all concepts and techniques covered in class from an investor solution perspective. One Programme, Two Tracks, Three Locations The EDHEC-Risk Institute Executive MSc in Risk and Investment Management is designed for professionals in the investment management industry who wish to progress, or maintain leadership in their field, and for other finance practitioners who are contemplating lateral moves. It appeals to senior executives, investment and risk managers or advisors, and analysts. This postgraduate programme is designed to be completed in seventeen months of part-time study and is formatted to be compatible with professional schedules. The programme has two tracks: an executive track for practitioners with significant investment management experience and an apprenticeship track for selected high-potential graduate students who have recently joined the industry. 6 The programme is offered in Asia from Singapore and in Europe from London and Nice.

7 The Support of a Leading Research Centre The programme draws upon the considerable resources and exceptional industry reputation of EDHEC-Risk Institute, Europe s premier centre for applied financial research and a global leader in investment management research. In the framework of six industry-sponsored research programmes and ten corporate-endowed research chairs, its team of fifty-six researchers and professionals carries out a wealth of projects around asset allocation and risk management and implements a multifaceted communications policy towards asset managers and institutional investors. First-Rate Faculty Programme faculty consists of renowned specialists in investment management whose collective expertise maps asset pricing, quantitative methods, alternative and structured forms of investments, asset allocation and asset-liability management, portfolio construction, risk management and measurement, performance measurement and analysis. It brings together EDHEC-Risk Institute s permanent faculty and researchers and adjunct faculty who pursue careers in the financial industry. Faculty members embody the programme s unique 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 Redefining Investment Management 8

9 Sergio Focardi, PhD Professor of Finance, EDHEC Business School Programme Director, EDHEC-Risk Institute Executive MSc in Risk and Investment Management Historically, the investment management industry has focused its value proposal on asset selection and underutilised two key sources of added-value: asset allocation and risk management. Furthermore, sophisticated asset allocation and consideration of liability constraints have largely remained limited to the confines of institutional investors with maturity transformation or retirement provision activities. Over the last twenty years, the realisation of the difficulty of delivering added-value through asset selection has led to the brisk development of passive investment vehicles, to the emergence of the coresatellite management framework, and to renewed interest in asset allocation approaches as sources of performance. The turn of the millennium crises which sent the equity markets reeling at the same time as falling interest rates were increasing the value of future obligations prompted institutional investors to explore advanced asset-liability management techniques and alternative diversification. The recent financial market meltdown has served to dissipate the exaggerated hopes placed in diversification, highlight the challenges of alternative investment, and fuel investor demand for advanced asset allocation and risk management skills. This new importance of asset allocation and risk management has profound implications for the investment management industry and calls into question the traditional concepts and techniques used by the profession. The first major implication concerns the limits of using diversification as the sole approach to risk management. While diversification may be relied upon to beat a benchmark, it cannot be regarded as a robust risk management approach allowing for the respect of hard risk budgeting constraints, whether absolute in an asset management context or relative in an asset-liability management framework. Against this backdrop, the Executive MSc in Risk and Investment Management offered by EDHEC- Risk Institute devotes considerable attention to novel dynamic asset allocation and risk budgeting techniques which provide a solution to the limits of traditional static allocation approaches. This exploration of dynamic strategies is built on a review of the mathematical tools of continuous-time finance and the economic fundamentals of asset-pricing and market equilibrium. The second significant issue relates to the correct integration of alternative and emerging classes in investment management be it to improve the risk-return trade-off of an asset-only mandate or to reduce the cost of liability-driven investing (LDI) solutions by relying on real assets. With their different risk profiles, alternative investments indeed offer opportunities for asset allocation. 9

