Kent Centre for Finance

Dr. Moorad Choudhry, IPO treasurer RBS, has given a plenary talk “Core Risk Management Principles of Banking: Implications for Future Strategy” to postgraduate students studying for MSc Financial Markets and MSc Financial Services in Banking in the Kent Business School. Students had the opportunity to engage in lively debate with one of the top practitioners in the finance industry.

Dr. Raquel López García from Departamento de Análisis Económico y Finanzas, Facultad de Ciencias Económicas y Empresariales, University of Castilla-La Mancha is visiting CeQuFin in Kent Business School for a period of almost three months to work on a research project “The Effect of News Announcements on Volatility Indices” with Professor Radu Tunaru.

Eurex-Deutsche Borse spoke with Dr. Silvia Stanescu and Prof. Radu Tunaru, Kent Business School, about their recently published study in which they examine historical data on S&P500 and EURO STOXX® 50, VIX and VSTOXX®, VIX and VSTOXX® Futures. The interview follows the success of their paper “Investment Strategies with VIX and VSTOXX Futures” that has been in top ten most downloaded list on SSRN.

Dr Huamao Wang (SMSAS) paper ‘Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk’, joint with Zhaojun Yang and Dandan Song (Hunan University, China) has been accepted for publication in Journal of Mathematical Economics (ABS Grade 3).

For more details, please go to: http://ssrn.com/abstract_id=2329459

Professor Radu Tunaru’s work on “The Fundamental Economic Term of Commercial Real-Estate in UK” features in the latest SUERF study 2013/14 PROPERTY PRICES AND REAL ESTATE FINANCING IN A TURBULENT WORLD, edited by Morten Balling. Other contributors to the same volume include Per Callesen, Governor, Danmarks Nationalbank, Giovanni Dell’Ariccia and Deniz Igan, IMF Research, Margarita Rubio from Banco de España,  Ronan C. Lyons, Oxford University, Marius Jurgilus, Norges Bank and Kevin J.

Lansing, Federal Reserve Bank of San Francisco and Norges Bank, and R. Glenn Hubbard, Christopher Mayer and James Witkin, Columbia Business School. SUERF strives to be the pre-eminent independent non-profit European association designed to create an active network between professional economists, financial practitioners, central bankers and academics for the analysis and mutual understanding of monetary and financial issues.

Dr. Ekaterini Panopoulou’s paper co-authored with Sarantis Kalyvitis and entitled “Measuring Risk Aversion across Countries from the Consumption-CAPM: A Spectral Approach” has been included in the new book “Wavelet Applications in Economics and Finance” which will be published by Springer in honour of James B. Ramsey into the book series “Dynamic Modeling and Econometrics in Economics and Finance”, edited by Stefan Mittnik and Willi Semmler.

The visit was organised by the Kent Business School on 29 November for the Masters students of Financial Markets and of Financial Services in Banking programmes. The students toured the Bloomberg offices and took part in a specially designed interactive talk with Bloomberg staff. Student’s comment: “The visit was a great opportunity for us to see the main Bloomberg offices in London. The Bloomberg visit and the training sessions were very useful and it was interesting to see how real financial information is gathered and transmitted to banks and trading floors.”

Professor Radu Tunaru at Kent Business School (KBS) has sent his warmest congratulations to Yale University’s Professor Robert Shiller – winner of the 2013 Nobel Prize for Economics.

Professor Tunaru, who is a specialist in Structured Finance and Director of the University’s Centre for Quantitative Finance(CeQuFin) research, has co-authored three papers with Professor Shiller. One of these papers, Property Derivatives for Managing European Real-Estate Risk, also co-authored by Professor Frank Fabozzi, received a Best Paper Award from the European Finance Management Journal in 2011.

Professor Tunaru said: ‘I was absolutely delighted to hear that Robert Shiller had won the Nobel Prize. I have worked with him since 2009 and envisage continuing this line of research on applications of property derivatives to risk management of real-estate risk.’Professor Tunaru described the outcomes of their collaboration as ‘a viable solution to the problem of stabilisation of financial systems exposed to real-estate risk’.

Alongside the University of Chicago’s Eugene Fama (the ‘father of modern finance’) and Lars Peter Hansen, Professor Shiller received the Prize for his contribution to ’empirical analysis of asset prices’.

Congratulations to Jhaneshi Jugessur and Nainam Seedoyal students of MSc in Finance, Investment and Risk who have been awarded CFA Institute scholarships. Each year the CFA Institute awards up to five scholarships to students on the MSc in Finance, Investment and Risk which has gained the CFA Institute Programme Recognition Status.

Tibor Szigeti who has many years of experience as a bond trader/ market maker delivered a lecture and led a training session for students on the MSc in Finance, Investment and Risk at the School of Mathematics on interest rates, bonds and other fixed income topics. The session supplemented the student’s knowledge of the topics gained through the programme, with real life applications from a practitioner.