The Netherlands Organisation for Scientific Research (NWO) has awarded Dr Phyllis Wan of Erasmus School of Economics with an individual NWO Veni grant. The NWO Veni grant, of up to 280.000 euros, is awarded to excellent researchers who have recently obtained their PhD to conduct independent research and develop their ideas for a period of three years. Laureates are at the start of their scientific career and display a striking talent for scientific research.
Phyllis Wan is an assistant professor at the Econometric Institute of Erasmus School of Economics. Her academic interests include statistical and econometric methods, quantitative risk management, high-dimensional data and machine learning. Her recent research focuses on extreme value analysis and its applications in economics, finance, meteorology and hydrology. She holds a PhD from Columbia University.
Phyllis’s three-year NWO Veni project is called “Data-driven pattern recognition in multivariate extremes” and focusses on the study of extremes. Extreme events, such as the 2008 financial crisis or the 2021 European flooding, entail high risks for the society. Preventing and responding to these catastrophic outcomes rely on quantifying the risks of extreme scenarios. However, as extreme observations are scarce by nature, modelling their behaviour is challenging especially as the dimension of the data increases. Effective modelling relies on the detection of patterns in the data. This research aims at building effective data-driven pattern recognition methodologies for extremes.
The Veni project will focus on three main directions of pattern recognition: detecting cluster structures, modelling dependence between events using graphical models, and reducing dimension through feature projection. This research will develop both mathematical theory for understanding multivariate extreme data structure and algorithms and software tools for applications to real data. The developed methodologies will have multipurpose applications to studying extreme events across disciplines.
Erasmus School of Economics Congratulates Phyllis Wan with this amazing achievement.