Finance and risk management is one of the core topics at Labex MME-DII. Research in financial engineering focuses on relevant extensions of portfolio optimization to a variety of new problems such as long-term portfolio strategies with stochastic interest and inflation rates; real estate; commodity markets and foreign investment. Risk management and risk regulation are also among the topics studied at Labex MME-DII. The inadequacy of the risk management models developed in the 1990s has been revealed by the recent financial crisis. Accounting for market frictions, liquidity problems, contagion effects due to risk interdependence and discrete-time rebalancing of portfolios is essential in order to come up with better risk measures and to develop adequate statistical tools for their empirical assessment. A third direction of the research at Labex MME-DII deals with corporate finance issues and studies the conflict of interests between shareholders and managers, as well as between shareholders and creditors and their impact on risk-taking behavior, borrowing capacity and efficiency. Of related interest is the role of credit ratings agencies and firms’ credit quality in an international trade context, as well as the influence of bankruptcy laws on performance.
Topics in Finance and Risk Management:
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