Interim Report for the Quality Assessment of Research



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Berg, F.W. van den (21-07-2003). Zonder technologie is er geen welvaart. Het Financieele Dagblad.

Dorsman, A.B. (07-01-2003). Aandeelhouders slecht af met voorstel Faas. Het Financieele Dagblad.

Dorsman, A.B. (07-01-2003). Beleggers kunnen beter niet ingaan op bod Getronics. Het Financieele Dagblad.

Dorsman, A.B. (15-12-2003). Hoe ondernemingen hun energierisico kunnen beheersen. Het Financieele Dagblad, pp. 15-17.


2004:
Academic Publications
In Journals
Abadir, K.M. & Lucas, A. (2004). A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model. Journal of Econometrics, 119(1), 45-71.

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

Bogaerts, B., Halsema, A.N., Lucas, A. & Wit, E. (2004). Visualisaties van financiele risico's: Voorstellen voor een kwantitatieve risico-indicator getoetst. MAB: Maandblad voor Accountancy en Bedrijfseconomie, juli/aug, 367-374.

Franses, P.H., Dijk, D. van & Lucas, A. (2004). Short patches of outliers, ARCH and volatility modeling. Applied Financial Economics, 14(4), 221-232.

Molenkamp, J.B. (2004). Risk allocation under shortfall constraints. Journal of Portfolio Management, 30(2), 46-52.

Molenkamp, J.B. & Zweekhorst, C. (2004). Z-scores bedrijfstakpensioenfondsen 1999-2003 geanalyseerd: Pensioenfondsen scoren in de tweede 5-jaars z-toets aanzienlijk beter. Een kritische analyse. VBA Journaal, zomer(2), 37-41.

Siegmann, A.H. (2004). Comment on Hovanov, Kolari and Sokolov: A stable currency numeraire? Journal of Economic Dynamics and Control, 28(8), 1505-1510.
Book Chapters
Kraussl, R.G.W. (2004). The impact of sovereign rating changes during emerging market crises. In Frenkel, M., Karmann, A. & Scholtens, B. (Ed.), Sovereign risk and financial crises. Berlin: Springer.
Professional Publications
Berg, F.W. van den (2004). Long-term capital management: Collapse of a Hedge Fund. Fiducie, December.

Dorsman, A.B. & Robinson, M. (2004). Summary book CFA level 1. Den Haag: Reed Business, 190 pp.

Dorsman, A.B. (2004). Corporate Finance. In Dorsman, A.B. & Robinson, M. (Ed.), Summary book CFA level 1 (pp. 109-121). Den Haag: Reed Business Information.

Dorsman, A.B. (2004). Debt investments. In Dorsman, A.B. & Robinson, M. (Ed.), Summary book CFA level 1 (pp. 150-162). Den Haag: Reed Business Information.

Dorsman, A.B. (2004). Derivative investments. In Dorsman, A.B. & Robinson, M. (Ed.), Summary book CFA level 1 (pp. 165-175). Den Haag: Reed Business Information.

Ho, Q.V. & Bakker, A.F.P. (2004). Is meer tijd intensief toezicht op hedge funds nodig? Fiducie, 13(2), 58-61.

Kraussl, R.G.W. (2004). Sovereign rating changes and their impact on recent financial crises in emerging market. Treasury Affairs, 1(2), 34-42.

Nat, M. van der (2004). Corporaties klaar voor nieuwe bankiersaffaire. ESB, 89(oktober), 518-520.

Nat, M. van der (2004). Zuid-Hollandse bankiersaffaire: Woningbouwcorporaties klaar voor herhaling. Controllers Magazine, december, 42-44.

Nat, M. van der (2004). Handboek Treasury Management. Deventer: Kluwer.

Oosterloo, S. & Schoenmaker, D. (2004). A lead supervisor model for Europe. The Financial Regulator, 9(3), 34-42.

Rijken, H.A. & Dorsman, A.B. (2004). Are smallcaps undervalued? Fiducie, 12(2), 30-36.

Rijken, H.A. (2004). Beschermingsconstructies: De netto balans voor de aandeelhouder. Accounting, november.

Rijken, H.A. (2004). Risicomanagement is niet nieuw, de expliciete en gecoördineerde aanpak wel. Accounting, 108, mei.

