Photographer: FEB

dr. S.A. (Simon) Broda


  • Faculty of Economics and Business
    Section Quantitative Economics
  • Visiting address
    REC E
    Roetersstraat 11  Room number: 4.27
  • Postal address:
    Postbus  15867
    1001 NJ  Amsterdam
  • s.a.broda@uva.nl
    T: 0205254216
    T: 0205254252

Positions

Assistant Professor

Research programme

UvA-Econometrics

Research interests

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

Curriculum Vitae

Teaching activities

Current year

Financial Econometrics (MSc)
Stochastic Calculus (MSc)
Computational Finance with MATLAB (MIF)
Advanced Financial Econometrics (MIF)
Financial Econometrics (MIF)

Previous years

Econometrics AE and Research Practicum (BSc)

2016

2013

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] 

Scientific position

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

Talk / presentation

  • Broda, Simon (speaker) (19-10-2016): Approximating Expected Shortfall for Heavy Tailed Distributions, Rijksuniversiteit Groningen.
  • Broda, Simon (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.
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