prof.dr.

(Casper) CG de Vries

Profile

Casper G. de Vries holds the Witteveen Chair of Monetary Economics at Erasmus School of Economics, Erasmus University Rotterdam. Casper is a fellow of the Tinbergen Institute and serves as a member of the Scientific Council for the Dutch Government (WRR); he is an advisor to two Dutch pension funds. His graduate training was received at Purdue University, after which he held positions at Texas A&M University and KU Leuven. He has been visiting scholar at several European and American research institutes and central banks. Most recently at Chapman University. He served as Vice Dean of research and education at Erasmus School of Economics and as a crown member to the Dutch socio-economic council (SER). Casper de Vries’s research interests focuses on international monetary issues, like foreign exchange rate determination and exchange rate risk, the issues surrounding the Euro, financial markets risk, risk management and systemic risk and, last but not least, applied game theory. In his research on financial risks, Casper G. de Vries has specialized in calculating the risks on extreme events by means of statistical extreme value analysis. Casper also takes an active research interest in contest and auction theory, which can be applied to the theory of lobbying. He has published widely in leading internationally refereed journals, like the International Economic Review, the Journal of Econometrics, the Journal of Economic Theory, the American Economic Review and the Review of Economics and Statistics.

• All publications (136)

  • Article (56)

    • Scholarly Publication (53)