Rijken, H.A. (2004). Stabiele of tijdige kredietratings? Accounting, 108(1/2), 3-11.

Rooij, M.C.J. van, Siegmann, A.H. & Vlaar, P.J.G. (2004). PALMNET: Een Pensioen Asset en Liability Model voor Nederland. WO Research Memoranda (Ext. r. no. 760). Amsterdam: DNB, -- pp.

Schoenmaker, D. & Oosterloo, S. (2004). Financial supervision in an integrating Europe: Measuring cross-border externalities. FMG Special Paper (Ext. r. no. 156). London: LSE Financial Markets Group, -- pp.

Siegmann, A.H. (2004). Optimal investment for defined benefit pension funds. DNB Staff Report (Ext. r. no. 112). Amsterdam: De Nederlandse Bank, -- pp.

Sluis, P.J. van der, Bikker, J.A. & Spierdijk, L. (2004). The implementation shortfall of institutional equity trades. VU Research Memorandum (Int. r. no. 2004/9). Financiering & Bedrijfskunde van de Financiële Sector (FBFS), 35 pp.
Editorship
Andre Dorsman:

Editor of Accounting. (2003-)

Editor of MAB. (2003-).
Theo van der Nat:

Editor of Treasury Affairs. (2004-).

Member editorial board of Tijdschrift Financieel Management (2004-)
Andre Lucas:

Associate editor Journal of Asset Management. (2000-)

Associate editor Statistica Neerlandica (2001-)
Herbert Rijken, member of editorial board of Accounting (2001-2004)
Cees Dert:

Editor VBA Journaal (since 2001),

Associate editor Journal of Asset Management (since 2000).
Tom Steenkamp, associate editor Journal of Asset Management (since 2000)
Awards and nominations 2001-2004

 

In 2003, dr. Siegmann received a VENI grant from NWO.


In 2004, dr. Menkveld received a VENI grant from NWO.
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.
7. Analysis, perspectives and expectations for the research programme
The group continues to pursue a line of quality publications. A number of papers of the research group have recently been accepted for publication, but will not be published before 2005. This includes publications in Operations Research (A journal), Annals of Statistics (A), Journal of Banking and Finance (B), Journal of Applied Econometrics (B), Journal of Business Finance and Accounting (B), Journal of International Money and Finance (B), Financial Analyst Journal (C).
In terms of recruitment, the group is trying to further consolidate and enforce its position in its areas of strength and extend its position in the areas of theoretical research and corporate finance. This is done by the recruitment of a full time professor in corporate finance, two new full time assistant professors (one recruited as of Sep 05), and some part-time research staff from the industry.
The group continues to attract funding from second and third parties for financing research. In 2005, Dr. Menkveld and Professor Lucas received a PhD grant from NWO. In 2005, Professor Lucas received another NWO grant for a PhD project together with the Institute of Environmental Studies.
The Faculty has invested in a license for a new data set with will enhance the possibility for doing high-level empirical research in the area of corporate finance. Also, new contacts with the financial industry are established and maintained in search of unique data sets for academic research purposes.
The number of PhD theses produced by the group (a concern of the previous committee) is still low over the current evaluation period. The perspective has improved by the recruitment of a number of PhD students planned to graduate in 2006, 2007, and 2008 respectively. Also the PhD grants received from NWO in 2004 and 2005 will add to the number of PhD students.
In terms of research themes, the department will continue to be active in the area of risk management, in particular credit ratings and credit risk for the coming years. New modeling methodologies have recently been put in place to study the systematic components in credit risk in more detail in relation to macro-economic activity. Using prices of financial instruments, this also allows for an alternative approach to investigating the price of default risk. Collaboration in this area will be continued and extended (e.g., with the department of Econometrics, but also with external agencies like Moody’s and Standard and Poors).

In the field of microstructure research, the group keeps up with international state-of-the-art research. Due to the many international contacts, unique data opportunities are available to the department in collaboration with researchers from the Federal Reserve, Tsinghua University. This part of the programme can further gain momentum by the employment of two recent PhD students.

The corporate finance research part of the group has recently significantly been enforced by the appointment of a Professor in corporate finance and the recruitment of an assistant professor in this area. This will further structure the research in this area and provide the necessary momentum for this part of the programme over the coming years.

