Dr Chardin Wese Simen wins Best Paper Award
Congratulations to Dr Chardin Wese Simen, Senior Lecturer in Finance at the Management School, who recently won Best Paper Award 2022 at the 2022 Derivatives Market Conference held at the Auckland Centre for Financial Research.
Co-authored with Dr Xiaoman Su, the award-winning paper is titled “Variance Risk Premium Term Structure and Monetary Policy” and explores the changes in the variance risk premium (VRP) which reflects the market price of variance risk positively respond to the interest rate shocks and the strength of response declines with maturity.
The online conference took place in early September with both academics and professionals being invited to submit papers related to derivative markets and products. The conference also featured a special issue of the Journal of Futures Markets.
Commenting on his award, Dr Chardin said:
“I am delighted to share the news that our paper (with Dr Xiaoman Su) received the best paper prize at the Derivatives Market Conference. The paper analyses the timely topic of the impact of interest rate news on financial markets. More specifically, we use information encoded in derivative prices of different maturities to examine the impact of interest rate news on the compensation that agents require for bearing variance risk.
“We document that the announcement effect is strongest over the short-term and declines with the maturity of the derivatives. Moreover, the announcement effect is mostly driven by expectations of higher “bad variance”, i.e. the variance of negative returns. These findings are relevant for policy makers and market participants.”