      • C.G. de Vries & P. Sun (2018). Exploiting tail shape biases to discriminate between stable and student t alternatives. Journal of Applied Econometrics, 33 (5), 708-726. doi: 10.1002/jae.2628
      • C.G. de Vries, J. Danielsson, B.N. Jorgensen, G. Samarodnitsky & M. Sarma (2013). Fat tails, VaR and subadditivity. Journal of Econometrics, 172 (2), 283-291. doi: 10.1016/j.jeconom.2012.08.011
      • C.G. de Vries, J.F. Slijkerman & D. Schoenmaker (2013). Systemic Risk and Diversification across European Banks and Insurers. Journal of Banking and Finance, 37 (3), 773-785. doi: 10.1016/j.jbankfin.2012.10.027
      • L. de Haan, C.G. de Vries & C. Zhou (2013). The number of active bidders in internet auctions. Journal of Economic Theory, 148 (4), 1726-1736. doi: 10.1016/j.jet.2013.04.017
      • C.G. de Vries & T. Mikosch (2013). Heavy tails of OLS. Journal of Econometrics, 172 (2), 205-221. doi: 10.1016/j.jeconom.2012.08.015
      • C.G. de Vries, M.R. Baye & D.J. Kovenock (2012). The Herodotus paradox. Games and Economic Behavior, 74 (1), 399-406. doi: 10.1016/j.geb.2011.07.004
      • C.G. de Vries, M.R. Baye & D.J. Kovenock (2012). Contests with rank-order spillovers. Economic Theory, 51 (2), 315-350. doi: 10.1007/s00199-009-0489-2
      • I.J.M. Arnold, C.G. de Vries & R. Macdonald (2012). IMF Support and inter-regime exchange rate volatility. Open Economies Review, 23 (1), 193-211. doi: 10.1007/s11079-011-9231-3
      • C.G. de Vries & N. Hyung (2012). Simulating and calibrating diversification against black swans. Journal of Economic Dynamics and Control, 36 (8), 1162-1175. doi: 10.1016/j.jedc.2012.03.007
      • C.G. de Vries & J.A. Attey (2011). Indexation, inflation targeting cum output stabilization & inflation fluctuations. Review of Business and Economics, 61, 394-404.
      • A. Babus & C.G. de Vries (2010). Global stochastic properties of dynamic models and their linear approximations. Journal of Economic Dynamics and Control, 34 (5), 817-824. doi: 10.1016/j.jedc.2010.02.001
      • P. Hartmann, S. Straetmans & C.G. de Vries (2009). Heavy tails and currency crises. Journal of Empirical Finance, 17 (2), 241-254. doi: 10.1016/j.jempfin.2009.09.004
      • L. de Haan, C.G. de Vries & C. Zhou (2009). The expected payoff to Internet auctions. Extremes, 12 (3), 219-238. doi: 10.1007/s10687-008-0077-z
      • N. Hyung & C.G. de Vries (2007). Portfolio selection with heavy tails. Journal of Empirical Finance, 14 (2007), 383-400. doi: 10.1016/j.jempfin.2006.06.004
      • C.G. de Vries & J.L. Geluk (2006). Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities. Insurance, 38 (1), 39-56. doi: 10.1016/j.insmatheco.2005.06.010
      • C.G. de Vries (2006). Comparing downside risk measures for heavy tailed distributions. Economics Letters, 92, 202-208. doi: 10.1016/j.econlet.2006.02.004
      • C.G. de Vries & C. Zhou (2006). Discussion of “Copulas: Tales and facts”, by Thomas Mikosch. Extremes, 9 (1), 23-25. doi: 10.1007/s10687-006-0017-8
      • C.G. de Vries & C.N. Teulings (2006). Generational accounting, solidarity and pension losses. De Economist, 154 (1), 63-83. doi: 10.1007/s10645-006-6486-y
      • C.G. de Vries (2006). Milton Friedman: wetenschapper op monetair breukvlak. Economisch-Statistische Berichten, 91, 655.
      • C.G. de Vries & C.N. Teulings (2005). Micropremie en macroparadox. Economisch-Statistische Berichten, 90, 386-389.
      • C.G. de Vries, M.R. Baye & D.J. Kovenock (2005). Comparative Analysis of Litigation Systems. The Economic Journal, 115, 583-601.
      • C.G. de Vries (2005). The simple economics of bank fragility. Journal of Banking and Finance, 29 (4), 803-825. doi: 10.1016/j.jbankfin.2004.08.003
      • C.G. de Vries, J.H.J. Einmahl, W.N. Foppen & O.W. Laseroms (2005). "VaR stress test for highly non-linear portfolios". The Journal of Risk, 6, 382-387.
      • C.G. de Vries & N. Hyung (2005). Portfolio Diversification Effects of Downside Risk. Journal of Financial Econometrics, 3 (1), 107-125. doi: 10.1093/jjfinec/nbi004
      • P. Hartmann, S.T.M. Straetmans & C.G. de Vries (2004). Asset market linkages in crisis periods. The Review of Economics and Statistics, 81, 313-326.
      • P.W. van Foreest & C.G. de Vries (2003). The forex regime and EMU expansion. Open Economies Review, 14 (3), 285-298. doi: 10.1023/A:1023987104441
      • C.N. Teulings & C.G. de Vries (2003). Pensioenbeleid als automatisch destabilisator. Economisch-Statistische Berichten, 88 (4396), 100-103.