The department will also continue to deploy initiatives to develop new lines of research. Currently, the department has started a research line on hedge fund research and portfolio management. Similarly, cross-departmental PhD research projects are investigated or launched, such as the project on catastrophe risk insurance arrangements joint with the Institute for Environmental Studies, or a project on risk perception for complex financial products with the Department of Marketing.



Operations Research and information technology (2003-)
Programme Description
Traditionally, Operations Research is the scientific study of logistic networks to provide for decision support at all levels in order to optimize production and distribution of the commodity flows. Nowadays, these logistic networks have become very large and may range over several countries, while the demands for quality of service have grown similarly to ever higher standards. Generally one agrees that to maintain such large networks successfully, one needs the control of all the information flows through the network, that is, continuous information on the status of the resources. In this sense one could say that Operations Research and Information Technology has joined together. The research programme aims to analyse several aspects and problems that arise in such modern logistic and communication networks.
1. Leadership
Programme coordinator: Prof.dr. H.C. Tijms
2. Strategy and Policy
The broad research theme of the programme is optimization and simulation in stochastic networks, where the research aims at fundamental problems of an applied nature. The planned research agenda area has still many challenging problems. However a shift to new research directions in the broad area of stochastic optimization takes place by researchers who have recently joined the programme.
A new line of research, initiated by Dr. B. Heidergott, is on numerical algorithms for Markov chains based on Taylor series. This approach is based on the new method of weak differentiation. In a joint effort with Dr. M. van Uitert, who was a post-doc in our group, very promising first numerical results could be obtained. It is the intention of Dr. B. Heidergott to stimulate this research by asking for a NWO grant for funding a PhD. student and for a DFG grant for stimulating joint research with the University of Hamburg.
Another new line of research, initiated by Dr. D. van der Laan, is on on-line algorithms for routing in telecommunication problems in which partial information or no information is available for the controller. Promising results in this area have been obtained and are submitted for publication to the A-journal Mathematics of Operations Research. Other participants in the programme have also directed their research attention to design problems in telecommunication such as in internet and mobile phone networks. Notably is the Dr. A. Ridder’s research directed towards the simulation of rare events from heavy-tailed distributions in teletraffic, using information theory and the principle of entropy.
3. Academic Reputation
- Dr. B.Heidergott has initiated a joint STW (Stichting Technische Wetenschappen) project with TU Delft. Dr. Heidergott has established himself as a key researcher in this area. He has been stream chair “(max,+)-algebra” at the sixteenth triennial meeting of the International Federation of Operational Research Societies (IFORS), Edinburgh, UK, July 8-12, 2002, and has been invited to give tutorials on max-plus algebra at the International Federation of Operational Research Societies (IFORS), Edinburgh, UK, July 8-12, 2002, and at the workshop on Weighted Automata: Theory and Application, Dresden, Germany, March 4-8, 2002.

- Prof.dr. H.C. Tijms got funds from NWO to organize in 2005 a joint Korea-Netherlands seminar on Queuing Theory and its Application to Telecommunication Systems.


4. Research Staff


Name and present title




2001

2002

2003

2004

Full Professors

Prof.dr. H.C. Tijms

0.45

0.45

0.46

0.43




Prof.dr. G.T. Timmer

-

-

0.05

0.05

Associate professors

Dr. A.A.N. Ridder

0.36

0.36

0.36

0.34

Assistant professors

Dr. R.D. Nobel

0.36

0.36

0.36

0.34




Dr. B.F. Heidergott

-

0.13

0.46

0.43




Dr. D.A. van der Laan

-

-

-

0.43




Dr. A.F. de Vos

0.13

0.13

-

-

Total tenured staff




1.30

1.43

1.69

2.02

Non tenured staff



















Dr. M.J.G. van Uitert

-

-

0.00

0.00

PhD students

Drs. N.K. Boots

0.52

-

-

-




Drs. H. Leahu

-

-

-

0.53




Drs. F.J. Wille

0.58

-

-

-

Total non tenured staff




1.10

0.00

0.00

0.53

Total research staff




2.40

1.43

1.69

2.55


5. Resources, funding and facilities
Funding at programme level


Funding

2001

2002

2003

2004

Direct funding fte’s

54%

100%

100%

79%

Research funds

22%

0%

0%

21%

Contracts

24%

0%

0%

0%

Other

0%

0%

0%

0%

total

100%

100%

100%

100%


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