Fil d'Ariane Accueil Corps professoral Corps professoral Wan Ni LAI Professeur associé wanni.lai@skema.edu Asset pricing, portfolio management, financial derivatives Télécharger le CV Image Académie Digitalisation Centre de recherche Finance & Accounting Insights on Risk and Regulation Localisation Sophia Antipolis Discipline Finance Carrière Publications Précédent Suivant 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 2023 Faculty Excellence Award for Learning Experience, SKEMA Business School, France Autres activités de recherche Supervision de thèses Depuis 2023 R. TAO, SKEMA Business School, Doctorat, Directeur de thèse Depuis 2022 S. K. LU, SKEMA Business School, Doctorat, Directeur de thèse Depuis 2019 L. REINALDO, SKEMA Business School, Doctorat, Directeur de thèse 2023 K. IDBENJRA, IÉSEG School of Management, Doctorat, Rapporteur 2023 J. FARHAT, SKEMA Business School, Doctorat, Membre de jury 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.