      • D.J. Kovenock & C.G. de Vries (2002). Fiat exchange in finite. Economic Inquiry, 40 (2), 147-157. doi: 10.1093/ei/40.2.147
      • C.G. de Vries & N. Hyung (2002). Portfolio diversification effects and regular variation in financial data. Allgemeines Statistisches Archiv, Journal of the German Statistical Society, 86, 69-82.
      • J. Danielsson, B.N. Jorgensen & C.G. de Vries (2002). Incentives for effective risk management. Journal of Banking and Finance, 26 (7), 1407-1425. doi: 10.1016/S0378-4266(02)00269-8
      • J. Danielson, L.F.M. de Haan, L. Peng & C.G. de Vries (2001). Using a bootstrap method to choose the sample fraction in tail index estimation. Journal of Multivariate Analysis, 76 (2), 226-248.
      • C.G. de Vries, M.M. Dacorogna, U.A. Müller & O.V. Pictet (2001). Extremal forex returns in extremely large data sets. Extremes, 4, 105-127.
      • D.W. Jansen, C.G. Koedijk & C.G. de Vries (2000). Portfolio Selection with limited downside risk. Journal of Empirical Finance, 7 (3), 247-269. doi: 10.1016/S0927-5398(00)00016-5
      • C.G. de Vries & I.J.M. Arnold (2000). Endogeneity in European money demand. European Journal of Political Economy, 587-611.
      • J.L. Geluk, L. Peng & C.G. de Vries (2000). Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series. Advances in Applied Probability, 32, 1011-1026. doi: 10.1239/aap/1013540345
      • C.G. de Vries & I.J.M. Arnold (2000). Recombinant DNB. Economisch-Statistische Berichten, 85 (4255), 387-387.
      • I.J.M. Arnold & C.G. de Vries (2000). Endogeneity in European Mony demand. European Journal of Political Economy, 16, 587-609.
      • C.G. de Vries & J. Danielsson (2000). Value-at-risk and extreme returns. Annales d'Economie et de Statistique, 60, 239-270.
      • C.G. de Vries, M.R. Baye & D.J. Kovenock (1999). The incidence of overdissipation in rent-seeking contsts. Public Choice, 439-454.
      • K. Koedijk, Emmanuel Nwaghodoh & C.G. de Vries (1998). An EMS target zone model in discrete time. Journal of Applied Econometrics, 13 (1), 31-48.
      • J. Danielson, P. Hartman & C.G. de Vries (1998). The cost of conservatism. Risk. Currencies, Interest Rates, Equities, 101-103.
      • J. Danielson, B.J. Jorgensen & C.G. de Vries (1998). The value of value at risk: statistical, financial and regulatory considerations. Perspective on Economic Highlights of the Year. Federal Reserve Bank of New York, 4 (3), 107-108.
      • C.G. de Vries, J. Potters & F. van Winden (1998). An experimental examination of rational rent seeking. European Journal of Political Economy, 783-800.
      • C.G. de Vries & J. Danielson (1997). Tail index and quantile estimation with very high frequency data. Journal of Empirical Finance, 4 (2/3), 241-258.
      • C.G. de Vries & J. Danielson (1997). Advantages of the heavy tail method. Investment & Pensions Europe, 1 (7), 16-17.
      • C.G. de Vries, G. Gielens & S.T.M. Straetmans (1996). Fat tail distributions and local thin tail alternatives. Communications in Statistics. Part A. Theory and Methods, 25, 705-710.
      • C.G. de Vries, J. Danielson & D. Jansen (1996). The method of moments ratio for the tail shape parameter. Communications in Statistics. Part A. Theory and Methods, 25, 711-720.
      • C.G. de Vries, M.R. Baye & D.J. Kovenock (1996). The all-pay-auction with incomplete information. Economic Theory, 8 (2), 291-306.
      • K. Koedijk, B. Mizrach, Emmanuel Nwaghodoh & C.G. de Vries (1995). New evidence on the effectiveness of foreign exchange market intervention. European Economic Review, 501-508.
      • P.A. Groenendijk, A. Lucas & C.G. de Vries (1995). A note on the relationship between GARCH and symmetrical stable processes. Journal of Empirical Finance, 2, 253-264. doi: 10.1016/0927-5398(95)00005-F
      • H. Dellas & C.G. de Vries (1995). Piecemeal versus precipitous factor market integration. International Economic Review, 569-582.
      • M.R. Baye, D.J. Kovenock & C.G. de Vries (1994). The solution to the Tullock rent-seeking game when R > 2: mixed-strategy equilibria and mean dissipation rates. Public Choice, 363-380. doi: 10.1007/BF01053238
      • M.R. Baye, A. Gillette & C.G. de Vries (1994). Limit orders, asymmetric information and the formation of asset prices with a compaterized specialist. Zeitschrift für Nationaloekonomie, 71-96. doi: 10.1007/BF01225933