10 However, the scarce, biased, and non-gaussian return data as well as the limited liquidity and transparency of hedge funds, private equity, real estate, or emerging alternatives have far-reaching impacts on all steps of the investment management process. To allow participants to design investment solutions that capture the benefits of these vehicles in a risk-controlled fashion, the Executive MSc in Risk and Investment Management integrates the specific characteristics of alternatives throughout the risk and investment management process and equips participants with advanced knowledge of the operational aspects of alternative investment. Implementing LDI solutions that draw on the liabilityhedging potential of alternative investments requires quantitative analysis not only of hedging properties but also of the robustness of methods used to assemble hedging portfolios. These requirements justify the prominent status and advanced nature of portfolio construction and empirical finance techniques in the programme. The third key consequence involves the extension of the asset-liability management (ALM) approach not only to new institutional investors, such as sovereign investment funds, but also to high-net-worth and even mass-affluent clienteles. While it is recognised that investment objectives and liability constraints should play a central role in asset allocation and risk management policies, ALM has remained the preserve of pension funds, insurance companies, and commercial banks. A solid understanding of stateof-the-art ALM techniques is required to optimally address the investment management needs of emerging institutional investors, offer truly clientcentric services in private wealth management, and design innovative value-adding solutions for retail investors. The EDHEC-Risk Institute Executive MSc in Risk and Investment Management thus explores strategic asset allocation in the context of ALM, introduces the latest advances in ALM, and discusses the specifics of ALM for sovereign investment funds and private investors. Since 2001, EDHEC-Risk Institute has been conducting academic research on asset allocation and risk management, highlighting research results and applications to practitioners, and assisting them in their implementation. This has allowed EDHEC- Risk Institute to become the most influential centre for applied financial research in Europe and to attract considerable industry interest and financial support for its projects. EDHEC-Risk Institute s unique blend of academic relevance and professional relevance permeates the Executive MSc in Risk and Investment Management and is epitomised by its first-rate faculty. Bringing together EDHEC-Risk Institute s professors and researchers and highlevel practitioners acting as affiliate instructors and guest speakers, the programme faculty team is a group of respected specialists who not only have scientific expertise in the variety of areas covered by the programme but also play a significant role in advancing investment management theory and practices through research, executive education, and direct industry involvement. 10

11 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 timeand 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. We encourage you to find out more about the format, curriculum, and faculty of the EDHEC-Risk Institute Executive MSc in Risk and Investment Management and invite you to evaluate how the programme could help you embrace and lead the major changes that will reshape investment management. 11

12 An Original, Challenging, and Relevant Curriculum 12

13 Perpetuating the traditional asset selection bias of the industry and targeting aspiring entrants, the typical master s in investment management programme covers the basics of financial markets and focuses on analysing financial statements and valuing traditional investment vehicles. The various steps in the investment management process are studied in a module that centres on conventional portfolio theory investment policy, performance measurement, and portfolio rebalancing receive the most cursory treatment and asset allocation and risk management are too often equated with static diversification. Designed for experienced investment professionals and driven by the changing needs of the industry, the EDHEC-Risk Executive MSc in Risk and Investment Management takes a radically new approach. It discards the coverage of basics of markets and securities, disregards security selection, and focuses on asset allocation and risk management as key sources of added-value. The programme questions the organisation of investment management and explores in detail every step in the investment management process. It casts investment in a dynamic framework and shows how to blend asset allocation and risk management to provide a solution to the limits of static allocation approaches. While the programme explores research advances in asset allocation and risk management, its emphasis is on equipping participants with a conceptual framework and the practical tools to design and implement new solutions tailored to the needs and constraints of investors. The curriculum of the Executive MSc in Risk and Investment Management offered by EDHEC-Risk Institute is centred around core courses which provide participants with sound knowledge of the economic and mathematical underpinnings of investment, with the modelling and empirical finance tools required to bridge the gap between investment management theory and practices, and with clear directions for optimising the value added from investment policy definition, strategic and tactical asset allocation, performance analysis and reporting, and risk management. While alternative and structured forms of investment receive dedicated treatment in the context of specific core courses, all courses dealing with asset pricing, empirical finance, portfolio construction and management, and risk management are set in a multi-style multi-class framework that spans traditional, alternative, and structured investments. Electives allow participants to further explore a specific step in the investment management process, analyse emerging investment themes and investor solutions, or review recent regulatory and compliance developments affecting the industry. Complimentary and optional access to the wealth of research events organised by EDHEC-Risk Institute gives Executive MSc in Risk and Investment Management participants an advance view of future developments in investment management theory and practices. 13

