The center runs an applied research program focusing on practical applications for education and the professional community. The research program is organized along four lines of research.
- Asset Management: Research activities on asset management focus on optimal allocation strategies under different economic contexts. The strategies which are examined in this program range from traditional portfolio optimization techniques under a mean-variance to advanced optimization under a higher-moment framework as well as to smart beta or alternative strategies. We evaluate the risks and performance of these strategies with a particular attention on the more dynamic trading strategies performed by hedge funds and mutual funds. Our future research agenda integrates smart beta strategies which have proved to be resilient to economic turmoil in the financial markets.
- Financial Risk Management: Financial risks and their impacts on our markets are more than ever a matter of crucial interest to market participants, regulators and public authorities. Research activities on financial risk management focus on modeling and pricing firm and/or country specific markets, exchange rate, liquidity and credit risks in equity and bond markets. The current work of our team is concentrated on three lines of research: (i) the role of market conditions in the underlying mechanisms and implications of financial risks, (ii) the analysis of the time-varying dynamics along which financial risks propagate across markets and market participants, as well as (iii) the way institutional and macroeconomic conditions alter markets’ and market participants’ resilience to risk across developed, emerging and developing markets.
- Operational Risk Management: Research activities in operational risk management focus on the development of Enterprise Risk Management (ERM) strategies in HRO's (High-Risk Organizations), based notably on the development of tools able to measure the level of safety culture and risk culture within these organizations. Establishing clear and precise links between the main human and organizational factors (HOFs) that are present in these organizations and the efficiency of ERM strategies that are implemented is, therefore, one of the major objectives of the on-going current research and can be considered as the leading objective in our strategic plan when considering ORM.
- Corporate finance: The objective is to investigate drivers of growth in firm value. The program involves several aspects of equity research. First, it focuses on financial analysis and security valuation with its consequence on asset pricing and market anomalies in equity markets (size and book-to-market, profitability and investment policy). Second, it focuses on private investments as sources of innovation and performance. We especially target the role of private investors (VC, PE) in those markets. Finally, optimal allocation strategy of private investors/entrepreneurs is part of our research agenda.
Research centers and researchers involved :
- Centre for Asset and Risk Management (CARM)