Interim Report for the Quality Assessment of Research



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1. Leadership
Programme coordinator: Prof.dr. A. Lucas
2. Strategy and Policy
Over the period 2001-2004 the group has gained momentum in three areas: risk management (in particular credit risk) and banking, market microstructure, and corporate finance.

In line with the development of the new international regulatory framework known as Basle II, a team of researchers from our group (professors Lucas, Siegmann, Kraeussl, van der Nat, Klaassen, Dert, Boender, Rijken, Hamelink, researchers Molenkamp and Peeters, and PhD students Monteiro and Konijn) has consolidated on studying issues in risk management, in particular credit risk and credit ratings. This is a topical subject in the contemporary literature that has led and is still leading to a number of publications in major international journals. Contributions pertain to credit scoring methodologies, modeling of systematic credit risk components, the determination of ratings, the allocation of portfolios under risk constraints, economic incentives induced by the new regulatory framework, and portfolio allocation under downside-risk preferences, as well as some methodological and theoretical developments on the modeling of financial time series and the optimization of large asset liability portfolios.


The area of market microstructure research is rapidly gaining importance in the international literature. Researchers from the department (professors Menkveld and Lucas, and PhD students van der Wel and de Wit) are contributing to this area. Professor Menkveld has widespread international contacts with top level researchers in this field as well as contacts with the international exchanges for data provision. The group’s research includes issues in information revelation and liquidity in stock and bond markets. New methodology is developed using state space models for studying prices. The methodology is flexible enough to allow for multiple listings in multiple markets and time zones. Apart from its empirical component, research in this field also actively contributes to economic theory development and testing.
The research group collaborates in these areas at other renowned academic institutions. There is also a very effective cooperation with the Department of Econometrics, in particular Professor Koopman. This cooperation will be continued over the coming years.
In corporate finance, the main focus has been on value creation, security issuance, and corporate risk management. The research team in this field (professors Rijken, Koeter-Kant, van der Nat, Dorsman, Eijgenhuijsen, Keuleneer, Buckley) has mainly gained momentum near the end of the evaluation period and prime academic publications are mainly expected after 2005/2006. Also the department’s newest (Sep05) recruitment at the assistant professor level (dr. Calcagno) is contributing to the corporate finance group. Though much research has been devoted recently to risk management issues in banking under the changing regulatory framework, equally important developments are taking place at the corporate level given new accounting standards (IFRS), new markets for risks (energy and electricity risk, wheather risk), and changing lending conditions induced by Basel II. The research group investigates the consequences of these issues for corporate risk management and shareholder value creation. In addition, the choice of security types for financing and the influence of banking relationships for corporate lending are investigated. The latter line of research is mainly empirically driven.
A fourth part of the programme (professors Bakker, Berk, van Eerden, Penas, and PhD student Anglingkusumo), have contributed to the area of monetary economics and banking. This has led to a number of contributions in prime journals and books, as well as to a PhD thesis (2005). This part of the programme, however, has suffered from the departure of some of its members (Berk, Penas, Anglingkusumo, and employment factor reduction of van Eerden). Professor Bakker, however, continues to contribute actively in this area.
The department and faculty have actively tried to further stimulate research by allowing sabbatical research leaves to dr. Rijken (NYU, 2003/2004) and dr. Menkveld (NYU, 2004/2005). Also in terms of recruitment, the department has developed more and more to a mature balance between full time research/teaching staff, and part-time staff. The number of full-time staff has increased the last four years. All full timers are hired on their potential to contribute substantially to the department’s academic research programme.

