Years at SKEMA Business School: 4
 


Wan Ni LAI

Digitalisation
Sophia-Antipolis



CV
Skills & Interests 
Teaching Skills
 Bachelor, Masters, MBA, PhD 
Research Skills
 Empirical Finance
Languages
English (Professional),  Chinese (Native),  French (Fluent)
Expertise
Asset pricing, portfolio management, financial derivatives.
Qualification 
Scholarly Academic
Academic Degrees 
Ph.D.  Université d'Aix-Marseille III, France, 2009.
DEA  Université d'Aix-Marseille III, 2006.
Master  EDHEC Business School, 2004.
Bachelor  National University of Singapore, 1997.
Work Experience 
Associate Professor, SKEMA Business School (September, 2016 - Present), Sophia-Antipolis, France.
Program Director Master of Science in Corporate Financial Management, SKEMA Business School (September, 2016 - September, 2019), Sophia Antipolis, France.
Assistant Professor, Kedge Business School (September, 2009 - September, 2016), Marseille, France.
Assistant Director of Applications (IT/Finance Applications), Monetary Authority of Singapore (2001 - 2005), Singapore, Singapore.
Intellectual contributions
Articles in Journals 
LAI, W., Sun, E., & Chen, Y. (2019).  Jump Detection and Noise Separation by Singular Wavelet Method for Forecasting with High-Frequency Data.   Computational Economics, 54 (2), 809-844, doi: 10.1007/s10614-019-09881-3.
LAI, W., Chen, Y., & Sun, E. (in press, 2019).  Comonotonicity and Low Volatility Effect.   Annals of Operations Research.
Groslambert, B., Basu, D., & LAI, W. (2019).  Is tail risk the missing link between institutions and risk?   Economics Bulletin.
LAI, W. (2016).  Do academic investment insights benefit society?   Research in International Business and Finance, 38, 172-176.
LAI, W. (2016).  Evaluating the sovereign and household credit risk in Singapore: A contingent claims approach.   Research in International Business and Finance, 37, 435-447.
LAI, W. (2012).  Comparison of Non-Parametric Methods for Extracting Option Implied Risk-Neutral Distributions.   Quantitative Finance, 14 (10), 1839-1855.
LAI, W. (2012).  Faith Matters? A Closer Look at the Performance of Belief-Based Investments.   Journal of Asset Management, 13 (6), 421-436.
LAI, W. (2012).  Investors Expectations and Preferences during the Financial Crisis and the Bursting Internet Bubble: Evidence from the Options Markets.   Bankers, Markets & Investors, 120, 20-35.
LAI, W., & Goltz, F. (2009).  Empirical Properties of Straddle Returns.   Journal of Derivatives, 17 (1), 38-48.
Conference Presentations 
LAI, W. (2015). Sorting out low volatility stocks: Disentangling specific and systematic risk components.  AFFI (Association Française de Finance) Conference, Cergy, France.
LAI, W. (2015). Sorting out low volatility stocks: Disentangling specific and systematic risk components.  FEBS (International Conference of the Financial Engineering and Banking Society), Nantes, France.
LAI, W. (2011). Comparison of Non-Parametric Methods for Extracting Option Implied Risk-Neutral Distributions.  Annual Conference of the Swiss Society for Financial Market Research (SGF), Zurich, Switzerland.
LAI, W. (2010). A Tale of Two Crises.  AFFI (Association Française de Finance) Conference, St Malo, France.
Other Research 
2020: LAI, W., Volatility and Tail Risks in the Financial Market.   [Not an IC]
Professional Service 
Other Professional Service Activities
2019:  Research Foundation Flanders : FWO (Fonds Wetenschappelijk Onderzoek - Vlaanderen), Brussel, Belgium (International).  Referee for the grant applications within the framework of the FWO’s bilateral cooperation with the National Natural Science Foundation of China (NSFC, China).
Reviewer: Reviewer for a Journal
2019:  Journal of Futures Markets (International).  Reviewer of the following manuscript: 

Futures-18-6129.R2 - What do we know about individual equity options?

2019:  Finance Research Letters (International).   Reviewer of the following manuscript: 
FRL_2019_606, Title: "The Cost of Innovation and Decreasing Book Equity of U.S. Firms"

2019:  Annals of Operations Research (International).   Reviewer for the following manuscript:
ANOR-D-19-00606, "Realized measures to explain volatility changes over time"