14 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 Core Courses Core courses train participants to appreciate recent and forthcoming paradigm shifts in investment management and equipe them with the conceptual and practical tools required to optimise risk and investment management and design novel investment solutions for institutional, private and retail investors that span traditional, alternative, and structured forms of investments. All core courses are mandatory. State-of-the-art investment management (28 hours) The course discusses the organisation of the investment management process by reviewing competing investment models and examining the paradigm shifts in investment management and their impact on the organisation of the investment process. It establishes the framework of the investment management process and looks at recent and emerging models in institutional investment, wealth management, and retail asset management organisations, assessing academic recommendations and detailing innovations in architecture and solutions pioneered by world-class buy- and sell-side institutions. It discusses the benefits, limits, and implementation conditions of advanced quantitative models for asset allocation and risk management. The course combines analysis by EDHEC-Risk Institute researchers and dialogue with highlevel practitioners to equip participants with a sound understanding of alternative investment processes and organisations and best industry practices as well as insight into upcoming changes. Foundations of asset pricing and portfolio management (42 hours) This course introduces the economic and mathematical foundations of asset pricing and portfolio management. It opens with a review of the mathematical tools required for continuous-time models of security prices and interest rates and surveys the economic fundamentals for the study of individual decisions and market equilibrium. It then looks at consumption and investment under uncertainty, mean variance theory and alternative risk measures, capital market equilibrium, arbitrage pricing theory, derivatives pricing, interest rate models and the pricing of interest rate sensitive claims, and hedging. Empirical finance (42 hours) This course focuses on the empirical aspects of asset pricing and portfolio management and on the econometrics of financial markets. Applications span primitive and derivative asset pricing, strategic and tactical asset allocation, and trading strategies. Topics covered include asset return modelling and predictability, volatility modelling and forecasting, treatment of non-linearity in data, simulation methods, calibration and testing of pricing models and trading strategies, correlation and cointegration analysis, econometrics of derivatives pricing, and econometrics of fixed income markets. Alternative investments (28 hours) This course looks at alternative investments from an asset allocation perspective. It opens with a presentation of assets from private equity and real estate, to hedge funds, commodities and managed futures, and alternative alternatives (infrastructure assets, timber, etc.). The emphasis is on investment characteristics, risk and return drivers, and statistical properties of alternative classes and investments. The course then looks at the benefits and challenges of integrating alternative assets in asset allocation and discusses alternative integration models. It concludes with an examination of practical portfolio management issues that arise with alternative assets, and provides techniques to manage asset class exposure and operational risk. 15

16 Strategic asset allocation and asset-liability management (28 hours) This course deals with strategic asset allocation for mass-affluent, high net-worth and institutional investors and introduces the ALM framework. The first part of the course reviews the steps to developing an investment policy statement highlighting major considerations for the different types of investors. The course then discusses asset class specification and selection, and looks at the various methods used to estimate and model longterm returns, risks, and relationships between classes. It concludes with a review of the various approaches to combining investor objectives, constraints and asset class forecasts. The second part of the course focuses on the ALM approach to strategic asset allocation. It covers basic ALM approaches, surplus optimisation techniques, liabilitydriven investing, and stochastic ALM models looking at the limitations, costs, and benefits of each approach. It reviews the practical issues of hedging hedgeable and imperfectly hedgeable risks with cash and derivatives and discusses short-term constraints on optimal ALM. It discusses liability identification and concludes with a series of case studies highlighting the salient features of implementing ALM in banks, insurance companies, and pension funds and introducing extensions of the ALM approach into private banking and sovereign investment management. Portfolio construction and risk budgeting in practice (28 hours) This course is devoted to bridging the gap between portfolio theory and practical portfolio construction and building viable, stable, and realistic portfolio models. It looks at feasibility and relevance issues with traditional 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 error and parameter uncertainty, prior knowledge, realistic risk preferences, and transaction costs. It discusses scenario optimisation and its applications. It reviews risk budgeting in the core-satellite investing model, benchmarkrelative optimisation, and concludes with a survey of the limitations of traditional indices and benchmarks and a discussion of alternative weighting schemes. Risk measurement and management (49 hours) The course presents the tools used to identify, measure, and manage market risk, credit risk, operational risk, and liquidity and execution risks. It deals with the whole range of assets and devotes specific attention to the risks associated with derivatives and complex strategies. Its coverage of market risk includes alternative risk metrics, the Value-at-Risk framework and extensions, risk factor mapping, modelling of time-varying volatility and volatility clustering, and approaches to modelling extreme values. Its survey of credit and counterparty risks discusses default, downgrade, and credit spread risk, methods for credit risk measurement, tools for modelling of loss and recovery risks, traditional credit risk management methods, and credit derivatives. Treatment of operational risk encompasses a review of its various dimensions and presentation of the tools to measure, model, and mitigate operational risk, including specific controls, insurance, swaps, and catastrophe instruments. The course s review of liquidity risk centres on identifying its sources, presenting mitigation techniques, designing liquidity provision plans and execution strategies. The course concludes with a survey of stress tests looking at their objectives and presenting steps and tools for designing and performing them. 16

