Corps professoral

Wan Ni LAI

Professeur associé

Asset pricing, portfolio management, financial derivatives

Télécharger le CV
Wan Ni LAI

Académie

Digitalisation

Centre de recherche

Finance & Accounting Insights on Risk and Regulation

Localisation

Sophia Antipolis

Discipline

Finance
Formation
2022
Habilitation à Diriger des Recherches, Economie, 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, Singapour
Expérience professionnelle
Positions académiques principales
Depuis 2016
Associate Professor, SKEMA Business School, France
2009 - 2016
Assistant Professor, KEDGE Business School, France
Autres affiliations académiques
2016 - 2019
Program Director Master of Science in Corporate Financial Management, SKEMA Business School, France
Autres expériences professionnelles
2001 - 2005
Assistant Director of Applications (IT/Finance Applications), Monetary Authority of Singapore, Singapour
Contrats de recherche, prix et distinctions
Prix et distinctions
1999
Institute of Systems Science Book Prize, National University of Singapore
Supervision de thèses
2023
J. FARHAT, SKEMA Business School, Doctorat, Membre de jury
S. K. LU, SKEMA Business School, Doctorat, Directeur de thèse

Articles académiques revus

GUENICHE, A., DUPUY, P. et 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. et 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. et SUN, E. (2021). Comonotonicity and Low Volatility Effect. Annals of Operations Research, 299(1-2), pp. 1057-1099.
GROSLAMBERT, B. et LAI, W.N. (2020). Ranking tail risk across international stock markets. Economics Bulletin, 40(2), pp. 1756-1768.
GROSLAMBERT, B., BASU, D. et 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. et 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. et LAI, W.N. (2009). Empirical Properties of Straddle Returns. Journal of Derivatives, 17(1), pp. 38-48.

Présentations dans des conférences

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