3. Academic Reputation
Professor Dorsman is member of the editorial board of Accounting since 2003, and the MAB since 2003. Professor Lucas is member of the editorial board of the Journal of Asset Management since 2000, and Statistica Neerlandica since 2001. Professor van der Nat is member of the editorial board of Tijdschrift Financieel Management, and Treasury Affairs since 2004. Professor Dert is member of the Journal of Asset Management since 2000, and of the VBA Journaal since 2001. Professor Steenkamp is associate editor of the Journal of Asset Management since 2000.
In 2003, dr. Siegmann received a VENI grant from N.W.O. In 2004, dr. Menkveld received a VENI grant from N.W.O. In 2004 Dr. Menkveld received a grand of €59,000 from the London Stock exchange (with Thierry Foucault from HEC) and €20,000 from NYSE. In 2004 Dr. Siegmann and professor Lucas received a research grant Sfr.10,000 from Inquire Europe. In 2004, Dr. Rijken received a grant from Moody’s ($20,000) together with Altman for their credit risk research. In 2003 dr. Menkveld was awarded a Lamfalussy fellowship of €10,000, issued by the European Central Bank (ECB) with his research proposal 'Substitutability, Fragmentation, and Price Discovery in the European Government Bond Market: En Empirical based on EuroMTS Data'.
At the Eastern Finance Association 2003, dr. Menkveld’s paper received the outstanding paper award ($1,000). In 2001 he received the Josseph de la Vega Prize (€8,000) from the Federation of European Exchanges, an annual award for "outstanding research on securities markets in Europe".
Since 2003, professor Lucas is member of the European Academic Council on credit risk research of Standard and Poors. Since 2004, dr. Menkveld is a permanent member of the academic board of the Autorité des Marchés Financiers (“French SEC”). Since 2001, professor Dorsman and Dr Rijken have been member of the (board of) FINEM, a Dutch study group for CFOs of small-caps and mid-caps. Professor Lucas is research fellow of the Tinbergen Institute and senior research fellow of Netspar, the Dutch institute for pension fund research. Dr. Hamelink is research fellow of the Tinbergen Institute. Dr. Siegmann is junior research fellows of the Tinbergen Institute. Dr. Kraeussl is a research fellow of the Center for Financial Studies, Germany. Since 1999, professor Lucas has been member of the board of the NAKE, the national network for PhD courses in Economics and Econometrics.
During the academic year 2002/2003, Dr. Rijken has spent a research sabbatical at NYU, Stern school of business, collaborating with prof. Altman on credit risk research. During the academic year 2004/2005, dr. Menkveld has spent a research sabbatical at NYU as an invited scholar on microstructure research.
The international connections of the group are reflected by the close cooperation with colleagues from NYU (Stern Business School), Tsinghua University, HEC, Hong Kong University of Science and Technology, Federal Reserve, Cambridge University, London School of Economics, Imperial College London, University of Geneva, and Cranfield Business School, as well as professional parties in the industry at the national and international level.
4. Research Staff


Name and present title




2001

2002

2003

2004

Full Professors

Prof.dr. C.G.E. Boender

0.27

0.27

0.00

0.00




Prof.dr. A.F.P. Bakker

0.00

0.00

0.00

0.00




Prof.dr. B. Compaijen

0.09

0.09

0.09

0.09




Prof.dr. A.B. Dorsman

0.16

0.16

0.16

0.15




Prof.dr. H.G. Eijgenhuijsen

-

-

0.08

0.07




Prof.dr. J.M.G. Frijns

0.00

0.00

0.00

0.00




Prof.dr. A. Lucas

0.60

0.60

0.54

0.51




Prof.dr. M. van der Nat

0.06

0.06

0.00

0.00




Prof.dr. T.B.M. Steenkamp

-

-

0.00

0.00

Associate professors

Dr. F. Hamelink

0.09

0.09

0.18

0.17

Assistant professors

Dr.ir. H.A. Rijken

0.18

0.18

0.18

0.43




Drs. L.A. van Eerden

0.12

0.36

0.09

0.09




Dr. J. Koeter-Kant




-

-

0.40




Dr. R.G.W. Kräussl




-

-

0.34




Dr. A.J. Menkveld

-

0.27

0.54

0.51

Total tenured staff




1.57

2.08

1.86

2.76

Non tenured staff

Prof.dr. C.L. Gilbert

0.27

0.27

0.16

-




Dr. J.M. Berk

0.00

0.00

0.00

0.00




Prof.dr. A.A. Buckley




-

-

-




Prof.dr. C.L. Dert

-

-

0.20

0.15




Prof. L. Keuleneer

0.00

0.00

0.00

0.00




Dr. P. Klaassen

0.20

0.20

0.18

-




Drs. J.B. Molenkamp




-

0.00

0.20




Dr. M.F. Penas




0.00

0.18

-




Dr. A. Plantinga




-

0.00

0.00




Dr. S.T.M. Straetmans

1.00

-

-

-




Dr. B.A.S. Peeters




-

0.00

0.20

PhD students



















Drs. R. Anglinkusumo

0.70

0.70

0.70

0.47




Drs. S. Go

-

-

0.49

0.49




Drs. S.J.J. Konijn




-

0.23


0.70




A. Monteiro




0.18

0.70

0.70




Drs. M. Ruderman

-

0.23

0.53

-




Drs. A.H. Siegmann

0.70

0.53

0.27

0.80




Drs. M. van der Wel

-

-

-

0.23

Total non tenured staff




2.87

2.11

3.64

3.94

Total research staff




4.44

4.19

5.50

6.70

5. Resources, funding and facilities
Funding at programme level


Funding

2001

2002

2003

2004

Direct funding fte’s

77%

71%

67%

68%

Research funds

0%

0%

5%

12%

Contracts

23%

29%

28%

20%

Other

0%

0%

0%

0%

total

100%

100%

100%

100%


6. Overview of the Results
Programme results: Outcome numbers








2001

2002

2003

2004

Total

1. Academic Publications



















In Journals


A

B

Other

1

5

14



3

2

12



1

1

14



1

2

4



6

10

44



Book Chapters

B

Other

1

2


1

6


-

2


-

1


2

11


Total




23

24

18

8

73

2. Books / Monographs

A

B

Other

1

-

1



-

-

-



-

1

4



-

-

-



1

1

5



3. Ph.D. Thesis




-

1

1

-

2

4. Professional Publications and Products




21

29

40

19

109



Key Publications
1. Altman E.I. & Rijken, H.A. (2004). How rating agencies achieve rating stability, Journal of Banking and Finance, 28(11), 2679-2714.

