NWO awards Vidi funding to research fellow Anne Opschoor
Research fellow Anne Opschoor, Associate Professor at the Department of Finance at Vrije Universiteit Amsterdam has been awarded €800,000 in Vidi funding by the Dutch Research Council (NWO) for his research project 'Heterogeneity in extreme risks in high dimensions'.
With the help of the Vidi funding, financial econometrician Anne Opschoor wants to develop new models that take into account the different risk responses of companies and countries to major events. In the event of a sudden and rare crisis, like the banking crisis or COVID-19, companies or countries can collectively suffer large losses. This is called tail risk. The effect of such an event on different countries and industries can vary. Current statistical models are unable to properly describe these differences.
Different effects of a crisis
"The coronavirus crisis has very different consequences for KLM and ING, for example. The financial problems are much bigger for airlines like KLM, while ING is less affected at the moment," Opschoor explains. "The current models do not take the different effects of one event into account. And if another event occurs, a banking crisis, for example, the consequences can again be completely different for both companies."
"COVID-19 shows us that risks can change over time," Opschoor explains. "Unfortunately, crises will keep occurring. I can't predict what it will be, but new models will hopefully assist companies and agencies to better prepare by building careful risk buffers."
Impact on society
Such risk assessment is important because major crises do not just affect a specific company, but society as a whole. "Think of the banking crisis of 2007. Because, among other things, tail risks were misjudged, the crisis spread beyond banks but affected many facets of society." Therefore, Opschoor hopes that his research will not only serve the scientific community but can also interest institutions and governments.
With the Vidi grant, Opschoor will put together a team with two PhD students to work on this research. “The allocation of the Vidi is a great personal motivation and gives me the time to work on this research. I hope to pass on my enthusiasm to my team and together we’ll be able to take our research to the public.”
Vidi is aimed at experienced researchers who have carried out successful research for a number of years after obtaining their PhD. Together with the Veni and Vici grants, Vidi is part of the NWO talent programme. Find an overview of all Vidi laureates 2020 here.
Anne Opschoor is a Tinbergen Institute alumnus and obtained his PhD at the Econometric Institute at Erasmus University Rotterdam in February 2014 under the supervision of research fellows Dick van Dijk and Michel van der Wel. He holds a master's degree in financial econometrics with honors from Erasmus University Rotterdam.