Research Seminars 2010-2011

Bart Lambrecht

A Lintner Model Of Dividends And Managerial Rents

Date: 23 Mar, 11

Bart Lambrecht

Lancaster University

Bart Lambrecht is a professor of finance at Lancaster University. His research is in the areas of corporate finance and household finance covering topics such as mergers and acquisitions, corporate bankruptcy, real options, corporate governance, capital structure, dividend policy, mortgage default and repossession. Bart Lambrecht has a BA in applied economics from the University of Antwerp (UFSIA). He did his graduate studies at the University of Cambridge where he obtained an MPhil in Finance and a Phd in Economics. Prior to joining the University of Lancaster in 2003 as a finance professor, he was a lecturer and senior lecturer at the University of Cambridge. Bart Lambrecht has held visiting positions at the University of Calgary (2001), UCLA (2002) and MIT (2009).


Nick Taylor

The economic value of volatility forecasts: A simplified approach

Date: 16 Mar, 11

Nick Taylor

Cardiff University

Nick Taylor is Professor of Finance at Cardiff Business School, Cardiff University, having previously held positions at Manchester and Warwick University. Nick’s research interests include most areas of financial econometrics (particularly volatility modelling), and economic forecasting. His work has been published in leading international journals including the Journal of Banking and Finance, Journal of Money, Credit and Banking, Journal of Financial Research, and the International Journal of Forecasting.


Marcel Prokopczuk

Seasonality and the Valuation of Commodity Options

Date: 9 Mar, 11

Marcel Prokopczuk

ICMA Centre, Henley Business School

Marcel Prokopczuk is a Lecturer in Finance at the ICMA Centre, Henley Business School, University of Reading. He holds an MSc in Business Engineering from the University of Karlsruhe and a PhD in Finance from the University of Mannheim. Marcel’s main research interests are Derivatives, Commodity Markets, and Risk Management. His research has been published in journals such as the Journal of Banking and Finance, the Journal of Futures Markets, and Energy Economics.


Dimitris Kyriazis

Asymmetric Information and the Medium of Payment in US Takeover Bids

Date: 23 Feb, 11

Dimitris Kyriazis

University of Pireaus

Dimitris Kyriazis is currently an Assistant Professor at the Department of Banking and Financial Management, University of Piraeus (Greece). He teaches Financial Management and Corporate and Business Strategy to undergraduate courses and Mergers and Acquisitions to both undergraduate and post-graduate courses. He holds a PhD in Economics from the City University, London. The topic of his doctoral thesis was on Mergers and Acquisitions. Prior to his academic assignment in the University of Piraeus, he has worked for Alpha Bank in Athens getting involved in mergers and acquisitions projects. His research work is focused on the issues of mergers and acquisitions, information asymmetry, and market efficiency. His papers have been published in academic journals, such as the European Financial Management, Strategic Management Journal, Journal of Business Finance & Accounting, International Journal of the Economics of Business. He is the author of a book entitled ?Mergers & Acquisitions? which was published in Athens (2007).


Jessica James

Systematic FX Trading Models

Date: 16 Feb, 11

Jessica James

Citibank

Jessica James joined the Citibank FX Risk Advisory Group from Bank One, where she headed their Risk Advisory and Currency Overlay group in Europe. Her group was responsible for the design, marketing and maintenance of currency overlay strategies, and the provision of bespoke research to Bank clients, supporting internal marketing. At Citi, she is closely involved in both these areas, working with marketers and clients to uptier relationships. Jessica is well known for her research, with several books to her credit and a regular publication record in the financial press. Additionally, she teaches a number of financial mathematics courses and sits on the board of the Journal of Quantitative Finance, and the ICBI finance conference board. She has participated in several government Task Forces and is involved with the Institute of Physics as a member of their governing body and a member of their Industry and Business Board. The major part of Jessica’s current research is in the FX area. Over the last few years she has been at the forefront of development of currency risk management models and overlay strategies, and has pioneered the use of Extreme Value Theory to manage the risk of large FX moves. Additionally, she has a wealth of experience in the practical process of setting up currency overlay as a business unit, including trading strategy testing, design and marketing. At Bank One, she was in charge of trading sheet design and strategy execution, and instigated and specified a continuous testing process to ensure that the strategies performed within the bounds of expectations. In addition to her FX research, Jessica is known for her work on interest rates, having written an extensive work on modelling and valuation (Interest Rate Modelling, Wiley 2000). She has also published in the credit and risk management areas. Prior to her career in finance, Jessica lectured in physics at Trinity, Oxford, having completed her PhD in Theoretical Atomic and Nuclear Physics in 1994.


Aneel Keswani

How well do mutual funds invest in their own backyard?