17 Tactical asset allocation (21 hours) This course explores the models, techniques, and applications of tactical asset allocation. The course opens with a review of the various approaches to tactical asset allocation, introduces commonly used signals and their corresponding horizons, looks at the different types of parametric and non-parametric models used to generate and filter signals, and discusses portfolio construction issues. It then focuses on the econometrics of tactical asset allocation, addressing practical issues such as variable identification and model calibration, and out-of-sample performance testing and model training. It also examines the specific characteristics of tactical asset allocation in a high frequency context. The course concludes with case studies of momentum-based tactical asset allocation in the commodity futures markets, business cycle analysis-based timing between traditional classes, and quantitativelydriven multi-style multi-class tactical asset allocation. Dynamic asset allocation and risk management (14 hours) This course examines portfolio insurance techniques and introduces a new framework for dynamic asset allocation decisions in asset management and ALM that blends active management and risk management. It first looks at the introduction of risk management constraints into asset allocation and discusses time- and state-dependent strategies for risk management. It contrasts constant proportion portfolio insurance and option-based portfolio insurance. It then discusses principles, derivation, and implementation of the dynamic core-satellite model and shows how to use it to blend active management and risk management to engineer new risk-controlled strategies in asset management and ALM. Structured investments (28 hours) This course explores structured products as derivativesbased strategies involving the performance of one or several underlying assets (real assets, equities, indices, funds, etc.) and packaged as easily accessible buy-andhold investment vehicles focusing on the investor s point of view. It opens with a presentation of the main types of credit, fixed-income, and equity derivatives structured products, detailing their risk and return profiles. It looks at the design, pricing, and hedging of the most common structures, e.g. capital protection, leverage, inverse indexation, and discusses exotic and customised structures. The course then reviews the tools and methods used to assess the performance and risks of structured investments and applies them to the analysis of products linked to equity, fixed-income, and alternative investments. It concludes with a look at the benefits and constraints of structured investments in terms of asset allocation and risk management. Performance measurement, analysis and reporting (21 hours) This course introduces participants to the metrics, models, and rules to measure the performance of investment management, attribute it to investment process decisions and managers, and report it according to global standards. The course presents standard metrics for performance measurement and advanced models for risk-adjusted performance analysis of asset management and ALM. It addresses issues such as data biases, style biases, and dynamic trading, to provide for reliable performance measurement and analysis in a multi-style multiclass dynamic framework. It deals with the specific characteristics of performance analysis for equity, fixed income, derivatives and alternative investments. It concludes with a review of Global Investment Performance Standards and their compliance requirements. 17

18 Elective Courses Elective courses allow participants to further explore a specific step in the investment management process, analyse emerging investment themes and investor solutions in depth, or review recent regulatory and compliance developments affecting the industry. While a minimum of twenty-one hours of electives is mandatory, participants are free to take as many elective courses as they wish. For 2011/2012, the provisional catalogue of electives is as follows: Advanced fixed-income investing (14 hours) Advanced commodity investment and risk management (14 hours) Advances in allocating to real assets: optimising diversification and hedging benefits (7 hours) Transaction cost analysis and best execution challenges (7 hours) Analysing emerging investment themes: green business (7 hours) Behavioural finance and private investment management (14 hours) Managing compliance obligations in investment management (14 hours) Risk management techniques for fund-of-fund structures (7 hours) State-of-the art manager selection and management (7 hours) Optional Research Events Executive MSc in Risk and Investment Management participants also have the opportunity to go beyond coursework and become involved in research activities. They will be offered the chance to join the Doctoral Research Workshop and the Applied Research Seminar series and will enjoy complimentary access to the annual conferences and occasional presentations organised by EDHEC- Risk Institute. Online or physical attendance in these research events provides Executive MSc in Risk and Investment Management participants with additional opportunities to review and discuss future developments in investment management theory and practices. EDHEC-Risk Institute Doctoral Research Workshop Primarily organised for faculty, permanent researchers, and EDHEC-Risk Institute PhD in Finance candidates, the Doctoral Research Workshop sees outstanding scholars present and discuss their ongoing research work. Executive MSc in Risk and Investment Management participants will be invited to join selected sessions of the Doctoral Research Workshop chosen for their relevance for investment management. The workshop is accessible in multimedia streaming over the Internet both live and on-demand. Each session lasts for an hour and a half and there are one to two sessions per month. Socially Responsible Investment in practice (7 hours) 18

