Econometrics expert visits

Econometrics expert visits

A half-day workshop on this topic, along with a second presentation on a liability-relative drawdown approach to pension asset liability management, were delivered as part of a separate event at Macquarie Applied Finance Centre attended by more than 35 people, largely from industry, on 24 November.

Panel discussions followed each session and involved Frank Ashe, Honorary Fellow MAFC; David Bell, Chief Investment Officer, Mine Wealth and Wellbeing Super Fund; Simon Russell, director of Behavioural Finance Australia and Steve Christie, Director and Principal of ACD Financial, along with Associate Professor Peter Vann, MAFC, as moderator.

The additional campus workshop, attended by almost 20 participants, was held on 1 December 2016 at the Experimental Lab at MGSM and was targeted at PhD students. It explored attitudes to risk and uncertainty as a key component of most economic models and examined developments in the past two decades in methods to measure these preferences in the lab and in the field, and ways of improving outcomes through careful design and implementation of models.

The workshop reviewed some of the standard methods for measuring risk attitudes commonly applied in the literature. It also looked at a relatively new strand of literature involving measuring people’s attitudes to ambiguity where decision problems arise because the probabilities of outcomes are not known, or “unknown unknowns”.

Roy is also director of the PhD Program at Mahidol University’s College of Management in Bangkok. Roy received his PhD in Finance from Erasmus University Rotterdam in the Netherlands and he is a CFA charterholder. Prior to joining CMMU, Roy held positions as quantitative analyst at AEGON Asset Management, The Netherlands, as a postdoctoral fellow at the University of British Columbia, Canada, and as assistant professor at the Asian Institute of Technology, Thailand. He is a visiting researcher at the Erasmus School of Economics, The Netherlands.

Dr Kouwenberg’s research areas are investment and behavioural finance. His main focus is on behavioural portfolio choice, especially the impact of loss aversion and ambiguity aversion on stock market participation. He has also done extensive research on financial risk management, especially asset-liability management for pension funds and insurance firms.

Dr Kouwenberg has published his work in the Journal of Financial Economics, Management Science, the Journal of Financial & Quantitative Analysis and the Review of Economics & Statistics, amongst others. He is an editor of the Journal of Pension Economics and Finance, published by Cambridge University Press. He has refereed articles for the Journal of Finance, Review of Financial Studies, American Economic Review and Econometrica.

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