Date: 9 Feb, 11

Aneel Keswani

City University London

Aneel Keswani is a Reader in Finance at Cass Business School, City University London. Aneel’s main field of research is mutual funds. He has published papers on fund flows and performance persistence and his paper on smart money, published in the Journal of Finance, was discussed prominently across the leading European financial and business press. Aneel has consulted for a number of investment banks and worked in commodity research before starting his doctorate.

Amended time and venue: 5pm in the ICMA Centre Lecture Theatre


Deepa Govindarajan

Risk Appetite – Promoting Transparency and Good Governance

Date: 2 Feb, 11

Deepa Govindarajan

ICMA Centre, Henley Business School

Deepa Govindarajan is a lecturer and Visiting Fellow at the ICMA Centre, Henley Business School, University of Reading. She lectures in the areas of banking compliance and the regulation of markets and traders. Her research interests cover senior management arrangements and governance within banks, qualitative decision-making in the management of risk, the socio-political context of banking & financial regulation and the comparative study of international banking regulation. She also studies operational risk. Deepa’s experience within the financial services industry spans banking, consulting and regulatory supervision. Her career to date, has included roles at Citigroup, the U.K. Financial Services Authority (FSA), Lloyds Banking Group and in academia. Deepa has served as a consultant in the UK and in continental Europe. Her current consulting assignments include providing risk expertise to multinationals and major consulting firms. As a specialist risk auditor she evaluates governance, culture, systems and controls. She also leads sessions for senior managers and Board members on defining and disseminating risk appetite and facilitates discussions on the risk-implications of strategic choices.


Sjur Westgaard

Risk Analysis and Prediction of UK Electricity Price Distributions using Quantile Regression

Date: 26 Jan, 11

Sjur Westgaard

Norwegian University of Science and Technology

Sjur Westgaard is an MSc and Phd in Industrial Economics from Norwegian University of Science and Technology and an MSc in Finance from Norwegian School of Business and Economics. He has worked as an investment portfolio manager for an insurance company, a project manager for a consultant company and as a credit analyst for an international bank. His is now an associate professor at the Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management. His main research interests include empirical modelling and forecast of energy markets as well as financial econometrics in general. At the time being he is a project manager for two research projects involving four different power companies.


Jacques Pézier

Economics of Discrete Delta Replication of Options with Transaction Costs

Date: 19 Jan, 11

Jacques Pézier

ICMA Centre, Henley Business School

Jacques Pézier is currently a Visiting Professor at the ICMA Centre, Henley Business School, University of Reading. His current research interests are in investment management (intelligent use of personal views, optimal design of structured products and portfolio insurance, performance criteria), risk management (optimal capital allocation, banking regulations) and financial engineering (efficient option replication). From 1986 to 2002 he worked in the City of London as General Manager of Crédit Agricole Lazard Financial Products (CAL FP) Bank, a bank specializing in structured products for corporate clients, Executive Director with Mitsubishi Finance International plc (MFIL, now TMI), heading the arbitrage and Research and Product Development Group and Director at Barclays, de Zoete Wedd (BZW), heading the Equity Risk Management Unit. But his career started in academia (Dartmouth College, USA, and HEC/ISA, France) and consulting (Stanford Research Institute, Investment Intelligence Systems). He is a graduate from Ecole Centrale (Paris) and holds a DEA in Mathematical Physics (Institut Henri Poincaré, Paris) and a PhD in Decision Theory (Dartmouth College).


Dr. Jurgen Doornik

Outlier Detection in GARCH Models

Date: 30 Oct, 01

Dr. Jurgen Doornik

Oxford University

Jurgen A Doornik is Research Fellow at Nuffield College, University of Oxford. He researches on computational econometrics and dynamic econometric modelling, as well as ARFIMA and GARCH models. He is the originator of the Ox language, and works with David Hendry on PcGive. He has (co-)authored eight books related to the software. He published papers in The Economic Journal, The Econometrics Journal, and others, and has papers forthcoming in Computational Statistics and Data Analysis, and Econometrica.


Dr. Dominique Dupont

Hedging Barrier Options: Current Methods and Alternatives

Date: 10 Oct, 00

Dr. Dominique Dupont

Eurandom – Eindhoven University of Technology

Dominique Dupont is currently a research fellow in the Financial Stochastics research project at Eurandom, a European research institute devoted to the study of stochastic phenomena and located on the campus of the Eindhoven University of Technology. His research focuses on hedging exotic derivatives in incomplete markets, with more specific focus on the static hedging of barrier options with regular options using a technique known as mean-square hedging. Previously Dominique worked as an Economist at the Federal Reserve Board in Washington D.C. after obtaining his Ph.D. in Economics (microstructures of financial markets) at the University of Chicago. Prior to this he trained in Business and Finance at the H.E.C. School of Management and in Economics at the Institut d?Etudes Politiques de Paris.