19 Recent workshops relevant to Executive MSc in Risk and Investment Management participants include: > CoVaR Tobias Adrian, Assistant Vice President, Federal Reserve Bank of New York > Market Volatility, Market Frictions, and the Cross-Section of Stock Returns Federico M. Bandi, Professor of Economics and Finance, The Johns Hopkins Carey Business School and Affiliate Faculty Member, EDHEC-Risk Institute > Short Selling and the Informational Efficiency of Prices Ekkehart Boehmer, John B. Rogers Professor of Banking and Finance, Lundquist College of Business, University of Oregon and Affiliate Faculty Member, EDHEC-Risk Institute > Longevity Risk and Retirement Savings João Cocco, Associate Professor of Finance, London Business School > 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 > Do the Fama French Factors Really Proxy for Time Varying Opportunity Set? Abraham Lioui, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute > How Costly is Regulatory Short-Termism for Defined-Benefit Pension Funds? Lionel Martellini, Scientific Director, EDHEC-Risk Institute and Professor of Finance, EDHEC Business School > Optimal Portfolio Allocations with Hedge Funds Marcel Rindisbacher, Associate Professor of Finance and Economics, School of Management, Boston University > Do Fund Managers Make Informed Asset Allocation Decisions? Jacob Sagi, Associate Professor of Finance, Owen Graduate School of Management, Vanderbilt University > Keynes Meets Markowitz: The Trade-off between Familiarity and Diversification Raman Uppal, Professor of Finance, London Business School > Stock-Based Compensation and CEO (Dis)Incentives Pietro Veronesi, Booth School of Business, University of Chicago Guest scholars contributing to the EDHEC-Risk Institute Doctoral Research Workshop in 2010/2011 include: > Professor Yacine Ait-Sahalia, Director of the Bendheim Center for Finance, Princeton University > Professor Tim Bollerslev, Duke University > Professor Andrea Buraschi, Imperial College > Professor Laurent Calvet, HEC Paris > Professor Rama Cont, Director of the Center for Financial Engineering, Columbia University > Professor Jérôme Detemple, Boston University > Professor Francis X. Diebold, Co-Director of the Wharton Financial Institutions Center, University of Pennsylvania > Professor Massimo Guidolin, The University of Manchester > Professor Harrison Hong, Princeton University > Professor Pascal Maenhout, INSEAD > Professor Nicholas G. Polson, Booth School of Business, University of Chicago 19

20 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 industrysupported 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 Portfolios with Alternative Assets > Assessing the Cost of Protecting against Non-Financial Risks > Asset and Liability Management Practices of European Pension Funds > Creating Novel Hedging Solutions Using Real Assets > Current and Emerging Uses of Exchange-Traded Funds by Institutional Investors > Designing an Asset-Liability Management Model for Private Wealth Management > Evaluating Hedge Fund Replication Strategies > How to Reconcile Long-Term Investment with Short-Term Constraints > Life-Cycle Investing in the Presence of Stochastic Interest Rates and Equity Risk Premium: Implications for the Design of Enhanced Forms of Target Date Funds > Optimal Asset-Liability Management Decisions for Sovereign Wealth Funds > Portfolio Construction and Performance Measurement: Evidence from the Field 20

21 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 A Programme Tailored to Professional Needs 22

