
Professor of Monetary Economics and Professor of Finance
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- H09-26
- cdevries@ese.eur.nl
Professor of Monetary Economics and Professor of Finance
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- E1-20
- cdevries@ese.eur.nl
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 Vriesās 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.
- Maarten R.C. van Oordt, Philip A. Stork & Casper G. de Vries (2021) - On agricultural commoditiesā extreme price risk - Extremes, 24 (3), 531-563 - doi: 10.1007/s10687-020-00401-3 - [link]
- Casper 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 - [link]
- L de Haan, Casper de Vries & Chen 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 - [link]
- Casper de Vries, Jan Slijkerman & Dirk 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
- Casper de Vries, J (Jón) Danielsson, BN 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 - [link]
- Casper de Vries & T Mikosch (2013) - Heavy tails of OLS - Journal of Econometrics, 172 (2), 205-221 - doi: 10.1016/j.jeconom.2012.08.015 - [link]
- Casper de Vries, MR (Michael) Baye & DJ (Dan) Kovenock (2012) - The Herodotus paradox - Games and Economic Behavior, 74 (1), 399-406 - doi: 10.1016/j.geb.2011.07.004 - [link]
- Ivo Arnold, Casper 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 - [link]
- Casper de Vries, MR (Michael) Baye & DJ (Dan) Kovenock (2012) - Contests with rank-order spillovers - Economic Theory, 51 (2), 315-350 - doi: 10.1007/s00199-009-0489-2 - [link]
- Casper de Vries & N (Namwon) 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 - [link]
- Casper de Vries & Jonathan Attey (2011) - Indexation, inflation targeting cum output stabilization & inflation fluctuations - Review of Business and Economics, 61, 394-404
- A Babus & Casper 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 - [link]
- L de Haan, Casper de Vries & Chen Zhou (2009) - The expected payoff to Internet auctions - Extremes, 12 (3), 219-238 - doi: 10.1007/s10687-008-0077-z - [link]
- Philipp Hartmann, S Straetmans & Casper de Vries (2009) - Heavy tails and currency crises - Journal of Empirical Finance, 17 (2), 241-254 - doi: 10.1016/j.jempfin.2009.09.004 - [link]
- N (Namwon) Hyung & Casper de Vries (2007) - Portfolio selection with heavy tails - Journal of Empirical Finance, 14 (2007), 383-400 - doi: 10.1016/j.jempfin.2006.06.004 - [link]
- Casper de Vries (2006) - Milton Friedman: wetenschapper op monetair breukvlak - Economisch-Statistische Berichten, 91, 655
- Casper de Vries & Chen Zhou (2006) - Discussion of āCopulas: Tales and factsā, by Thomas Mikosch - Extremes, 9 (1), 23-25 - doi: 10.1007/s10687-006-0017-8 - [link]
- Casper de Vries (2006) - Comparing downside risk measures for heavy tailed distributions - Economics Letters, 92, 202-208 - doi: 10.1016/j.econlet.2006.02.004 - [link]
- Casper de Vries & CN (Coen) Teulings (2006) - Generational accounting, solidarity and pension losses - De Economist, 154 (1), 63-83 - doi: 10.1007/s10645-006-6486-y - [link]
- Casper de Vries & JL (Jaap) 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 - [link]
- Casper de Vries, MR (Michael) Baye & DJ (Dan) Kovenock (2005) - Comparative Analysis of Litigation Systems - The Economic Journal, 115, 583-601
- Casper de Vries & N (Namwon) Hyung (2005) - Portfolio Diversification Effects of Downside Risk - Journal of Financial Econometrics, 3 (1), 107-125 - doi: 10.1093/jjfinec/nbi004 - [link]
- Casper de Vries, JHJ Einmahl, WN Foppen & OW Laseroms (2005) - "VaR stress test for highly non-linear portfolios" - The Journal of Risk, 6, 382-387
- Casper 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 - [link]
