Please see the overview below for news related to the Risk and Macro Finance research focal area.
The paper 'Consumption and portfolio choice under loss aversion and endogenous updating of the reference level’ co-authored by ACRM Co-Director Prof. Roger Laeven is forthcoming in Management Science. The paper can be downloaded at www.rogerlaeven.nl.
The paper 'Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model’ co-authored by ACRM Co-Director Prof. Roger Laeven will be published in the upcoming edition of the Journal of Econometrics. This paper can be downloaded at www.rogerlaeven.com.
ACRM co-director Roger Laeven has been re-appointed to a second mandate as selected Academic Member of the IRSG Advisory Board of the European Insurance and Occupational Pensions Authority (EIOPA).
ACRM co-director Enrico Perotti and co-authors have been awarded the 2018 Oliver E. Williamson Prize for the best article published in the Journal of Law, Economics & Organization in 2017. In their study they explain the historical emergence of the corporate form in the 17th century in the Dutch Republic and contrast it with similar developments in England.
The paper 'Testing for Self-Excitation in Jumps' by H. Peter Boswijk, Roger J. A. Laeven, and Xiye Yang was accepted for publication in the Journal of Econometrics.
The University of Amsterdam and the Florence School of Banking and Finance are offering a new two-day course which focuses on financial and prudential aspects of the shadow banking sector, with some attention to its legal underpinnings.
Roger Laeven has been appointed as Editor of the academic journal 'Insurance: Mathematics and Economics'.
Enrico Perotti, professor of International Finance at the Amsterdam Business School (ABS), published an article in the Financial Times on 10 July. The article describes how a diverse monetary union creates benefits and costs for core and periphery countries.
The paper 'Optimal Stopping under Uncertainty in Drift and Jump Intensity' co-authored by ACRM Co-Director Prof. Roger Laeven has been accepted for publication in Mathematics of Operations Research. This paper can be downloaded at www.rogerlaeven.com.
The Dutch Association of Insurers has awarded a sponsorship to Prof. Roger J. A. Laeven to support research related to Risk and Regulation.
The paper 'Estimation of the continuous and discontinuous leverage effects' co-authored by ACRM co-director Roger J. A. Laeven is forthcoming in the Journal of the American Statistical Assocation. The paper can be downloaded at www.rogerlaeven.com.
Prof. Sweder van Wijnbergen and ACRM junior fellow Stephanie Chan won the International Finance and Banking Society (IFABS) 2016 Barcelona Best Conference Paper Award for their ACRM working paper “Cocos, Contagion and Systemic Risk” and the Best Paper Prize at the European Capital Markets Institute (ECMI) Annual Conference 2016 for the ACRM working paper “CoCo Design, Risk-Shifting Incentives and Financial Fragility”.
The European Insurance and Occupational Pensions Authority (EIOPA) has nominated Prof. Roger Laeven for appointment to its Insurance and Reinsurance Stakeholder Group (IRSG) advisory body.
ACRM co-director Prof. Roger Laeven ( www.rogerlaeven.com) has been nominated for the New Scientist Science Talent 2015 for most promising researcher across all disciplines in The Netherlands and Belgium under age 40. The decisions in the first few selection rounds were based on academic jury judgments. The decision in the current last round which features 25 candidates from The Netherlands and Belgium will be based on a jury report (50%) and a public vote (50%).
The Amsterdam Center of Excellence in Risk and Macro Finance (ACRM) has contributed to the Dutch Science Agenda (Nationale Wetenschapsagenda with the question above. Read more about this research (in Dutch) at the link below.
The paper 'Asymptotically distribution-free goodness-of-fit testing for tail copulas' by S. Umut Can, John H. J. Einmahl, Estate V. Khmaladze and ACRM co-director Roger J. A. Laeven will soon be published in the Annals of Statistics. The paper can be downloaded at www.rogerlaeven.com.
In his Camdessus Lecture at the IMF on May 14, 2015, Mario Draghi, president of the ECB, used the research published by ACRM co-director Sweder van Wijnbergen and ACRM junior Risk and Macro Finance fellow Timotej Homar.
The paper 'Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level' by Servaas van Bilsen (Tilburg University), Roger J. A. Laeven (UvA) and Theo E. Nijman (Tilburg University) was recently awarded the Australian Securities Exchange (ASX) Prize for the best quantitative finance paper at the Australasian Banking and Finance Conference 2014.
Prof. Enrico Perotti (ABS Finance section) has received a prestigious appointment from the European Central Bank (ECB).
Van Wijnbergen and Chen at the University of Amsterdam's Center of Excellence in Risk and Macro Finance warn against the risk of contingent capital with a writedown feature. Read the article 'CoCo Reliance Soars as Nordic Banks Flock to Riskiest Bonds' on www.bloomberg.com.
The paper 'Modeling Financial Contagion Using Mutually Exciting Jump Processes' by Yacine Aït-Sahalia, Julio A. Cacho-Diaz and Roger J. A. Laeven will soon be published in the Journal of Financial Economics. The paper can be downloaded at www.rogerlaeven.com.
The paper Mutual Excitation in Eurozone Sovereign CDS by Yacine Aït-Sahalia, Loriana Pelizzon and Roger J. A. Laeven was accepted for publication in the Journal of Econometrics.
Enrico Perotti and Viral Acharya (NYU) organize the second CEPR / Macro Finance Risk Center joint workshop on Micro Foundations for Macro Finance at the University of Amsterdam on 23-24 August, 2014, featuring top speakers from the US and Europe.
The paper Robust Portfolio Choice and Indifference Valuation by Roger J. A. Laeven and Mitja Stadje is will be published in the next issue of Mathematics of Operations Research. The extended online version of this paper is available at www.rogerlaeven.com.