23 Programme Audience The Executive MSc in Risk and Investment Management offered by EDHEC Risk Institute helps professionals to embrace and lead the major changes that will reshape investment management. It trains participants to appreciate recent and forthcoming paradigm shifts and equips them with the conceptual and practical tools required to improve the organisation of the investment process; optimise portfolio construction, risk management, and performance measurement; and design novel investment management approaches and solutions for institutional, private and retail investment management. The programme s executive track is targeted at experienced investment professionals. It appeals to chief investment officers, heads of asset allocation/investment strategy/asset-liability management, heads of investment solutions/ financial services, portfolio and risk managers, investment and risk analysts and officers, advisers and consultants. It is also of interest to professionals who have hitherto specialised in supporting roles such as financial modelling or programming, and wish to make lateral moves. It is relevant to a wide cross-section of institutions including third-party asset managers, private banks and wealth managers, investment banks, institutional investors (pension funds, endowments, foundations; insurance companies; sovereign investment vehicles), family offices, consultancies, and financial software companies. The programme s apprenticeship track is open to corporate-sponsored candidates of EDHEC Business School s flagship Master in Management programme who have been singled-out as high-potential recruits. Structure Tailored to Professional Needs This specialist master s programme is delivered over seventeen months of part-time study and formatted to be compatible with professional schedules. It is offered in Asia from Singapore and in Europe from London and Nice. The core and elective course requirements of the programme represent fifty full days. In Asia, they are delivered over three residential weeks and nine three-day blocks (from Thursday afternoon to Sunday morning). In Europe, they are delivered over three residential weeks and ten three-day blocks (from Thursday morning to Saturday afternoon). Some of the blocks may be taken as distance-learning sessions. This eases management of the demands of work, programme, and personal life and allows participation not only of London- and Singaporebased practitioners, but also of professionals who regularly travel to these cities. Core courses are given every year in Europe and Asia so that missed modules requiring attendance may be made up, and the portfolio of electives offered in London and Singapore allows Executive MSc in Risk and Investment Management candidates to select seminars that fit their professional objectives and constraints. 23

24 All core courses and electives take place in state-ofthe-art e-learning classrooms to allow remote participation as well as asynchronous access to all class sessions attended. Programme Timeline Timely completion of this challenging and rewarding programme demands that participants commit an average of fifteen hours per week to readings, 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 1 Residential weeks Three-day blocks S S S S S S S S YEAR 2 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 Jan. Feb. Mar. Apr. May June July Aug. Sept. Oct. Nov. Dec. YEAR 1 Residential weeks Three-day blocks N L L L L L N L L YEAR 2 Residential week Three-day blocks N L L L N: Session taking place at the Nice campus L: Session taking place at the London executive learning centre 24

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26 Programme Faculty 26

27 The EDHEC-Risk Institute Executive MSc in Risk and Investment Management programme faculty is an exceptional team of international experts who blend academic excellence and industry experience and have been making significant contributions to the investment management profession as scholars and practitioners A Selection of Recent Reference Texts Authored or Edited by Core Programme Faculty 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 team brings together EDHEC- Risk Institute s professors and senior researchers, highlevel practitioners contributing their technical expertise as adjunct instructors, and senior industry figures contributing as guest lecturers. Faculty members have an outstanding track record 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. Riskbooks series 27