    • Professional Publication (3)

      • C.G. de Vries (2009). Nationalisatie banken onnodig. Economisch-Statistische Berichten, 94, 220-221.
      • I.J.M. Arnold & C.G. de Vries (1999). De endogene financiële structuur. Economisch-Statistische Berichten, 738-740.
      • C.G. de Vries, R. Bruggink, P.W. van Foreest & N.L. Plaisier (1997). Een ongeloofwaardig pact, of vrijmunterij. Economisch-Statistische Berichten, 82 (4096), 189-191.

  • Book / Monograph / Book editorial (1)

    • I.J.M. Arnold, D.J.C. Smant & C.G. de Vries (2003). Wisselkoersen en beleggen (Financiele en Monetaire Studies, jrg. 21, 1). Amsterdam: NIBE-SVV

  • Part of book - Chapter (19)

    • Scholarly Publication (15)

      • S.G. van der Lecq, C.G. de Vries & M. Dirks (2014). Macroprudential policy: the neglected sectors. In D. Schoenmaker (Ed.), Macroprudentialism (pp. 71-83). London: CEPR
      • C.G. de Vries, J. Danielson & B.N. Jorgensen (2004). Regulation and incentives for effective risk management in incomplete markets. In G. Szego (Ed.), Risk measures for the 21st century (pp. 87-108). Chichester: Wiley
      • J. Danielsson, B.N. Jorgensen & C.G. de Vries (2004). Risk Measures for the 21th century. In Szego, G. (Ed.), Risk measures for the 21th century (pp. 87-108). Chicester: Wiley
      • J.F. Slijkerman, D.J.C. Smant & C.G. de Vries (2004). Credit value-at-risk constraints, credit rationing and monetary policy. In P. Minford (Ed.), Money matters: essays in honour of Alan Walters (pp. 243-250). Cheltenham: Edward Elgar
      • C.G. de Vries, P. Hartmann & S.T.M. Straetmans (2003). A global perspective on extreme currency linkages. In W.C. Hunter, G.G. Kaufman & M. Pomerleano (Eds.), Asset price bubbles: The implication for monetary, regulatory, and international policies (pp. 361-382). Cambridge: MIT Press
      • C.G. de Vries & S. Caserta (2003). Extreme value theory and statistics for heavy tail data. In P. Field (Ed.), Modern Risk Management A History (pp. 169-178). London: Risk Books
      • P.W. van Foreest & C.G. de Vries (2003). The Euroarea and the new EU member states. In L. Vinhas de Souza & B. van Aarle (Eds.), EURO-Asian Studies (pp. 79-99). Basingstoke: Palgrave-McMillan Press
      • S. Caserta, R.D. Reiss, M. Thomas & C.G. de Vries (2001). Extreme returns in asset prices. In R. Reiss & M. Thomas (Eds.), Statistical analysis of extreme values (pp. 309-338). Basel: Birkhäuser Verlag
      • C.G. de Vries, P. Cumperayot, J. Danielsson & B.J. Jorgensen (2000). On the (ir)relevancy of value-at-risk regulation. In J. Franke, W. Haerdle & G. Stahl (Eds.), Measuring Risk in Complex Stochastic Systems (pp. 99-117). Berlin: Springer Verlag
      • C.G. de Vries (2000). Second order tail effects. In W.S. Chan, W.K. Li & H. Tong (Eds.), Statistics and Finance: An Interface (pp. 153-165). Londen: Imperial College Press
      • C.G. de Vries & I.J.M. Arnold (2000). Endogenous financial structure and the transmission of ECB policy. In J. van Hagen & J. Waller (Eds.), Regional Aspects of Monetary Policy in Europe (pp. 193-218). Dordrecht: Kluwer Academic Publishers
      • C.G. de Vries (1994). Stylized facts of nominal exchange rate returns. In F. van der Ploeg (Ed.), Handbook of international macroeconomics (pp. 348-389). @: Basil Blackwell
      • K. Koedijk, Emmanuel Nwaghodoh & C.G. de Vries (1994). Stylized facts, realignments and investment strategies in the EMS. In J. Kaehler & P. Kugler (Eds.), Econometric analysis of financial markets (pp. 163-184). Heidelberg: Physica-Verlag
      • L.F.M. de Haan, D.W. Jansen, K. Koedijk & C.G. de Vries (1994). Safety first portfolio slection, extreme value theory and long run asset risks. In J. Galambos (Ed.), Extreme value theory and applications (pp. 471-487). Dordrecht: Kluwer
      • L.F.M. de Haan, D.W. Jansen, C.G. Koedijk & C.G. de Vries (1994). Safety first portfolio selection, extreme value theory and long run asset risks. In J. Galambos et al. (Ed.), Extreme value theory and applications (pp. 471-487). Dordrecht: Kluwer

    • Professional Publication (4)

