< Back to previous page
Researcher
Steven Vanduffel
- Keywords:Economics and applied economics
- Disciplines:Mathematical and quantitative methods not elsewhere classified, Mathematical methods, programming models, mathematical and simulation modelling, Other social sciences not elsewhere classified
Affiliations
- Finance and Insurance (Research group)
Responsible
From21 Oct 2010 → Today - Business (Department)
Member
From15 Nov 2019 → 30 Sep 2020 - Business (Department)
Member
From15 Nov 2019 → 30 Sep 2020 - Business (Department)
Member
From8 Apr 2019 → Today - Business (Department)
Member
From1 Oct 2011 → 20 Oct 2022 - Economic, Monetary and Financial Policy (Department)
Member
From1 Oct 2008 → 30 Sep 2011
Projects
1 - 4 of 4
- Optimal Risk Sharing in the context of systemic risk and longevity riskFrom1 Jan 2024 → TodayFunding: FWO research project (including WEAVE projects)
- Belgian Economy Today: A high-frequency data aggregation and visualisation platform for adequate and timely economic analysisFrom1 Nov 2020 → 31 Oct 2021Funding: FWO Special Call for Covid-19 research projects
- SBO project with a primary societal finality : Towards efficient pillar II and III pension decisions in Belgium: Product innovations, customized goal-based pension planning and nudgingFrom1 Oct 2020 → TodayFunding: FWO Strategic Basic Research (SBO)
- New Quantitative Methods for Model Risk Assessment in the Banking and Insurance IndustryFrom1 Nov 2019 → 31 Oct 2023Funding: FWO fellowships
Publications
1 - 10 of 53
- Up- and down-correlations in normal variance mixture models(2024)
Authors: Steven Vanduffel
- Model Risk Management Risk Bounds under Uncertainty(2024)
Authors: Ludger Rüschendorf, Steven Vanduffel, Carole Bernard
Number of pages: 324 - Corrigendum and addendum to “Range Value-at-Risk bounds for unimodal distributions under partial information” [Insurance(2023)
Authors: Carole Bernard, Rodrigue Kazzi, Steven Vanduffel
Pages: 110-119 - ETF Basket-Adjusted Covariance estimation(2023)
Authors: Kris Boudt, Kirill Dragun, Orimar Sauri, Steven Vanduffel
Pages: 1144-1171 - Coskewness under dependence uncertainty(2023)
Authors: Carole Bernard, Jinghui Chen, Steven Vanduffel
- Optimal Multivariate Financial Decision Making(2023)
Authors: Carole Bernard, Luca De Gennaro, Steven Vanduffel
Pages: 468-483 - Coskewness under dependence uncertainty.(2023)
Authors: Carole Bernard, Jinghui Chen, Ludger Rüschendorf, Steven Vanduffel
- A Practical Approach to Quantitative Model Risk Assessment(2023)
Authors: Carole Bernard, Rodrigue Kazzi, Steven Vanduffel
Pages: 1-19 - The impact of correlation on (Range) Value-at-Risk(2023)
Authors: Carole Bernard, Corrado De Vecchi, Steven Vanduffel
Pages: 531-564 - The optimal payoff for a yaari investor(2022)
Authors: Kris Boudt, Kirill Dragun, Steven Vanduffel
Pages: 1839-1852