28 Core Programme Faculty Core programme faculty is comprised of EDHEC-Risk Institute professors and senior researchers chosen for their academic and professional expertise in the subjects taught and their experience of graduate and executive education. Noël Amenc, MSc in Economics, MPhil and PhD in Management Finance (Nice) 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 Federico M. Bandi, Laurea and MA in Economics (Bocconi), MA, MPhil and PhD in Economics (Yale) Ekkehart Boehmer, MA in Economics and PhD in Finance (Georgia) Sergio Focardi, MSc in Electronic Engineering (Swiss Federal Institute of Technology), PhD in Mathematical Finance (Karlsruhe) Johns Hopkins University Professor of Economics and Finance, The Johns Hopkins Carey Business School EDHEC-Risk Institute Affiliate Faculty Member > Specialist in financial econometrics, continuous-time asset pricing, and market microstructure. > Federico M. Bandi is Professor of Economics and Finance at The Johns Hopkins Carey Business School and an Affiliate Faculty Member of EDHEC-Risk Institute. He was previously Associate Professor of Econometrics and Statistics and the David W. Johnson Professor at the Booth School of Business, having joined the University of Chicago upon completion of his PhD. His research on market microstructure, financial econometrics, and continuous-time asset pricing has been published in leading economics and finance journals and he currently serves as associate editor of Econometric Theory, the Econometrics Journal, the Journal of Business and Economic Statistics, and the Journal of Financial Econometrics. He has contributed to books on financial engineering and econometrics and has been distinguished for his excellence in executive education. University of Oregon John B. Rogers Professor of Banking and Finance, Lundquist College of Business EDHEC-Risk Institute Affiliate Faculty Member > Specialist in equity market micro-structure and the economics of trading. > Ekkehart Boehmer is the John B. Rogers Professor of Banking and Finance at the University of Oregon Lundquist College of Business and an Affiliate Faculty Member of EDHEC-Risk Institute. He was previously Associate Professor and holder of the Nichols Professorship of Finance at Texas A&M University Mays Business School. Prior to that, he held positions in the financial industry, as Director of Research at the New York Stock Exchange and Senior Economist at the United States Securities and Exchange Commission. His research on the micro-structure of equity markets, shortselling, and market efficiency has appeared in leading academic journals. He has contributed to books on corporate governance and financial markets and is an experienced instructor. EDHEC-Risk Institute Programme Director, Executive MSc in Risk and Investment Management EDHEC Business School Professor of Finance > Specialist in quantitative equity management, portfolio optimisation, financial modelling and econometrics, and risk management. > Sergio Focardi is Professor of Finance at EDHEC Business School and the Programme Director of the EDHEC Risk Institute Executive MSc in Risk and Investment Management. He was previously a partner at the Intertek Group, a firm specialised in research, training and consulting in quantitative portfolio management and mathematical finance. Prior to founding the Intertek Group in 1993, he was the Managing Director of the Italian subsidiary of Control Data Corporation. His research interests include the econometrics of large equity portfolios and the modelling of interactions between multiple heterogeneous agents. He has developed proprietary models for equity management. His work on quantitative equity management, trading, 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 awardwinning 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 René Garcia, MiM (ESSEC), MA in Economics (Montréal), PhD in Economics (Princeton) Felix Goltz, MPhil and PhD in Management Finance (Nice) Georges Hübner, PhD in Management Finance (INSEAD) EDHEC-Risk Institute Academic Director, PhD in Finance EDHEC Business School Professor of Finance > Specialist in asset pricing theory, portfolio and risk management, and financial econometrics. > René Garcia is Professor of Finance at EDHEC Business School and Academic Director of the EDHEC-Risk Institute PhD in Finance programme. He was previously a professor at the Université de Montréal and the scientific director of the interuniversity research centre CIRANO. Prior to joining academe, Professor Garcia worked for four years as an economist in the public and private sectors and for six years as the president of financial services company Synectra Inc. His research interests in finance and econometrics revolve around the valuation of financial assets, portfolio management, risk management, and regime-switching models. He has published widely in leading journals and participated in the founding of the Journal of Financial Econometrics, for which he serves as Editor-in-Chief. He has received numerous research awards and grants, held the Hydro-Québec chair in integrated risk management and financial mathematics, and recently been awarded a threeyear grant from the AXA Research Fund. EDHEC-Risk Institute Head of Applied Research > Specialist in alternative asset allocation and indexing. > Felix Goltz is Head of Applied Research at EDHEC- Risk. As such, he supervises a team of researchers who conduct industry surveys and applied research projects on exchange-traded funds, portfolio construction, performance measurement and reporting. He also co-heads EDHEC-Risk Institute s programme on indices and benchmarking. His research focuses on asset allocation with alternative assets and on indexing and passive investment across traditional and alternative investments. His work on hedge fund indices, equity indices, exchange-traded funds, and asset allocation has appeared in leading academic and practitioner journals. Doctor Goltz has contributed to various reference texts on exchange-traded funds, investment management, and hedge funds. He has been teaching postgraduate and executive education courses for several years and regularly presents research work at industry conferences. Gambit Financial Solutions Co-Founder and Chief Scientific Officer EDHEC-Risk Institute Member EDHEC Business School Affiliated Professor of Finance > Specialist in performance measurement, hedge funds, derivatives, and credit risk > Georges Hübner is Affiliated Professor of Finance at EDHEC Business School. In addition, he is a co-founder and the Chief Scientific Officer of Gambit Financial Solutions, a financial software company specialising in risk profiling and portfolio construction tools. He also serves as co-chair of the Finance, Accounting and Law Department and is the Deloitte Professor of Financial Management at the University of Liège HEC Management School. His research on performance measurement, credit risk, hedge funds, and derivatives has appeared in leading scientific and practitioner journals. Professor Hübner has co-authored and co-edited several books on venture capital, hedge funds and CTAs, credit derivatives, operational risk, and performance measurement. He is an experienced graduate and executive education instructor and has been involved in GARP and CAIA preparation courses. 30