- Casper de Vries & CN (Coen) Teulings (2005) - Micropremie en macroparadox - Economisch-Statistische Berichten, 90, 386-389
- Philipp Hartmann, STM Straetmans & Casper de Vries (2004) - Asset market linkages in crisis periods - The Review of Economics and Statistics, 81, 313-326
- CN (Coen) Teulings & Casper de Vries (2003) - Pensioenbeleid als automatisch destabilisator - Economisch-Statistische Berichten, 88 (4396), 100-103
- PW van Foreest & Casper de Vries (2003) - The forex regime and EMU expansion - Open Economies Review, 14 (3), 285-298 - doi: 10.1023/A:1023987104441 - [link]
- Casper de Vries & N (Namwon) Hyung (2002) - Portfolio diversification effects and regular variation in financial data - Allgemeines Statistisches Archiv, Journal of the German Statistical Society, 86, 69-82
- J (Jón) Danielsson, BN Jorgensen & Casper 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 - [link]
- DJ (Dan) Kovenock & Casper de Vries (2002) - Fiat exchange in finite - Economic Inquiry, 40 (2), 147-157 - doi: 10.1093/ei/40.2.147 - [link]
- Casper de Vries, MM Dacorogna, UA Müller & OV Pictet (2001) - Extremal forex returns in extremely large data sets - Extremes, 4, 105-127
- J Danielson, Laurens de Haan, L (Liang) Peng & Casper de Vries (2001) - Using a bootstrap method to choose the sample fraction in tail index estimation - Journal of Multivariate Analysis, 76 (2), 226-248
- Casper de Vries & Ivo Arnold (2000) - Endogeneity in European money demand - European Journal of Political Economy, (16), 587-611
- Ivo Arnold & Casper de Vries (2000) - Endogeneity in European Mony demand - European Journal of Political Economy, 16, 587-609
- Casper de Vries & Ivo Arnold (2000) - Recombinant DNB - Economisch-Statistische Berichten, 85 (4255), 387-387
- DW Jansen, CG (Kees) Koedijk & Casper 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 - [link]
- Casper de Vries & J (Jón) Danielsson (2000) - Value-at-risk and extreme returns - Annales d'economie et de statistique, 60, 239-270
- JL (Jaap) Geluk, L (Liang) Peng & Casper 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 - [link]
- Casper de Vries, MR (Michael) Baye & DJ (Dan) Kovenock (1999) - The incidence of overdissipation in rent-seeking contsts - Public Choice, (99), 439-454
- Casper de Vries, J Potters & F van Winden (1998) - An experimental examination of rational rent seeking - European Journal of Political Economy, (14), 783-800
- J Danielson, BJ Jorgensen & Casper 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
- J Danielson, P Hartman & Casper de Vries (1998) - The cost of conservatism - Risk. Currencies, Interest Rates, Equities, (January), 101-103
- K Koedijk, Emmanuel Nwaghodoh & Casper de Vries (1998) - An EMS target zone model in discrete time - Journal of Applied Econometrics, 13 (1), 31-48
- Casper de Vries & J Danielson (1997) - Advantages of the heavy tail method - Investment & Pensions Europe, 1 (7), 16-17
- Casper de Vries & J Danielson (1997) - Tail index and quantile estimation with very high frequency data - Journal of Empirical Finance, 4 (2/3), 241-258
- Casper de Vries, MR (Michael) Baye & DJ (Dan) Kovenock (1996) - The all-pay-auction with incomplete information - Economic Theory, 8 (2), 291-306
- Casper de Vries, G Gielens & STM Straetmans (1996) - Fat tail distributions and local thin tail alternatives - Communications in Statistics. Part A. Theory and Methods, 25, 705-710
- Casper 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
- PA (Patrick) Groenendijk, A (AndrƩ) Lucas & Casper 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 - [link]
- H Dellas & Casper de Vries (1995) - Piecemeal versus precipitous factor market integration - International Economic Review, 569-582