      • S.G. van der Lecq, C.G. de Vries & C.G.E. Boender (2011). Gebrek aan macrovisie DNB ondermijnt pensioentoezicht. In KVS jaarboek 2011 (pp. 138-140). Den Haag: Sdu Publishers
      • C.G. de Vries (2011). Opties. In De Gammacanon, wat iedereen moet weten van de menswetenschappen (pp. 202-205). Meulenhof
      • C.G. de Vries & P. Stork (2010). The stability of the Australian banking sector. In Greg N. Gregoriou (Ed.), The Banking Crisis Handbook (pp. 397-416). Boca Raton: CRC Press
      • C.G. de Vries (2008). Zwarte pieten in de financiële markt. In Jaarboek 2007/2008 Koninklijke Vereninging voor de Staathuishoudkunde (pp. 20-23). SDU

  • Book review (4)

    • C.G. de Vries (1998). Quantitative financial economics: stocks, bonds and foreign exchange [Bespreking van het boek Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange]. .
    • C.G. de Vries (1998). Modelling extremal events for insurance and finance [Bespreking van het boek Modelling Extremal Events for Insurance and Finance]. .
    • C.G. de Vries (1998). The macroeconomics of international currencies; theory, policy and evidence [Bespreking van het boek The Macroeconomics of International Currencies: Theory, Policy and Evidence]. .
    • C.G. de Vries (1998). Monetary policy in an integrated world economy [Bespreking van het boek Monetary Policy in an Integrated World Economy: Symposium 1995]. .

  • Report (24)

    • C.G. de Vries, M.E.J. Bracco Gartner, M. Haentjens, J.A.C. Korteweg, M. Markakis, R. Repasi & J. Tegelaar (2017). Implications of Brexit on EU Financial Services. (Extern rapport, no PE 602.058). Brussels: European Parliament, Directorate- General for Internal Polices, Policy Department A [go to publisher's site]
    • C.G. de Vries, J. Danielsson, B.N. Jorgensen & X. Yang (2007). Optimal portfolio allocation under a probabilistic risk constraint and incentives for financial innovation. (Intern rapport, Tinbergen Institute discussion paper, no T12001-069/2). 3000 DR Rotterdam: TINBERGEN INSTITUUT
    • C.G. de Vries, P. Hartmann & S. Straetmans (2006). Banking systems stability: A cross Atlantic perspective. (NBER working paper serie, no 11698). : NBER
    • S. Caserta & C.G. de Vries (2005). Auctions with Numerous Bidders. (Intern rapport, Discussion Paper, no 2005-031/2). 3000 DR Rotterdam: TINBERGEN INSTITUUT
    • J.F. Slijkerman, D. Schoenmaker & C.G. de Vries (2005). Risk Diversification by European Financial Conglomerates. (Intern rapport, Discussion Paper, no 05-110/2). 3000 DR Rotterdam: TINBERGEN INSTITUUT
    • A. Ferreira & C.G. de Vries (2004). Optimal confidence intervals for the tail index and high quantiles. (Intern rapport, Discussion Paper Tinbergen Institute, no 2004-090/2). :
    • J.L. Geluk & C.G. de Vries (2004). Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities. (Intern rapport, Econometric Institute, no EI 2004-47). :
    • C.G. de Vries, P. Hartmann & S. Straetmans (2004). Fundamentals and joint currency crises. (Intern rapport, ECB working paper series, no 324). :
