Working Papers

Modeling Frailty-correlated Default Using Many Macroeconomic Covariates, 2008, joint with Siem Jan Koopman and Andre Lucas, (TI DP) (most recent version)

Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 Credit Crisis , 2010, joint with Siem Jan Koopman and Andre Lucas, (TI DP) (most recent version)

Mixed Measurement Dynamic Factor Models, 2010, joint with Drew Creal, Andre Lucas, and Siem Jan Koopman, (most recent version)

A Diagnostic Framework for Financial Systemic Risk Assessment , joint with Andre Lucas, and Siem Jan Koopman, (most recent version)

Presentations

Modeling Frailty-correlated Default Using Many Macroeconomic Covariates

Utrecht University, NAKE-Day 2007, 26th October 2007.

VU University Amsterdam, Finance@VU seminar series, 1st February 2008.

Workshop Stress Testing of Credit Portfolios, organized by the Bank of International Settlements (BIS) and
Dutch National Bank (DNB), Amsterdam 7th March 2008.

Tinbergen Institute Lunch Seminar Series, Amsterdam 15th April 2008.

Econometric Society Europen Meeting, Milan, 30th August 2008.

Factor Structures for Panel and Multivariate Time Series Data, Maastricht, 20th September 2008 (A0 poster, pdf)---

International Conference for Price, Liquidity, and Credit Risks, Konstanz University, 2-4th October 2008.

11th Symposium on Finance, Banking, and Insurance, Karlsruhe University, on 17-19th December 2008.

International Business, Economics, and Finance Association (IBEFA) Meeting 2009, ASSA session series, San Franscisco, 3-5th January 2009.

C.R.E.D.I.T conference 2010, Venice, Italy, 30 Sep -2 Oct 2010.


Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 Credit Crisis

Utrecht University, NAKE-Day 2008, 24th October 2008.

VU University Amsterdam, Finance@VU seminar series, 6th March 2009.

"Recent Developments in Financial Econmetrics", Humboldt University Berlin, 20-21st March 2009.

Tinbergen Institute Lunch Seminar Series, Erasmus Universiteit Rotterdam, 11th June 2009.

Netherlands Econometrics Study Group (NESG) Meeting, Universiteit van Amsterdam, 12th June 2009.

"Credit Risk, Financial Crises, and the Macroeconomy" conference in Venice, Italy, 24-25th Sept 2009.

German Finance Association 2009 meeting in Frankfurt, Germany, 08-09th Oct 2009.

SoFiE "Credit Risk, Liquidity, and Extreme Events" conference, University of Chicago, 30th Oct 2009.

Federal Reserve Bank Atlanta, "Day ahead" conference, Atlanta, USA, 2nd Jan 2010.

European Central Bank, Frankfurt, Germany, 18 Jan 2010.

Groningen University (RUG), Groningen, The Netherlands, 25 Jan 2010.

European Business School (EBS), Ostrich-Winkel, Germany, 2 Feb 2010.

Swedish National Bank (Riksbank), Stockholm, 16 Feb 2010.

16th International Panel Data Conference, Universiteit van Amsterdam, Amsterdam, 2-4 Jul 2010.

AFA American Finance Association 2011 meeting, Denver, 8th Jan 2011.


Mixed Measurement Dynamic Factor Models

Tinbergen Institute PhD Lunch Seminar, Amsterdam, 25th November 2008.

University of Chicago Booth, Statistics and Econometrics Colloquium, Chicago, 5th November 2009.

Finance-at-VU seminar series, Amsterdam, 18th December 2009.

CREATES, Aarhus University, Denmark, 25th February 2010.

Tinbergen Institute Econometrics Seminar Series, Amsterdam, 19th March 2010.

Bonn-Amsterdam Workshop in Econometrics, VU University Amsterdam, 9th April 2010.

16th International Panel Data Conference, Universiteit van Amsterdam, Amsterdam, 2-4 Jul 2010.

AFA American Finance Association 2011 meeting, Denver, 9th Jan 2011.


A Diagnostic Framework for Financial Systemic Risk Assessment