prof.dr. (Casper) CG de Vries

prof.dr. (Casper) CG de Vries

Professor of Monetary Economics and Professor of Finance

Full professor Erasmus School of Economics Business Economics
Location
Burg. Oudlaan 50, Rotterdam
Room
H09-26
Email
cdevries@ese.eur.nl

Professor of Monetary Economics and Professor of Finance

Full professor Erasmus School of Economics Economics
Location
Burg. Oudlaan 50, Rotterdam
Room
E1-20
Email
cdevries@ese.eur.nl

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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.

  • Casper Vries (2009) - Nationalisatie banken onnodig - Economisch-Statistische Berichten, 94, 220-221
  • Ivo Arnold, Harry Commandeur, Fieke Lecq & Casper Vries (2006) - Fiscalisering van AOW werkt niet - Het Financieel Dagblad
  • Ivo Arnold & Casper Vries (1999) - De endogene financiële structuur - Economisch-Statistische Berichten, (84), 738-740
  • Casper Vries, R Bruggink, PW van Foreest & NL Plaisier (1997) - Een ongeloofwaardig pact, of vrijmunterij - Economisch-Statistische Berichten, 82 (4096), 189-191

  • Ivo Arnold, DJC (David) Smant & Casper Vries (2003) - Wisselkoersen en beleggen - NIBE-SVV

  • Fieke Lecq, Casper Vries & Maaike Dirks (2014) - Macroprudential policy: the neglected sectors - CEPR
  • J (Jón) Danielsson, BN Jorgensen & Casper Vries (2004) - Risk Measures for the 21th century - John Wiley & Sons Inc.
  • Jan Slijkerman, DJC (David) Smant & Casper Vries (2004) - Credit value-at-risk constraints, credit rationing and monetary policy - Edward Elgar Publishing
  • Casper Vries, J Danielson & BN Jorgensen (2004) - Regulation and incentives for effective risk management in incomplete markets - John Wiley & Sons Inc.
  • PW van Foreest & Casper Vries (2003) - The Euroarea and the new EU member states - Palgrave-McMillan Press
  • Casper Vries, Philipp Hartmann & STM Straetmans (2003) - A global perspective on extreme currency linkages - MIT Press
  • Casper Vries & S Caserta (2003) - Extreme value theory and statistics for heavy tail data - RISK Books
  • S Caserta, RD Reiss, M Thomas & Casper Vries (2001) - Extreme returns in asset prices - Birkhäuser Verlag
  • Casper Vries (2000) - Second order tail effects - Imperial college press
  • Casper Vries, P Cumperayot, J (Jón) Danielsson & BJ Jorgensen (2000) - On the (ir)relevancy of value-at-risk regulation - Springer
  • Casper Vries & Ivo Arnold (2000) - Endogenous financial structure and the transmission of ECB policy - Kluwer Academic Publishers
  • Casper Vries (1998) - Monetary policy in an integrated world economy - J.C.B. Mohr (Paul Siebeck)
  • Casper Vries (1998) - The macroeconomics of international currencies; theory, policy and evidence - Edward Elgar Publishing
  • Casper Vries (1998) - Quantitative financial economics: stocks, bonds and foreign exchange - John Wiley & Sons Inc.
  • Casper Vries (1998) - Modelling extremal events for insurance and finance - Springer
  • Laurens Haan, DW Jansen, CG (Kees) Koedijk & Casper Vries (1994) - Safety first portfolio selection, extreme value theory and long run asset risks - Kluwer
  • K Koedijk, Emmanuel Nwaghodoh & Casper Vries (1994) - Stylized facts, realignments and investment strategies in the EMS - Physica Verlag
  • Casper Vries (1994) - Stylized facts of nominal exchange rate returns - Basil Blackwell
  • Laurens Haan, DW Jansen, K Koedijk & Casper Vries (1994) - Safety first portfolio slection, extreme value theory and long run asset risks - Kluwer

  • Fieke Lecq, Casper Vries & CGE Boender (2011) - Gebrek aan macrovisie DNB ondermijnt pensioentoezicht - Sdu Uitgevers
  • Casper Vries (2011) - Opties - Meulenhof
  • Casper Vries & P Stork (2010) - The stability of the Australian banking sector - CRC Press
  • Casper Vries (2008) - Zwarte pieten in de financiële markt - Sdu Uitgevers

  • Casper Vries, MEJ (Peggy) Bracco Gartner, M Haentjens, JAC Korteweg, Menelaos Markakis, René Repasi & J Tegelaar (2017) - Implications of Brexit on EU Financial Services - [link] - European Parliament, Directorate- General for Internal Polices, Policy Department A
  • Casper 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 Vries, Philipp Hartmann & S Straetmans (2006) - Banking systems stability: A cross Atlantic perspective - NBER
  • Jan Slijkerman, Dirk Schoenmaker & Casper Vries (2005) - Risk Diversification by European Financial Conglomerates - TINBERGEN INSTITUUT
  • S Caserta & Casper Vries (2005) - Auctions with Numerous Bidders - TINBERGEN INSTITUUT
  • JL (Jaap) Geluk & Casper Vries (2004) - Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
  • DJC (David) Smant, Jan Slijkerman & Casper Vries (2004) - Credit Rationing Effects of Credit Value-at-Risk - Tinbergen Institute
  • A Ferreira & Casper Vries (2004) - Optimal confidence intervals for the tail index and high quantiles
  • Casper Vries, Philipp Hartmann & S Straetmans (2004) - Fundamentals and joint currency crises
  • PW van Foreest & Casper Vries (2002) - The forex regime and EMU expansion
  • Casper Vries, STM Straetmans & Philipp Hartmann (2001) - Asset market linkages in crisis periods
  • Casper Vries, MR (Michael) Baye & DJ (Dan) Kovenock (2000) - Comparative analysis of ligitation systems
  • J (Jón) Danielsson, Laurens Haan, L (Liang) Peng & Casper Vries (2000) - Using a bootstrap method to choose the sample fraction in tail index estimation
  • Casper Vries & Ivo Arnold (1999) - Endogenous financial structure and the transmission of ECB policy
  • S Caserta, J Danielson & Casper Vries (1998) - Abnormal returns, risk and options in large data sets
  • Casper Vries & Ivo Arnold (1998) - The Euro, prudent coherence? - Tinbergen Institute
  • Casper Vries, PA (Patrick) Groenendijk & A (André) Lucas (1998) - A hybrid joint moment ratio test for financial time series
  • Casper Vries & J Danielson (1998) - Beyond the sample: extreme quantile and probability estimation
  • Casper Vries & J Danielson (1998) - Value-at-risk and extreme returns
  • Casper Vries, J Potters & F van Winden (1997) - An experimental examination of rational rent-seeking
  • SN Schotman, STM Straetmans & Casper Vries (1997) - Big news in small samples
  • DW Jansen, CG (Kees) Koedijk & Casper Vries (1995) - Operationalizing safety first portfolio selection using extreme value theory

  • Fieke Lecq, Casper 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

Seminar Quantitative Macroeconomics

Level
master
Year
2021
Year Level
master
Course Code
FEM11125

Advanced Money, Credit and Banking

Year
2021
Year Level
master, master, master
Course Code
FEM11015

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