Amsterdam Center of Excellence in Risk and Macro Finance
Risk and Macro Finance is the acclaimed research focal area of the University of Amsterdam's Faculty of Economics and Business.
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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.
- Prof. Roger J. A. Laeven
- Prof. Enrico C. Perotti
- Prof. Sweder J. G. van Wijnbergen
- Mutual Excitation in Eurozone Sovereign CDS, Yacine Aït-Sahalia, Roger J.A. Laeven and Loriana Pelizzon, Journal of Econometrics 183, 151-167, 2014.
- Robust portfolio choice and indifference valuation, Roger J. A. Laeven and Mitja A. Stadje, Mathematics of Operations Research 39, 1109-1141, 2014.
- Financial Fragility, Sovereign default Risk and the Limits to Commercial Bank Rescues, Christiaan van der Kwaak and Sweder van Wijnbergen, Journal of Economic Dynamics & Control 43, 218-240, 2014.
- Sovereign default and the stability of inflation targeting regimes, Schabert, Andreas & Sweder J. G. van Wijnbergen, IMF Economic Review 62, 261-287, 2014.
- Asymptotically distribution-free goodness-of-fit testing for tail copulas. Can, S. Umut, John H. J. Einmahl, Estate V. Khmaladze and Roger J. A. Laeven, Annals of Statistics 43, 878-902, 2015.
- Modelling Financial Contagion Using Mutually Exciting Jump Processes, Yacine Aït-Sahalia, Julio Cacho-Diaz and Roger J.A. Laeven, Journal of Financial Economics 117, 585-606, 2015.
- Learning dynamics and support for economic reforms: Why good news can be bad, Sweder J.G. van Wijnbergen and Tim Willems, The World Bank Economic Review 30, 1-23, 2016.
- Fiscal Deficits, Financial Fragility, and the Effectiveness of Government Policies, Markus K. Kirchner and Sweder J.G. van Wijnbergen, Journal of Monetary Economics, 2016.
- Bank Recapitalization and Economic Recovery after Financial Crises, Homar, Timotej and Sweder J. G. van Wijnbergen, Journal of Financial Intermediation, 2016.
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.
Working Paper Series
- Modelling Financial Contagion Using Mutually Exciting Jump Processes, Yacine Aït-Sahalia, Julio Cacho-Diaz and Roger J.A. Laeven, January 2013.
- Mutual Excitation in Eurozone Sovereign CDS, Yacine Aït-Sahalia, Roger J.A. Laeven and Loriana Pelizzon, March 2013.
- On Zombie Banks and Recessions after Systemic Banking Crises: It does matter how Governments intervene, Timotej Homar and Sweder van Wijnbergen, April 2013.
- Financial Fragility, Sovereign default Risk and the Limits to Commercial Bank Rescues, Christiaan van der Kwaak and Sweder van Wijnbergen, October 2013.
- Cocos, Contagion and Systemic Risk, Stephanie Chan and Sweder van Wijnbergen, August 2014.
- Financial Fragility and the Fiscal Multiplier, Christiaan van der Kwaak and Sweder van Wijnbergen, August 2014.
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.
Selected Policy Articles
- Solvency II: Three principles to respect, Jon Danielsson, Ralph S.J. Koijen, Roger Laeven, Enrico Perotti.
- The roots of shadow banking, Enrico Perotti.
- CoCo’s en het risico van een nieuwe crisis, Stephanie Chan, Sweder J. G. van Wijnbergen.
- Containing maturity mismatch, Charles A.E. Goodhart, Enrico C. Perotti.
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
- T (Secretary): +31 (0)20 525 4252
- T (Office): +31 (0)20 525 4219
- E: R.J.A.Laeven@uva.nl