Applications are invited for a Ph.D. student (OiO) position for the project
"Extreme values in high-dimensional time series"
Department of Econometrics and Operations Research & Center for Economic
Research
Tilburg University
Project summary. A useful way to measure the risk of a portfolio of
financial securities is by the probability that its loss is larger than
some threshold. Rather than estimating this probability separately for every
possible portfolio, a more efficient way is to start from a joint model for
all available assets. Since the number of assets is typically high, the
technical challenge is therefore the analysis of extremes of a
high-dimensional time series. This requires a combination and extension of
available techniques from multivariate analysis, time series analysis and
statistics of extremes.
The 4 year position, sponsored by the Netherlands Organization for
Scientific Research (NWO), is expected to be effective from August 15, 2005
or soon thereafter. The project, supervised by Prof.dr. John Einmahl and Dr.
Johan Segers, will mainly involve the successful writing and defending of a
doctoral dissertation. Apart from conducting research, the Ph.D. student
will take relevant courses and teach for a limited part of the time. Stays
abroad are possible. For more information, please contact Johan Segers at
[log in to unmask] or John Einmahl at [log in to unmask] The monthly salary
ranges from about 1800 Euro in the first year to about 2400 Euro in the
fourth year.
Requirements. The successful candidate must possess a relevant Master degree
in mathematics, statistics, econometrics or finance. Emphasis will be placed
on the candidates' research potential and commitment.
How to apply. Please send a letter with curriculum vitae and copies of some
written work to:
Prof.dr. John Einmahl
Department of Econometrics and OR
Tilburg University
PO Box 90153
NL-5000 LE Tilburg
The Netherlands
Please specify: Project NWO OC. Application deadline: April 30, 2005.
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