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FP7 Marie Curie Initial Training Network
Risk Management and Risk Reporting
1. Early stage researcher / PhD placement
Project title: Tail Risk Measure and Portfolio Diversification
2. Early Stage Researcher / PhD placement
Project Title: Fragility Index for Systemic Risk
3. Experienced Researcher / Postdoc position
Project Title: Multivariate EVT Model
For more detailed information on these 3 available positions, please look further down this page.
To Apply: Applicants are requested to send the following documents to
professor Casper de Vries:
To Apply: Applicants are requested to send the following documents to
professor Casper de Vries:
· Curriculum Vitae
· Scanned copies of academic transcripts and degree certificates
· Proof of English proficiency (E.g. IELTS, TOEFL)
· Letter of motivation, including aptitude for pursuance of the programme
· Two letters of recommendation from professors
· Results of the GRE test
Project Title: Tail Risk Measure and Portfolio Diversification
Position: Early Stage Researcher / PhD Placement
Project Description: Risk attitudes critically affect portfolio diversification strategies for investors concerned with downside risk who use behavioral risk measures such as the zero-th lower partial moment, the VaR measures and expected shortfall for portfolio optimisation. We conjecture that the speed of portfolio diversification is faster when the returns are heavy tailed than when these are Gaussian. This research aims to test this hypothesis empirically, and to develop and evaluate portfolio construction tools that optimize expected return against the tail risk measures for a broad spectrum of securities. In particular, we are interested in extensions to derivates and credit instruments that have different tail properties.
Proposed Start Date: December 2009 or later (subject to finalisation of the contract)
Position Availability: One 36-month PhD placement
Duration: 36 months
Financial Information: Salary plus allowances in line with Marie Curie FP7 requirements for ESRs.
Host Institution: Erasmus University Rotterdam, Duisenberg School of Finance
Project Advisor: Professor dr Casper de Vries
Project Partners: Manchester Business School, MSCI Barra, Duisenberg school of finance, Zurich Insurance.
Secondment: 4-month secondment to Manchester Business School
Eligibility: Nationals or residents of The Netherlands cannot apply. At the time of the appointment, applicants should have no more than 4 years experience (FTE) after graduation and should not have resided in the host country for more than 12 months in the last 3 years immediately before appointment.
Project Title: Fragility Index for Systemic Risk
Position: Early Stage Researcher / PhD Placement
Project Description: The interdependence between financial institutions derives from their mutual exposures to each other’s balance sheets, making them vulnerable to systemic risk. To model exposure to such risk, we propose to develop a theory of weighted sums of random variables in the tail area. The research objective is to design a fragility index for systemic stability and use it to study the qualitative differences between varieties of financial networks and financial products. This ESR will visit DBB on secondment for 4 months.
Proposed Start Date: December 2009 or later (subject to finalisation of the contract)
Position Availability: One 36-month PhD placement
Duration: 36 months
Financial Information: Salary plus allowances in line with Marie Curie FP7 requirements for ESRs.
Host Institution: Erasmus University Rotterdam, Duisenberg school of finance
Project Advisor: Professor dr Casper de Vries
Project Partners: Manchester Business School, MSCI Barra, Duisenberg school of finance, Deutsche Bundesbank.
Secondment: 4-month secondment to Deutsche Bundesbank or Manchester Business School (subject to confirmation).
Eligibility: Nationals or residents of The Netherlands cannot apply. At the time of the appointment, applicants should have no more than 4 years experience (FTE) after graduation and should not have resided in the host country for more than 12 months in the last 3 years immediately before appointment.
Project Title: Multivariate EVT Model
Project Description: The proposal concerns the use of conditional multivariate extreme value theory (MEVT) to measure the impact of exogenous factors on the banking system based on the limiting conditional probability that a certain percentage of banks are at risk and given that an exogenous factor is stressed. Alternative measures will also be conbsidered.
Proposed Start Date: December 2009 or later (subject to finalisation of the contract)
Position Availability: One 24-month Experienced Researcher
Duration: 24 months
Financial Information: Salary plus allowances in line with Marie Curie FP7 requirements for ESRs.
Host Institution: Erasmus University Rotterdam, Duisenberg school of finance
Project Advisor: Professor dr Casper de Vries
Project Partners: Manchester Business School, MSCI Barra, Duisenberg school of finance, Deutsche Bundesbank.
Secondment: 4-month secondment to Deutsche Bundesbank or Manchester Business School (subject to confirmation).
Eligibility: Nationals or residents of The Netherlands cannot apply. At the time of the appointment, applicants should have no more than 4 years experience (FTE) after graduation and should not have resided in the host country for more than 12 months in the last 3 years immediately before appointment.