    • D.J.C. Smant, J.F. Slijkerman & C.G. de Vries (2004). Credit Rationing Effects of Credit Value-at-Risk. (Extern rapport, Tinbergen Institute Discussion Paper, no Ti2004-032/2). Rotterdam: Tinbergen Institute
    • P.W. van Foreest & C.G. de Vries (2002). The forex regime and EMU expansion. (Intern rapport, Tinbergen Institute Discussion Paper, no 2002-010/2). :
    • C.G. de Vries, S.T.M. Straetmans & P. Hartmann (2001). Asset market linkages in crisis periods. (Intern rapport, CEPR Discussion Paper Series - London, no 2916). :
    • J. Danielsson, L.F.M. de Haan, L. Peng & C.G. de Vries (2000). Using a bootstrap method to choose the sample fraction in tail index estimation. (Intern rapport, Econometric Institute, no 2000-19/A). :
    • C.G. de Vries, M.R. Baye & D.J. Kovenock (2000). Comparative analysis of ligitation systems. (Intern rapport, Tinbergen Institute Discussion Paper, no TI2000-103). :
    • C.G. de Vries & I.J.M. Arnold (1999). Endogenous financial structure and the transmission of ECB policy. (Intern rapport, Tinbergen Institute Discussion Paper, no TI99-021/2). :
    • C.G. de Vries & I.J.M. Arnold (1999). Endogenous financial structure and the transmission of ECB policy. (Intern rapport, Tinbergen Institute Discussion Paper, no TI99-021/2). :
    • C.G. de Vries & I.J.M. Arnold (1998). The Euro, prudent coherence? (Intern rapport, Tinbergen Institute Discussion Paper, no 98-070/2). : Tinbergen Institute
    • C.G. de Vries & J. Danielson (1998). Value-at-risk and extreme returns. (Intern rapport, Tinbergen Institute Discussion Paper, no 98-01/72). :
    • C.G. de Vries & J. Danielson (1998). Beyond the sample: extreme quantile and probability estimation. (Intern rapport, Tinbergen Institute Discussion Paper, no 98-016/2). :
    • C.G. de Vries, P.A. Groenendijk & A. Lucas (1998). A hybrid joint moment ratio test for financial time series. (Intern rapport, Tinbergen Institute Discussion Paper, no 98-104/2). :
    • S. Caserta, J. Danielson & C.G. de Vries (1998). Abnormal returns, risk and options in large data sets. (Intern rapport, Tinbegen Institute Discussion Paper, no TI98-104/2). :
    • C.G. de Vries, J. Potters & F. van Winden (1997). An experimental examination of rational rent-seeking. (Intern rapport, Discussion Paper Series Tinbergen Institute, no TI08 068/1). :
    • C.G. de Vries, J. Potters & F. van Winden (1997). An experimental examination of rational rent-seeking. (Intern rapport, Discussion Paper Series Tinbergen Institute, no TI08 068/1). :
    • S.N. Schotman, S.T.M. Straetmans & C.G. de Vries (1997). Big news in small samples. (Intern rapport, Tinbergen Institute Discussion Paper, no TI97-083/2). :
    • D.W. Jansen, C.G. Koedijk & C.G. de Vries (1995). Operationalizing safety first portfolio selection using extreme value theory. (Intern rapport, Discussion Paper Series Tinbergen Institute, no 95-84). :