Stefan Szymanski

Contests Around a Circle

Date: 1 Dec, 10

Stefan Szymanski

Cass Business School

Stefan Szymanski is a professor of economics at Cass Business School and Director of the Sports Business Network. His main research is on the economics business of sport, both professional and amateur. Research interest include the economics of team sports, competitive balance, the comparative economics of European and North American sports and the economics of major sports events. He has also written a number of popular books, most recently ?Why England Lose? (with Simon Kuper). He has been an adviser to government on sports policy, appeared as an expert witness in sports litigation and advised clubs, leagues and governing bodies, including playing a minor role in the creation of the Indian Premier League.


Arif Khurshed

A Dissection of Bookbuilt IPOs: Subscriptions, Underpricing, and Initial Returns

Date: 24 Nov, 10

Arif Khurshed

Manchester Business School

Arif Khurshed completed his PhD at the ICMA Centre in the year 1999 and took up a post-doc position at Manchester School of Accounting and Finance. He later took up a lectureship in finance at the same school. Currently he is a senior lecturer at Manchester Business School, University of Manchester. Arif’s current research interests include studies of initial public offerings (IPOs), determinants of institutional ownership, corporate governance, venture capital exits, share repurchase programmes and performance of closed-end funds. He has published in the Journal of Business Finance and Accounting, Journal of Financial Intermediation, International Review of Law and Economics and European Journal of Finance. He has also contributed a few book chapters. His research has been covered by the Investors Chronicle, The Times, Reuters and The Nation (Thai newspaper). His first book on IPOs is due in winter 2010. Arif has acted as an external consultant to the UK Financial Services Authority (FSA) and the British Venture Capital Association (BVCA).


Andrea Gamba

Disintegrating Risk Management

Date: 17 Nov, 10

Andrea Gamba

Warwick Business School

Andrea Gamba is currently an Associate Professor of Finance at the Warwick Business School. He teaches and has taught graduate courses on corporate finance. Previously, he has been Visiting Professor at the School of Business, Finance Department, The George Washington University (Washington, DC); Associate Professor  of Mathematical Finance at the Department of Economics, University of Verona (Italy); Assistant Professor of Financial Mathematics, Department of Applied Mathematics, University ?Ca? Foscari? of Venice (Italy). He got a PhD in applied mathematics from University of Trieste (Italy). His current research is on corporate finance and on numerical methods for finance. As for the research in corporate finance, he focuses on capital structure and credit risk models, and on corporate risk management. He served as a consultant on derivative pricing for banks and insurance companies and on real options for corporations.


Monika Trapp

Trading the Bond/CDS-Basis – The Case of Credit Risk and Liquidity

Date: 10 Nov, 10

Monika Trapp

University of Cologne

Monika Trapp is an Assistant Professor of Finance at the University of Cologne (Germany). Previously, she was a Visiting Scholar at the Stern School of Business, New York University, and at the German Central Bank in Frankfurt. She studied Financial Mathematics at the University of Trier (Germany), the London School of Economics and Political Science (UK), and the University Ulm (Germany), where she was awarded her diploma in Financial Mathematics. She obtained her doctoral degree in Finance from the University of Mannheim in 2008 for her dissertation on bond and credit default swap markets. Her main research focuses on credit, liquidity, and systemic risk, other research interests include fixed-income funds and the information procession process in financial markets.


Mikhail Chernov

Sources of Entropy in Dynamic Representative Agent Models

Date: 3 Nov, 10

Mikhail Chernov

London School of Economics

Mikhail Chernov is a Professor of Finance at London School of Economics and a Research Affiliate at the Centre for Economic Policy Research (CEPR). He obtained his PhD from Pennsylvania State University, following which he was an Associate Professor of Finance at Columbia Business School and then an Associate Professor of Finance at London Business School. His research covers the fields of asset pricing, derivatives, fixed income and financial econometrics, with specific interest in interest rates and options and their relationship to macroeconomic fundamentals. Mikhail published his research in the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, among other publications.


Massimo Guidolin

Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective’

Date: 27 Oct, 10

Massimo Guidolin

Manchester Business School

Massimo Guidolin is a Professor of Finance at Manchester Business School, University of Manchester where he co-heads CAIR (Centre for the Analysis of Investment Risk). He was previously a Senior Economist and then an Asst. Vice-President with the research division of the Federal Reserve Bank of St. Louis, within the US Federal Reserve system, where he retains policy advising roles. His research interests focus on the econometrics of asset pricing models, applied forecasting in finance and macroeconomics, dynamic asset allocation models and their applied performance, and the empirical modelling of the behavior of financial intermediaries such as financial analysts and rating agencies. He has published his research in academic journals that include the American Economic Review, the Economic Journal, Journal of Financial Economics, the Review of Financial Studies, the Journal of Business, and the Journal of Econometrics. He serves on the editorial board or he is associate editor at academic journals such as the International Journal of Forecasting, the Journal of Business Finance and Accounting, and Studies in Nonlinear Dynamics and Econometrics.

(Please note that this seminar starts at 4pm)