Roger J. A. Laeven

Full Professor, Chair of Risk and Insurance, at the Amsterdam School of Economics, Department of Quantitative Economics, and professor by courtesy at the Amsterdam Business School, Department of Finance, University of Amsterdam.

Director and Co-Founder of ACRM.
Editor of Insurance: Mathematics and Economics.
Academic Member of the Advisory Board IRSG of EIOPA.
Professor of Quantitative Risk Management Katholieke Universiteit Leuven.

NEWS

Our modeling financial contagion paper is shortlisted as most cited (#4) in the Journal of Financial Economics.

My PhD student Merrick Zhen Li takes up a postdoctoral position at Cambridge University.

Appointed to a second mandate as Academic Member of the Advisory Board IRSG of EIOPA.

Our paper on testing for self-excitation is forthcoming in the Journal of Econometrics.

Our paper on robust optimal stopping is forthcoming in Mathematics of Operations Research.

Appointed Editor of Insurance: Mathematics and Economics.

Our paper on continuous and discontinuous leverage is forthcoming in the Journal of the American Statistical Association.




Photo Credit: Dingena Mol

DETAILED Contact INFORMATION

Prof. dr. Roger J. A. Laeven 
University of Amsterdam, Economics and Business
Amsterdam School of Economics, Department of Quantitative Economics 
Email: R.J.A.Laeven "AT" uva.nl
Webpage (this page): http://www.rogerlaeven.nl/

Visiting Address:

Roetersstraat 11
1018 WB Amsterdam, The Netherlands
Room:
  E 4.23
Map:
 https://goo.gl/RS4bhR
Phone (O):  +31 20 525 4219 
Phone (S): +31 20 525 4252

Postal Address:

PO Box 15867
1001 NJ Amsterdam, The Netherlands

I am visiting Princeton University from January to August 2007, November to December 2007, April to May 2008, in April 2009, February 2010, November 2010, January 2011, August 2011, October 2011, January 2012, August 2012, October 2012, February 2013, May 2013, August 2013, August 2014, August 2015, April 2016, April 2017 and April 2018:

Address:

Princeton University  
Bendheim Center for Finance  
Julis Romo Rabinowitz Building
Princeton NJ, 08544, United States
 

Risk and Macro Finance Center


FINANCIAL
CONTAGION


[1.] Modeling Financial Contagion
(incl. 'ACL Contagion Model')
JFE
[2.] Eurozone Mutual Excitation
JE
[3.] Continuous and Discontinuous Leverage
JASA
[4.] Testing for Self-Excitation
JE

CATASTROPHIC
RISK


[1.] Tail Copulas
 AoS
[2.] EU and Cat Risk
 IME

[3.] Pareto Utility
 TD

ROBUST RISK
MEASURES


[1.] Entropy Convex Risk Measures
(incl. 'Laeven-Stadje Theorem')
MOR
[2.] Robust Return Risk Measures
  MAFE
[3.] Robust Portfolio Choice
MOR
[4.] Robust Risk Sharing
IME
[5.] Robust Optimal Stopping
MOR