- K Koedijk, B Mizrach, Emmanuel Nwaghodoh & Casper de Vries (1995) - New evidence on the effectiveness of foreign exchange market intervention - European Economic Review, 501-508
- MR (Michael) Baye, DJ (Dan) Kovenock & Casper 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 - [link]
- MR (Michael) Baye, A Gillette & Casper 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 - [link]
- Casper de Vries (2009) - Nationalisatie banken onnodig - Economisch-Statistische Berichten, 94, 220-221
- Ivo Arnold, Harry Commandeur, Fieke Lecq & Casper de Vries (2006) - Fiscalisering van AOW werkt niet - Het Financieel Dagblad
- Ivo Arnold & Casper de Vries (1999) - De endogene financiƫle structuur - Economisch-Statistische Berichten, (84), 738-740
- Casper de Vries, R Bruggink, PW van Foreest & NL Plaisier (1997) - Een ongeloofwaardig pact, of vrijmunterij - Economisch-Statistische Berichten, 82 (4096), 189-191 - [link]
- Ivo Arnold, DJC (David) Smant & Casper de Vries (2003) - Wisselkoersen en beleggen - NIBE-SVV
- Fieke Lecq, Casper de Vries & Maaike Dirks (2014) - Macroprudential policy: the neglected sectors - In D. Schoenmaker, Macroprudentialism (pp. 71-83) - CEPR
- J (Jón) Danielsson, BN Jorgensen & Casper de Vries (2004) - Risk Measures for the 21th century - In Szego, G., Risk measures for the 21th century (pp. 87-108) - John Wiley & Sons Inc.
- Jan Slijkerman, DJC (David) Smant & Casper de Vries (2004) - Credit value-at-risk constraints, credit rationing and monetary policy - In P. Minford, Money matters: essays in honour of Alan Walters (pp. 243-250) - Edward Elgar Publishing
- Casper de Vries, J Danielson & BN Jorgensen (2004) - Regulation and incentives for effective risk management in incomplete markets - In G. Szego, Risk measures for the 21st century (pp. 87-108) - John Wiley & Sons Inc.
- PW van Foreest & Casper de Vries (2003) - The Euroarea and the new EU member states - In L. Vinhas de Souza & B. van Aarle, EURO-Asian Studies (pp. 79-99) - Palgrave-McMillan Press
- Casper de Vries, Philipp Hartmann & STM Straetmans (2003) - A global perspective on extreme currency linkages - In W.C. Hunter, G.G. Kaufman & M. Pomerleano, Asset price bubbles: The implication for monetary, regulatory, and international policies (pp. 361-382) - MIT Press
- Casper de Vries & S Caserta (2003) - Extreme value theory and statistics for heavy tail data - In P. Field, Modern Risk Management A History (pp. 169-178) - RISK Books
- S Caserta, RD Reiss, M Thomas & Casper de Vries (2001) - Extreme returns in asset prices - In R. Reiss & M. Thomas, Statistical analysis of extreme values (pp. 309-338) - BirkhƤuser Verlag
- Casper de Vries (2000) - Second order tail effects - In W.S. Chan, W.K. Li & H. Tong, Statistics and Finance: An Interface (pp. 153-165) - Imperial college press
- Casper de Vries, P Cumperayot, J (Jón) Danielsson & BJ Jorgensen (2000) - On the (ir)relevancy of value-at-risk regulation - In J. Franke, W. Haerdle & G. Stahl, Measuring Risk in Complex Stochastic Systems (pp. 99-117) - Springer
- Casper de Vries & Ivo Arnold (2000) - Endogenous financial structure and the transmission of ECB policy - In J. van Hagen & J. Waller, Regional Aspects of Monetary Policy in Europe (pp. 193-218) - Kluwer Academic Publishers
- Casper de Vries (1998) - Monetary policy in an integrated world economy - In H. (Ed.) Siebert, - - J.C.B. Mohr (Paul Siebeck)
- Casper de Vries (1998) - The macroeconomics of international currencies; theory, policy and evidence - In P. Mizen (ed.) & E.J. Pentecost (ed.), - - Edward Elgar Publishing
- Casper de Vries (1998) - Quantitative financial economics: stocks, bonds and foreign exchange - In K. Cuthbertson, - - John Wiley & Sons Inc.