  • Inaugural speech (1)

    • C.G. de Vries (2004). Stimulans & Kans. (2004, november 26). Rotterdam: Erasmus Research Institute of Management

  • Contribution weekly / daily journal (1)

    • I.J.M. Arnold, H.R. Commandeur, S.G. van der Lecq & C.G. de Vries (2006, juni 29). Fiscalisering van AOW werkt niet. Het Financieel Dagblad

  • Website / portal (1)

    • S.G. van der Lecq, C.G. de Vries & C.G.E. Boender (2010, oktober 3). Gebrek aan macrovisie ondermijnt pensioentoezicht.

  • Lecture (29)

    • C.G. de Vries (1999, december 17). Moment ratio tests. Parijs, CREST.
    • C.G. de Vries (1999, juni 11). Moment ratio tests. Londen, LSE.
    • C.G. de Vries (1999, juni 29). Lectures on international financial economics and econometrics. onbekend, Chinese Academy of Sciences.
    • C.G. de Vries (1999, juni 25). Endogenous financial structure and the transmission of monetary policy. Frankfurt, ECB.
    • C.G. de Vries (1999, maart 5). Beyond the sample. Toulouse, Symposium.
    • C.G. de Vries (1999, september 17). On the (ir)relevancy of value-at-risk regulation. Berlijn, Conference.
    • C.G. de Vries (1999, juli 10). Second order tail effects. Hong Kong, Workshop on Statistics in Finance.
    • C.G. de Vries (1999, mei 14). VaR or VoF. Bern, Conference.
    • C.G. de Vries (1999, juni 18). VaR or VoF. Cardiff, European Monetary Forum.
    • C.G. de Vries (1999, februari 19). Multiplicative shocks. Wassenaar, Nias Lecture.
    • C.G. de Vries (1998, juli 3). Endogenous financial structure and the transmission of monetary policy. Bonn, Conference on Common Money, Uncommon Regions, ZEI.
    • C.G. de Vries (1998, juli 31). Common Money, Uncommon Regions. Bonn, ZEI.
    • C.G. de Vries (1998, maart 10). Big News in Small Samples. Philadelphia, University of Pennsylvania.
    • C.G. de Vries (1998, maart 10). Beyond the Sample. Philadelphia, University of Pennsylvania.
    • C.G. de Vries (1998, april 13). Extreme Value Theory and Value at Risk. Brussels, EIASM Conference on Financial Risk management.
    • C.G. de Vries (1998, december 11). Value-at-risk and extreme returns. Parijs, Symposium on Microstructure and High Frequency Data-.
    • C.G. de Vries (1998, maart 21). The Value at Risk and Abnormal Returns. Philadelphia, Wharton School.
    • C.G. de Vries (1998, augustus 14). Second order tail effects. Gothenburg, Conference on Extremes, Risk and Safety.
    • C.G. de Vries (1998, maart 15). Prudent Coherence. Bloomington, Indiana University.
    • C.G. de Vries (1997, augustus 28). Beyond the sample. Toulouse, European Meeting of the Econometric Society.
    • C.G. de Vries (1997, mei 30). Big news in small samples. Konstanz, Konstanz Seminar on Monetary Theory and Monetary Policy.
    • C.G. de Vries (1997, december 10). The value of abnormal returns. Rotterdam, RIBES Conference on The Statistical Analysis of Large Data Sets in Business Economics.
    • C.G. de Vries (1997, februari 8). Big news in small samples. Maastricht, European Monetary Forum.
    • C.G. de Vries (1996, april 12). Big News in Small Samples. Groningen, University of Groningen.
    • C.G. de Vries (1996, september 24). The Behaviour of Forex Returns. Munich, Centre for Economic Studies (CES), University of Munich.
    • C.G. de Vries (1995, juni 15). Educating for EMU. onbekend, Bank of Finland.
    • C.G. de Vries (1995, juli 8). The Incidence of Overdissipation. Liverpool, European Monetary Forum.
    • C.G. de Vries (1995, september 11). Fiat Exchange in Finite Economies: The Zwarte Piet bubble. Tilburg, Center for Economic Research, Tilburg University.
    • C.G. de Vries (1995, juni 13). Discrete Time Target Zones. onbekend, Bank of Finland.

• Teaching (3)

  Advanced Money, Credit and Banking

  Title

  Advanced Money, Credit and Banking

  Year

  2020

  Year level

  master, master, master

  Market & Systemic Risk Management

  Title

  Market & Systemic Risk Management

  Year

  2020

  Year level

  Master

  Seminar Quantitative Macroeconomics

  Title

  Seminar Quantitative Macroeconomics

  Year

  2020

  Year level

  master

• PhD list (8)

  • Malin Gardberg

    Financial Integration and Global Imbalances

    • 2015 - 2018

  • Heleen Mees

    Changing Fortunes – How China’s Boom Caused the Financial Crisis

    • 2009 - 2012

  • Thijs Markwat

    Extreme Dependence in Asset Markets Around the Globe

    • 2006 - 2011

  • Ying Xu

    Empirical Essays on the Stock Returns, Risk Management, and Liquidity Creation of Banks

    • 2006 - 2010

  • Xiaohong Huang

    An Analysis of Occupational Pension Provision: From Evaluation to Redesign

    • 2005 - 2010

  • Bert de Groot

    Essays on Economic Cycles

    • 2002 - 2006

  • Cyriel de Jong

    Dealing with Derivatives. Studies on the role, informational content and pricing of financial derivatives

    • 1999 - 2003

  • Rachel Campbell-Pownall

    Rethinking Risk in International Financial Markets

    • 1997 - 2001

• Present position

  Full Professor

  University

  Erasmus University Rotterdam

  School

  Erasmus School of Economics

  Department

  Economics

  Country

  The Netherlands

  Telephone

  0104088956