Professors

Wan Ni LAI

Associate Professor

Asset pricing, portfolio management, financial derivatives

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Wan Ni LAI

Academy

Digitalization

Research center

Finance & Accounting Insights on Risk and Regulation

Location

Sophia Antipolis

Discipline

Finance

Dr. Wan Ni Lai is a permanent Associate Professor of Finance at SKEMA Business School. She holds a Doctorate in Management Science from the University of Aix-Marseille III and a Bachelor in Electrical Engineering from the National University of Singapore. Dr. Lai started as an IT Analyst with Reuters Asia and moved on as an Asst. Applications Director with the Monetary Authority of Singapore. She was then awarded scholarships by the Monetary Authority of Singapore and the French Embassy in Singapore to pursue her doctoral studies in France. Dr. Lai specializes in asset pricing, portfolio management and derivatives; she has published her research in both academic and practitioner journals such as “Quantitative Finance” and “Journal of Derivatives”.

Education
2022
Habilitation à Diriger des Recherches, Economy, Finance, Université Côte d'Azur, France
2009
Ph.D. in Management Sciences - Finance, Aix-Marseille Université, France
2006
DEA in Financial Instruments, Aix-Marseille Université, France
2004
MSc in Finance, EDHEC Business School, France
1997
BEng in Electrical Engineering, National University of Singapore, Singapore
Experience
Full-time academic positions
Since 2016
Associate Professor, SKEMA Business School, France
2009 - 2016
Assistant Professor, KEDGE Business School, France
Other academic affiliations and appointments
2016 - 2019
Program Director Master of Science in Corporate Financial Management, SKEMA Business School, France
Other professional experiences
2001 - 2005
Assistant Director of Applications (IT/Finance Applications), Monetary Authority of Singapore, Singapore
Research grants, Awards and Honors
Awards and Honors
2023
Faculty Excellence Award for Learning Experience, SKEMA Business School, France
Other research activities
PhD Supervision
Since 2023
R. TAO, SKEMA Business School, PhD thesis, Thesis director
Since 2022
S. K. LU, SKEMA Business School, PhD thesis, Thesis director
Since 2019
L. REINALDO, SKEMA Business School, PhD thesis, Thesis director
2023
K. IDBENJRA, IÉSEG School of Management, PhD thesis, Thesis Reviewer
2023
J. FARHAT, SKEMA Business School, PhD thesis, Thesis jury member

Peer-reviewed journal articles

GUENICHE, A., DUPUY, P. and LAI, W.N. (2023). Price contingent and price‑volume contingent portfolio strategies. Journal of Asset Management, 24(3), pp. 173-183.
LAI, W.N., CHEN, C.Y.T. and SUN, E. (2022). Risk factor extraction with quantile regression method. Annals of Operations Research, 316, pp. 1543–1572.
LAI, W.N. (2022). Detecting stock market regimes from option prices. Operations Research Letters, 50(3), pp. 260-267.
LAI, W.N., CHEN, Y.T. and SUN, E. (2021). Comonotonicity and Low Volatility Effect. Annals of Operations Research, 299(1-2), pp. 1057-1099.
GROSLAMBERT, B. and LAI, W.N. (2020). Ranking tail risk across international stock markets. Economics Bulletin, 40(2), pp. 1756-1768.
GROSLAMBERT, B., BASU, D. and LAI, W.N. (2019). Is tail risk the missing link between institutions and risk? Economics Bulletin, 39(2), pp. 1435-1448.
CHEN, Y.T., LAI, W.N. and SUN, E. (2019). Jump Detection and Noise Separation by Singular Wavelet Method for Forecasting with High-Frequency Data. Computational Economics, 54(2), pp. 809-844.
LAI, W.N. (2016). Evaluating the sovereign and household credit risk in Singapore: A contingent claims approach. Research in International Business and Finance, 37(C), pp. 435-447.
LAI, W.N. (2016). Do academic investment insights benefit society? Research in International Business and Finance, 38(C), pp. 172-176.
LAI, W.N. (2012). Faith Matters? A Closer Look at the Performance of Belief-Based Investments. Journal of Asset Management, 13(6), pp. 421-436.
LAI, W.N. (2012). Investors Expectations and Preferences during the Financial Crisis and the Bursting Internet Bubble: Evidence from the Options Markets. Bankers, Markets & Investors, 120(1), pp. 20-35.
LAI, W.N. (2011). Comparison of methods to estimate option implied risk-neutral densities. Quantitative Finance, 14(10), pp. 1839-1855.
GOLTZ, F. and LAI, W.N. (2009). Empirical Properties of Straddle Returns. Journal of Derivatives, 17(1), pp. 38-48.

Conference presentations

LAI, W.N. (2015). Sorting out low volatility stocks: Disentangling specific and systematic risk components. In: FEBS (International Conference of the Financial Engineering and Banking Society). Nantes.
LAI, W.N. (2015). Sorting out low volatility stocks: Disentangling specific and systematic risk components. In: AFFI (Association Française de Finance) Conference. Cergy.
LAI, W.N. (2011). Comparison of Non-Parametric Methods for Extracting Option Implied Risk-Neutral Distributions. In: SGF (Swiss Society for Financial Market Research) Annual Conference. Zurich.
LAI, W.N. (2010). A Tale of Two Crises. In: AFFI (Association Française de Finance) Conference. St Malo.