Dr. Morrison read mathematics at Brasenose College, Oxford, 1985 – 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 ‘Reputation, Opportunism and Crowd Behaviour in Debt Markets’ in 2000.

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&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,Continue reading

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.

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.Continue reading

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’ behaviour. Her publications appear on Review of Financial Studies, Journal of Financial Quantitative Analysis and Journal of Academy of Finance.

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’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 aContinue reading

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...

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)Continue reading

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 forecastsContinue reading

Stock Market Competition The ICMA Centre, University of Reading, is hosting a new trading competition in its world class trading rooms for students in year 12 who are considering a career in finance or international trading. Tuesday 10 July 2012, 9.30am – 3.00pm (lunch provided) Great prizes on offer for participating students and their schools. At the end of theContinue reading