- Casper de Vries (1998) - Modelling extremal events for insurance and finance - In P. Embrechts, C. Klueppelberg & T. Mikosch, - - Springer
- Laurens de Haan, DW Jansen, CG (Kees) Koedijk & Casper de Vries (1994) - Safety first portfolio selection, extreme value theory and long run asset risks - In J. Galambos et al., Extreme value theory and applications (pp. 471-487) - Kluwer
- K Koedijk, Emmanuel Nwaghodoh & Casper de Vries (1994) - Stylized facts, realignments and investment strategies in the EMS - In J. Kaehler & P. Kugler, Econometric analysis of financial markets (pp. 163-184) - Physica Verlag
- Casper de Vries (1994) - Stylized facts of nominal exchange rate returns - In F. van der Ploeg, Handbook of international macroeconomics (pp. 348-389) - Basil Blackwell
- Laurens de Haan, DW Jansen, K Koedijk & Casper de Vries (1994) - Safety first portfolio slection, extreme value theory and long run asset risks - In J. Galambos, Extreme value theory and applications (pp. 471-487) - Kluwer
- Fieke Lecq, Casper de Vries & CGE Boender (2011) - Gebrek aan macrovisie DNB ondermijnt pensioentoezicht - In KVS jaarboek 2011 (pp. 138-140) - Sdu Uitgevers
- Casper de Vries (2011) - Opties - In De Gammacanon, wat iedereen moet weten van de menswetenschappen (pp. 202-205) - Meulenhof
- Casper de Vries & P Stork (2010) - The stability of the Australian banking sector - In Greg N. Gregoriou, The Banking Crisis Handbook (pp. 397-416) - [link] - CRC Press
- Casper de Vries (2008) - Zwarte pieten in de financiƫle markt - In Jaarboek 2007/2008 Koninklijke Vereninging voor de Staathuishoudkunde (pp. 20-23) - Sdu Uitgevers
- Casper de Vries (2004) - Stimulans & Kans - [link] - Erasmus Research Institute of Management (ERIM)
- Casper de Vries, MEJ (Peggy) Bracco Gartner, M Haentjens, JAC Korteweg, Menelaos Markakis, RenƩ Repasi & J Tegelaar (2017) - Implications of Brexit on EU Financial Services - [link] - European Parliament, Directorate- General for Internal Polices, Policy Department A
- Casper de Vries, J (Jón) Danielsson, BN Jorgensen & X (Xi) Yang (2007) - Optimal portfolio allocation under a probabilistic risk constraint and incentives for financial innovation - TINBERGEN INSTITUUT
- Casper de Vries, Philipp Hartmann & S Straetmans (2006) - Banking systems stability: A cross Atlantic perspective - NBER
- Jan Slijkerman, Dirk Schoenmaker & Casper de Vries (2005) - Risk Diversification by European Financial Conglomerates - TINBERGEN INSTITUUT
- S Caserta & Casper de Vries (2005) - Auctions with Numerous Bidders - TINBERGEN INSTITUUT
- JL (Jaap) Geluk & Casper de Vries (2004) - Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
- DJC (David) Smant, Jan Slijkerman & Casper de Vries (2004) - Credit Rationing Effects of Credit Value-at-Risk - Tinbergen Institute
- A Ferreira & Casper de Vries (2004) - Optimal confidence intervals for the tail index and high quantiles
- Casper de Vries, Philipp Hartmann & S Straetmans (2004) - Fundamentals and joint currency crises
- PW van Foreest & Casper de Vries (2002) - The forex regime and EMU expansion
- Casper de Vries, STM Straetmans & Philipp Hartmann (2001) - Asset market linkages in crisis periods
- Casper de Vries, MR (Michael) Baye & DJ (Dan) Kovenock (2000) - Comparative analysis of ligitation systems
- J (Jón) Danielsson, Laurens de Haan, L (Liang) Peng & Casper de Vries (2000) - Using a bootstrap method to choose the sample fraction in tail index estimation
- Casper de Vries & Ivo Arnold (1999) - Endogenous financial structure and the transmission of ECB policy
