Dr J.J.A.G. Driessen (1974) has been appointed Professor of Financial Derivatives in the Faculty of Economics and Business at the University of Amsterdam (UvA).
In his position as Professor, Joost Driessen will focus on the quantitative analysis of the valuation and risk of financial derivatives. The recent problems in the market for derivatives based on subprime mortgages (mortgages held by people with high credit risk) have once more demonstrated that misuse of financial derivatives can threaten the stability of financial markets. By employing a statistical-mathematical approach to these problems, Driessen's research contributes to a better understanding of the risks entailed by these complex financial instruments. As part of this research, Driessen will also focus on the influence of liquidity risk on the valuation of derivatives. Additionally, he will continue with his previous research on investment portfolios, the performance and risk of private equity funds, and the measurement of credit risk.
Driessen obtained his PhD from the University of Tilburg in 2001 with a thesis about the term structure of interest rates and interest rate derivatives. Driessen has worked at the UvA since 2001, first as a assistant professor and then from 2005 onwards as associate professor in Finance. In addition, he is a senior researcher at Netspar. Driessen is also a research fellow at the Tinbergen Institute. He received a Veni grant from the NWO in 2003 for research on credit risk and credit derivatives.