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	<title>ICMA Centre</title>
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		<title>ROM Simulation: Applications to Stress Testing and VaR</title>
		<link>http://www.icmacentre.ac.uk/papers/rom-simulation-applications-to-stress-testing-and-var?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=rom-simulation-applications-to-stress-testing-and-var</link>
		<comments>http://www.icmacentre.ac.uk/papers/rom-simulation-applications-to-stress-testing-and-var#comments</comments>
		<pubDate>Tue, 01 May 2012 13:17:31 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Discussion Papers]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=papers&#038;p=4278</guid>
		<description><![CDATA[Abstract: Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio’s profit and loss (P&#38;L) that is constructed from a single, multivariate historical sample on the portfolio’s risk factors. The implicit assumption is that history will repeat itself for certain over the forecast horizon. Until now,<a class="more-link" href="http://www.icmacentre.ac.uk/papers/rom-simulation-applications-to-stress-testing-and-var">Continue reading</a>]]></description>
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		<slash:comments>0</slash:comments>
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		<title>CEO Overconfidence and the Long-Term Performance following R&amp;D Increases</title>
		<link>http://www.icmacentre.ac.uk/seminars/ceo-overconfidence-and-the-long-term-performance-following-rd-increases?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=ceo-overconfidence-and-the-long-term-performance-following-rd-increases</link>
		<comments>http://www.icmacentre.ac.uk/seminars/ceo-overconfidence-and-the-long-term-performance-following-rd-increases#comments</comments>
		<pubDate>Tue, 01 May 2012 12:59:10 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4274</guid>
		<description><![CDATA[Dr Keng-Yu Ho is an associate professor at the Department of Finance, National Taiwan University. He received his PhD from Warwick Business School, University of Warwick. His research interests include empirical corporate finance and asset pricing.]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/seminars/ceo-overconfidence-and-the-long-term-performance-following-rd-increases/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Model</title>
		<link>http://www.icmacentre.ac.uk/seminars/what-is-the-consumption-capm-missing-an-information-theoretic-framework-for-the-analysis-of-asset-pricing-model?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=what-is-the-consumption-capm-missing-an-information-theoretic-framework-for-the-analysis-of-asset-pricing-model</link>
		<comments>http://www.icmacentre.ac.uk/seminars/what-is-the-consumption-capm-missing-an-information-theoretic-framework-for-the-analysis-of-asset-pricing-model#comments</comments>
		<pubDate>Tue, 01 May 2012 12:55:50 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4270</guid>
		<description><![CDATA[Dr. Christian Julliard is an Assistant Professor/Lecturer in the Department of Finance (since Fall 2009), and a senior research associate of the Financial Market Group (FMG), at the London School of Economics. He is also a research affiliate of the International Macroeconomics and Financial Economics programmes of the Centre for Economic Policy Research (CEPR), and an associated editor of Economica.<a class="more-link" href="http://www.icmacentre.ac.uk/seminars/what-is-the-consumption-capm-missing-an-information-theoretic-framework-for-the-analysis-of-asset-pricing-model">Continue reading</a>]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/seminars/what-is-the-consumption-capm-missing-an-information-theoretic-framework-for-the-analysis-of-asset-pricing-model/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
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		<title>Institutional Investors and Foreign Exchange Risk</title>
		<link>http://www.icmacentre.ac.uk/seminars/institutional-investors-and-foreign-exchange-risk?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=institutional-investors-and-foreign-exchange-risk</link>
		<comments>http://www.icmacentre.ac.uk/seminars/institutional-investors-and-foreign-exchange-risk#comments</comments>
		<pubDate>Tue, 01 May 2012 12:37:21 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4264</guid>
		<description><![CDATA[Dr Danielle Xu is a visiting professor at the Hanken School of Economics, Finland. Her research interests include empirical asset pricing, corporate disclosures and financial analysts&#8217; behaviour. Her publications appear on Review of Financial Studies, Journal of Financial Quantitative Analysis and Journal of Academy of Finance.]]></description>
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		<slash:comments>0</slash:comments>
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		<title>Merger bonuses, synergies and target shareholders wealth</title>
		<link>http://www.icmacentre.ac.uk/seminars/merger-bonuses-synergies-and-target-shareholders-wealth?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=merger-bonuses-synergies-and-target-shareholders-wealth</link>
		<comments>http://www.icmacentre.ac.uk/seminars/merger-bonuses-synergies-and-target-shareholders-wealth#comments</comments>
		<pubDate>Tue, 01 May 2012 12:32:55 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4262</guid>
		<description><![CDATA[Dr Anh L. Tran joined the Faculty of Finance at Cass in August 2010 from Drexel University in Philadelphia. He has taught Corporate Finance classes at both MSc and undergraduate levels. Anh&#8217;s research interests are in Empirical Corporate Finance, including Mergers and Acquisitions, Executive Compensation, and Corporate Governance among others. His research on stock option grants was cited in a<a class="more-link" href="http://www.icmacentre.ac.uk/seminars/merger-bonuses-synergies-and-target-shareholders-wealth">Continue reading</a>]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/seminars/merger-bonuses-synergies-and-target-shareholders-wealth/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
