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Person

Prof.dr. A. Lucas

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Expertise	Financial markets, risk management, asset pricing, financial econometrics
Expertise (NL)	Financial markets, risk management, asset pricing, financial econometrics
Digital Author ID	info:eu-repo/dai/nl/109546369
Addition	Programme Director Risk Management, Duisenberg school of finance
Grants/prizes	NWO-Vici 2010

Active as

Professor
Organisation	Department of Financial Business Administration (VU)
Chair (EN)	Financial markets and institutions
Chair (NL)	Financiële markten en instellingen
Phone	+31-20-5986039
Email	a. lucas -at- vu. nl
URL	http://staff.feweb.vu.nl/alucas

Publications

Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Cash flow and discount rate risk in up and down markets: What is actually priced?
Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective
Systematic risk diagnostics
Risk aversion under preference uncertainty

All publications..

Current research

(the most recent research is at the top)
Supervisor	Essays in Financial Econometrics
Supervisor	Essays on Monte Carlo Methods for State Space Models
Project leader	a new class of econometric models for time-varying risk

Completed research projects

(the most recent research is at the top)
Supervisor	Predicting Cross-Sections of Conditional Default Probabilities Using Common Factors from Macro Data and Unobserved Components in a Non-Gaussian Panel Data Framework
Project leader	Finance and Banking
Supervisor	Empirical Studies on Credit Risk
Supervisor	Modeling portfolio default risk with emphasis on dependency, extreme event and robust statistical procedures
Supervisor	The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis

Classification

A52000	Trade and international commerce
D43000	Economics

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