Risk and Macro Finance is the acclaimed research focal area of the University of Amsterdam's Faculty of Economics and Business.
Economics and Business at the University of Amsterdam has defined Risk and Macro Finance as a key research theme (“research focal area”), seen as a convergence and integration of methodologies to develop a more insightful view of recessions, financial crises and systemic risk. Such cross-disciplinary research is much-needed to adequately respond to some of the most fundamental economic problems of our times: (i) endogenous risk creation and interconnectedness of financial markets and institutions; (ii) the relation between government finances and the financial sector; (iii) the financing of long term guarantees in insurance and pensions; and (iv) the regulation of the broader financial sector. The initiative is the first of its kind in Europe. It pursues top-quality academic research, but also aims at facilitating policy and practice. The initiative is broadly supported by the Amsterdam Business School and the Amsterdam School of Economics.
Robust optimal risk sharing and risk premia in expanding pools, Thomas Knispel, Roger J. A. Laeven and Gregor Svindland, Insurance: Mathematics and Economics 70, 182-195, 2016.
Estimation of the continuous and discontinuous leverage effects, Aït-Sahalia, Yacine, Jianqing Fan, Roger J. A. Laeven, Christina Dan Wang, and Xiye Yang, Journal of the American Statistical Association, 2016.
Convertible Bonds and Bank Risk-Taking, Martynova, Natalya and Enrico C. Perotti, Journal of Financial Intermediation, 2016.
Optimal stopping under uncertainty in drift and jump intensity, Krätschmer, Volker, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers, and Mitja Stadje, Mathematics of Operations Research, 2017.
Testing for Self-Excitation in Jumps, Boswijk, H. Peter, Roger J. A. Laeven, and Xiye Yang, Journal of Econometrics, 2017
Robust return risk measures, Bellini, Fabio, Roger J. A. Laeven, and Emanuela Rosazza Gianin, Mathematics and Financial Economics 12, 5-32, 2018.
Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level, Servaas van Bilsen, Roger J. A. Laeven and Theo E. Nijman, November 2014.
The Formation of a Core Periphery Structure in Heterogeneous Financial Networks, Daan in ’t Veld, Marco van der Leij and Cars Hommes, April 2015.
Safe Asset Demand: A Review, Pascal Golec and Enrico Perotti, September 2015.
Technological Change and the Evolution of Finance, Robin Döttling and Enrico Perotti, September 2015.
Coco Design, Risk Shifting Incentives and Financial Fragility, Stephanie Chan and Sweder van Wijnbergen, January 2016.
Insecure Debt, Rafael Matta and Enrico Perotti, August 2016.
Macroeconomics of Carry Trade and Debt Overhang, Egle Jakucionyte and Sweder van Wijnbergen, August 2016.
Convertible Bonds and Bank Risk-Taking, Natalya Martynova and Enrico Perotti, October 2016.
Regulatory Forbearance, CoCos, and Bank Risk-Shifting, Stephanie Chan and Sweder van Wijnbergen, June 2017.
Contingent Convertibles: Can the Market handle them?, Gera Kiewiet, Iman van Lelyveld and Sweder van Wijnbergen, October 2017.
Bank Capital Regulation in a Zero Interest Environment, Robin Döttling, January 2018.
Public policy in a zero-growth scenario, Enrico C. Perotti.
The conduct of monetary policy in a diverse monetary union, Enrico C. Perotti.
For further information, please contact: Prof. Roger J. A. Laeven