- S Caserta, J Danielson & Casper de Vries (1998) - Abnormal returns, risk and options in large data sets
- Casper de Vries & Ivo Arnold (1998) - The Euro, prudent coherence? - [link] - Tinbergen Institute
- Casper de Vries, PA (Patrick) Groenendijk & A (AndrƩ) Lucas (1998) - A hybrid joint moment ratio test for financial time series
- Casper de Vries & J Danielson (1998) - Beyond the sample: extreme quantile and probability estimation
- Casper de Vries & J Danielson (1998) - Value-at-risk and extreme returns
- Casper de Vries, J Potters & F van Winden (1997) - An experimental examination of rational rent-seeking
- SN Schotman, STM Straetmans & Casper de Vries (1997) - Big news in small samples
- DW Jansen, CG (Kees) Koedijk & Casper de Vries (1995) - Operationalizing safety first portfolio selection using extreme value theory
- Fieke Lecq, Casper de Vries & CGE Boender (2010) - Gebrek aan macrovisie ondermijnt pensioentoezicht - Me Judice
- Casper Vries (1999) - Moment ratio tests - CREST
- Casper Vries (1999) - On the (ir)relevancy of value-at-risk regulation - Conference
- Casper Vries (1999) - Second order tail effects - Workshop on Statistics in Finance
- Casper Vries (1999) - Lectures on international financial economics and econometrics - Chinese Academy of Sciences
- Casper Vries (1999) - Endogenous financial structure and the transmission of monetary policy - ECB
- Casper Vries (1999) - VaR or VoF - European Monetary Forum
- Casper Vries (1999) - Moment ratio tests - LSE
- Casper Vries (1999) - VaR or VoF - Conference
- Casper Vries (1999) - Beyond the sample - Symposium
- Casper Vries (1999) - Multiplicative shocks - Nias Lecture
- Casper Vries (1998) - Value-at-risk and extreme returns - Symposium on Microstructure and High Frequency Data-
- Casper Vries (1998) - Second order tail effects - Conference on Extremes, Risk and Safety
- Casper Vries (1998) - Common Money, Uncommon Regions - ZEI
- Casper Vries (1998) - Endogenous financial structure and the transmission of monetary policy - Conference on Common Money, Uncommon Regions, ZEI
- Casper Vries (1998) - Extreme Value Theory and Value at Risk - EIASM Conference on Financial Risk management
- Casper Vries (1998) - The Value at Risk and Abnormal Returns - Wharton School
- Casper Vries (1998) - Prudent Coherence - Indiana University
- Casper Vries (1998) - Big News in Small Samples - University of Pennsylvania
- Casper Vries (1998) - Beyond the Sample - University of Pennsylvania
- Casper Vries (1997) - The value of abnormal returns - RIBES Conference on The Statistical Analysis of Large Data Sets in Business Economics
- Casper Vries (1997) - Beyond the sample - European Meeting of the Econometric Society
- Casper Vries (1997) - Big news in small samples - Konstanz Seminar on Monetary Theory and Monetary Policy
- Casper Vries (1997) - Big news in small samples - European Monetary Forum
- Casper Vries (1996) - The Behaviour of Forex Returns - Centre for Economic Studies (CES), University of Munich
- Casper Vries (1996) - Big News in Small Samples - University of Groningen
- Casper Vries (1995) - Fiat Exchange in Finite Economies: The Zwarte Piet bubble - Center for Economic Research, Tilburg University
- Casper Vries (1995) - The Incidence of Overdissipation - European Monetary Forum
- Casper Vries (1995) - Educating for EMU - Bank of Finland
- Casper Vries (1995) - Discrete Time Target Zones - Bank of Finland
Market & Systemic Risk Management
- Level
- Master
- Year
- 2021
- Year Level
- Master
- Course Code
- TI169
Advanced Money, Credit and Banking
- Year
- 2021
- Year Level
- master, master, master
- Course Code
- FEM11015