2. Berkelaar, A.B., Dert, C.L., Oldenkamp, B. & Zhang, S. (2002). A Primal Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Lineair Programmeming. Operations Research, 50(5).

3. Lucas, A., Dijk, R. van & Kloek, T. (2002). Stock Selection, Style Rotation. Journal of Empirical Finance, 9(1), 1-34.

4. Lucas, A. (2001). An Evaluation of the Basle Guidelines for Backtesting Banks' Internal Risk Management Models. Journal of Money, Credit and Banking, 33(3), 826-846.

5. Berk, J.M. & Knot, K. (2001). Testing for long horizon UIP using PPP-Based Exchange Rate Expectations. Journal of Banking and Finance, 25(2), 377-391.
2001:
Academic Publications
In Journals
Bakker, A.F.P. & Roovers, M. (2001). Estrategias para la introduccion del Euro en la perspectiva de los paises miembros de la comunidad europea. Banco Central del Ecuador, Cuestiones Economicas, 17(2:3), 65-108.

Berk, J.M. & Bergeijk, P. van (2001). European Monetary Union, the term structure and the Lucas Critique. Kyklos, 54(4), 547-557.

Berk, J.M. & Bergeijk, P. van (2001). On the information content of the yield curve: lessons for the Eurosystem? Kredit und Kapital, 34(1), 28-47.

Berk, J.M. & Knot, K. (2001). Testing for long horizon UIP using PPP-Based Exchange Rate Expectations. Journal of Banking and Finance, 25(2), 377-391.

Berk, J.M. & Knot, K. (2001). The term structure of UIP: Evidence from survey data. Applied Economics Letters, 8(8), 459-462.

Boender, C.G.E., Kramer, B., Steehouwer, H. & Steenkamp, T.B.M. (2001). Indexleningen bij pensioenfondsen. VBA Journaal, 17(1), 4-8.

Buckley, A. & Dorsman, A.B. (2001). The Amsterdam Stock Exchange in 1998: how the supervisory authorities turned a problem into a crises. European Management Journal, 19(3), 286-290.

Dorsman, A.B., Montfort, C.A.G.M. van & Vink, I. (2001). An augmented Lintner dividend model tested with data from the Netherlands. International Journal of Management, 18(2), 221-231.

Gilbert, C.L., Irwin, G. & Vines, D. (2001). Capital account convertibility, poor developing countries and international financial architectrure. Development Policy Review, 19, 121-141.

Gilbert, C.L. & Qin, D. (2001). The error term in econometrics. Econometric Theory, 17, 424-450.

Gilbert, C.L. (2001). The Dappled World: A Study of the Boundaries of Science [Bespreking van: Cartwright, N., The Dappled World: A Study of the Boundaries of Science Uitg.: Cambridge University Press, Cambridge (1999)]. In: Economic Journal, 111, 139-141.

Hamelink, F. (2001). Nonlinear analysis for forecasting currencies: are they useful tot the portfolio manager? The European Journal of Finance, 7, 335-355.

Keuleneer, L. (2001). Opties voor een optimaal financieel beleid. Tijdschrift Financieel Management, 1/2, 9-20.

Lucas, A. (2001). An Evaluation of the Basle Guidelines for Backtesting Banks' Internal Risk Management Models. Journal of Money, Credit and Banking, 33(3), 826-846.

Lucas, A., Spreij, P.J.C. & Straetmans, S.T.M. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios. Journal of Banking & Finance, 25(9), 1635-1664.

Nat, M. van der (2001). Maatschappelijk ondernemen (redactioneel). Tijdschrift Financieel Management, 21(jan/feb), 3.

Nat, M. van der (2001). New Duration techniques. Risk, 14(july), S18-S21.

Plantinga, A. & Huijgen, C. (2001). Performance measurement and insurance liabilities. Journal of Portfolio Management, 27(3), 105-115.

Rijken, H.A. & Claes, P.C.M. (2001). Het meten van waardecreatie: verandering van de mindset is belangrijk, niet de exacte berekening. Tijdschrift voor Bedrijfsadministratie, september, 260-267.

Rijken, H.A., Voort, L.P.F. van de & Rutgers, T.C.V. (2001). Tracking stocks hebben nog geen track record. Tijdschrift voor Financieel Management, 3/4, 51-63.



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