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		<title>The Effects of Rare Economic Crises on Credit Spreads and Leverage</title>
		<link>http://www.icmacentre.ac.uk/seminars/the-effects-of-rare-economic-crises-on-credit-spreads-and-leverage?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=the-effects-of-rare-economic-crises-on-credit-spreads-and-leverage</link>
		<comments>http://www.icmacentre.ac.uk/seminars/the-effects-of-rare-economic-crises-on-credit-spreads-and-leverage#comments</comments>
		<pubDate>Tue, 01 May 2012 12:23:58 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4257</guid>
		<description><![CDATA[Dr Harjoat Bhamra is an associate professor in Finance at the Sauder School of Business, University of British Columbia, Canada. He obtained his MA in Mathematics from the University of Cambridge, England and PhD in Finance from London Business School in 2003. His research interests include asset pricing with incomplete markets, recursive utility, international finance, credit risk and capital structure. His publications appear on Review of Financial Studies and Journal of Economic Dynamics and Control and International Journal of Theoretical and Applied Finance.]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/seminars/the-effects-of-rare-economic-crises-on-credit-spreads-and-leverage/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Professor Datuk Rifaat Ahmed Karim</title>
		<link>http://www.icmacentre.ac.uk/person/professor-datuk-rifaat-ahmed-karim?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=professor-datuk-rifaat-ahmed-karim</link>
		<comments>http://www.icmacentre.ac.uk/person/professor-datuk-rifaat-ahmed-karim#comments</comments>
		<pubDate>Mon, 16 Apr 2012 10:17:47 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[People]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=person&#038;p=4198</guid>
		<description><![CDATA[Rifaat Ahmed Abdel Karim BSc MSocSc PhD is Visiting Professor at the ICMA Centre. Professor Datuk Rifaat is a world-renowned leader and authority in the Islamic financial services industry (IFSI) both at the academic and professional levels.  He has played a pioneering role in the development of Islamic finance, while his leadership in setting accounting, auditing, governance, Shari’ah (Islamic law)<a class="more-link" href="http://www.icmacentre.ac.uk/person/professor-datuk-rifaat-ahmed-karim">Continue reading</a>]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/person/professor-datuk-rifaat-ahmed-karim/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Diversification of Equity with VIX Futures: Personal Views and Skewness Preference</title>
		<link>http://www.icmacentre.ac.uk/papers/diversification-of-equity-with-vix-futures-personal-views-and-skewness-preference?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=diversification-of-equity-with-vix-futures-personal-views-and-skewness-preference</link>
		<comments>http://www.icmacentre.ac.uk/papers/diversification-of-equity-with-vix-futures-personal-views-and-skewness-preference#comments</comments>
		<pubDate>Mon, 02 Apr 2012 15:15:33 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Discussion Papers]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=papers&#038;p=4187</guid>
		<description><![CDATA[Abstract: A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes motivates our study of their benefits to equity investors seeking to diversify their exposure. We analyze when diversification into VIX futures is ex-ante optimal for standard mean-variance investors, then extend this to include (a) skewness preference, and (b) a moderation of personal forecasts<a class="more-link" href="http://www.icmacentre.ac.uk/papers/diversification-of-equity-with-vix-futures-personal-views-and-skewness-preference">Continue reading</a>]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/papers/diversification-of-equity-with-vix-futures-personal-views-and-skewness-preference/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Cross-Market Timing in Security Issuance</title>
		<link>http://www.icmacentre.ac.uk/seminars/cross-market-timing-in-security-issuance?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=cross-market-timing-in-security-issuance</link>
		<comments>http://www.icmacentre.ac.uk/seminars/cross-market-timing-in-security-issuance#comments</comments>
		<pubDate>Wed, 21 Mar 2012 09:26:22 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research]]></category>
		<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4128</guid>
		<description><![CDATA[Dr Lou has been a lecturer of Finance at London School of Economics since 2009. He received his PhD in Finance from Yale University. His research interests include empirical asset pricing and corporate finance as well as behavioural finance.]]></description>
		<wfw:commentRss>http://www.icmacentre.ac.uk/seminars/cross-market-timing-in-security-issuance/feed</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Reputational Contagion and Optimal Regulatory Forbearance</title>
		<link>http://www.icmacentre.ac.uk/seminars/reputational-contagion-and-optimal-regulatory-forbearance?utm_source=rss&#038;utm_medium=rss&#038;utm_campaign=reputational-contagion-and-optimal-regulatory-forbearance</link>
		<comments>http://www.icmacentre.ac.uk/seminars/reputational-contagion-and-optimal-regulatory-forbearance#comments</comments>
		<pubDate>Wed, 21 Mar 2012 09:23:04 +0000</pubDate>
		<dc:creator>Ross F McGhee</dc:creator>
				<category><![CDATA[Research]]></category>
		<category><![CDATA[Research Seminar]]></category>

		<guid isPermaLink="false">http://www.icmacentre.ac.uk/?post_type=seminars&#038;p=4126</guid>
		<description><![CDATA[Dr. Morrison read mathematics at Brasenose College, Oxford, 1985 &#8211; 88. Between 1988 and 1995 he worked for Anderson Consulting (now Accenture), Morgan Grenfell and SG Warburg. He then took an MSc at Imperial College in the Foundations of Information Technology. He completed his doctorate at Saïd Business School on &#8216;Reputation, Opportunism and Crowd Behaviour in Debt Markets&#8217; in 2000.]]></description>
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