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NL

dr. S.A. (Simon) Broda

Faculty of Economics and Business
Section Quantitative Economics
Photographer: FEB

Visiting address
  • Roetersstraat 11
  • Room number: 4.27
Postal address
  • Postbus 15867
    1001 NJ Amsterdam
  • Profile

    Positions

    Assistant Professor

    Research programme

    UvA-Econometrics

    Research interests

    Multivariate Volatility Models, Transform Inversion Methods, Saddlepoint Approximations, Panel Data.

    Curriculum Vitae

  • Teaching

    Teaching activities

    Current year

    • Computational Finance with Python (MSc Finance)
    • Computational Finance with MATLAB (MIF)
    • Advanced Financial Econometrics (MIF)
    • Financial Econometrics (MIF)

    Previous years

    • Financial Econometrics (MSc Econometrics)
    • Stochastic Calculus (MSc Econometrics)
    • Econometrics AE and Research Practicum (BSc Econometrics)

    Course materials for Computational Finance with Python are available on my personal Github.

    Course materials are available through the UvA Blackboard Server.

  • Publications

    2018

    • Broda, S. A., Krause, J., & Paolella, M. S. (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8, 184-203. DOI: 10.1016/j.ecosta.2017.07.003 [details]
    • Broda, S. A. (Accepted/In press). Testing for Individual Sphericity in Heterogeneous Panels. Biometrika.

    2017

    2016

    2013

    • Broda, S. A., Haas, M., Krause, J., Paolella, M. S., & Steude, S. C. (2013). Stable mixture GARCH models. Journal of Econometrics, 172(2), 292-306. DOI: 10.1016/j.jeconom.2012.08.012 [details]

    2012

    • Broda, S. A. (2012). The expected shortfall of quadratic portfolios with heavy-tailed risk factors. Mathematical Finance, 22(4), 710-728. DOI: 10.1111/j.1467-9965.2011.00482.x [details]
    • Broda, S. A., & Paolella, M. S. (2012). Saddlepoint approximations: a review and some new applications. In J. E. Gentle, W. K. Härdle, & Y. Mori (Eds.), Handbook of computational statistics: concepts and methods (2 ed., pp. 953-983). (Springer Handbooks of Computational Statistics). Heidelberg: Springer. DOI: 10.1007/978-3-642-21551-3_32 [details]

    2009

    • Broda, S. A., & Paolella, M. (2009). Evaluating the Density of Ratios of Noncentral Quadratic Forms in Normal Variables. Computational Statistics and Data Analysis, 53(4), 1264-1270. DOI: 10.1016/j.csda.2008.10.035
    • Broda, S. A., & Paolella, M. S. (2009). CHICAGO: a fast and accurate method for portfilio risk calculation. Journal of Financial Econometrics, 7(4), 412-436. DOI: 10.1093/jjfinec/nbp011 [details]
    • Broda, S. A., Carstensen, K., & Paolella, M. (2009). Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples. Econometric Reviews, 28(5), 468-494. DOI: 10.1080/07474930802467282

    2007

    • Broda, S. A., & Paolella, M. (2007). Saddlepoint approximations for the doubly noncentral distribution. Computational Statistics and Data Analysis, 51(6), 2907-2918. DOI: 10.1016/j.csda.2006.11.024
    • Broda, S. A., Carstensen, K., & Paolella, M. (2007). Bias-Adjusted Estimation in the ARX(1) Model. Computational Statistics and Data Analysis, 51, 3355-3367. DOI: 10.1016/j.csda.2006.07.009

    2011

    • Broda, S. A., & Paolella, M. S. (2011). Expected shortfall for distributions in finance. In P. Čížek, W. K. Härdle, & R. Weron (Eds.), Statistical tools for finance and insurance (2 ed., pp. 57-99). Heidelberg: Springer. DOI: 10.1007/978-3-642-18062-0_2 [details]

    2010

    • Natora, M., Franke, F., Broda, S. A., & Obermayer, K. (2010). Optimal steering vector adaptation for linear filters leading to robust beamforming. In 4th International Symposium on Communications, Control and Signal Processing (ISCCSP), 2010: 3-5 March 2010, Limassol, Cyprus Piscataway, NJ: IEEE. DOI: 10.1109/ISCCSP.2010.5463496 [details]

    Membership

    • Broda, S. (2012-2016). Fellow, Tinbergen Institute.

    Talk / presentation

    • Broda, S. (speaker) (19-10-2016). Approximating Expected Shortfall for Heavy Tailed Distributions, Rijksuniversiteit Groningen.
    • Broda, S. (speaker) (18-5-2016). Approximating Expected Shortfall for Heavy Tailed Distributions, BI Norwegian Business School.

    2015

    • Broda, S. A., Krause, J., & Paolella, M. S. (2015). Approximating expected shortfall for heavy tailed distributions. Amsterdam: University of Amsterdam. [details]

    2013

    • Broda, S. A. (2013). Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors. (Tinbergen Institute Discussion Paper; No. TI 2013-001/III). Amsterdam / Rotterdam: Tinbergen Institute. [details]
    • Broda, S. A., & de Kan, R. (2013). On distributions of ratios. (Tinbergen Institute Discussion Papers; No. TI 2013-211/III). Amsterdam / Rotterdam: Tinbergen Institute. [details]

    2010

    • Broda, S. A. (2010). Inversion formulae for tail conditional expectations. Amsterdam: Faculteit Economie en Bedrijfskunde.
    • Broda, S. A. (2010). Testing for sphericity in panels. (UvA-Econometrics discussion paper; No. 2010/09). Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics. [details]
    • Broda, S. A., & Paolella, M. S. (2010). Saddlepoint approximation of expected shortfall for transformed means. (UvA-Econometrics discussion paper; No. 2010/08). Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics. [details]
    • Broda, S. A., Haas, D., Krause, J., Paolella, M., & Steude, S. (2010). A mix-stable GARCH model. Amsterdam: Faculteit Economie en Bedrijfskunde.

    2007

    • Broda, S. A., Paolella, M., & Tchopourian, Y. (2007). Approximately Exact Inference in Dynamic Panel Models: a QUEST for Unbiasedness. (Working Paper Series; No. 305). Zürich: Institut für Schweizerisches Bankwesen.
    This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list.
  • Ancillary activities
    • No ancillary activities