Dr Dennis Bams (W.F.M.)

“Another professor already held this chair before me, so I am not the first. Still, this research field is more topical than ever when you see what’s going on in the financial word.

My research focuses on three main themes. The first tries to adequately survey risks in the world of finance. Investments are mostly placed with hopes for expected (high) returns. But besides the fact that you can earn money, you also take a risk. The nature and intensity of this risk has considerably changed over the last few years. We are looking for ways of reliably estimating these risks and subsequently managing them. Ultimately it is all about the right balance between the risk you take and the return you expect to realize. Adequately modelling and managing this risk/return issue is one of my research themes.

Today, risk management is largely founded on mathematical models. There is an important discussion going on about methods of measuring the adequacy of the way banks handle risks. In this context the Bank of International Settlements (BIS) has developed the so-called Basel agreements that impose on the banks the minimal capital buffers they have to maintain for adequate coverage against extreme risks. The Basel II agreement turned out not to function, immediately after its introduction. That was shown by the great number of banks that got into difficulties during the latest financial crisis. The BIS came with new proposals that will lead to the Basel III agreement. In this context the academic profession has to make a contribution regarding the proposals in the Basel III agreement. And that is the second theme of this chair.

The third research theme regards the affordability of current pension schemes in the future. This is a different type of research field because it studies the long term. Can you assess today whether you make the right decisions, so that you can still pay pensions 20 or 30 years from now? One can never be entirely sure, but how can you reduce the risk of insufficient coverage and not being able to meet your obligations as a pension fund? This theme addresses completely different questions: how does the population develop, what happens with the salaries? For research into pension funds it is important that universities, also our own UM, participate in Netspar, a network in the field of pensions, aging and retirement.

Moreover, I will enter into partnerships in the Benelux with the University of Liege and the University of Luxemburg. This will result in common risk management research, among others by the joint supervision of PhD candidates and the co-organization of conferences in the field of risk management.”

Bams, D., I. Honarvar, T. Lehnert (2014), Market Moments Risks and the Cross Section of Stock Returns in High and Low Sentiment Periods

Bams, D., G. Blanchard and T. Lehnert (2014), Can Implied Volatility provide a better Value-at-Risk than Historical Volatility Models?

Bams, D., G. Blanchard, I. Honarvar and T. Lehnert (2014), The Impact of Oil and Gold Price Uncertainty on the Cross-Section of Stock Returns

Bams, D., M. Tyagi and P.C. Schotman (2014), Portfolio Re-balancing of Pension Funds

Bams, D., G. Blanchard and T. Lehnert (2013), On the Impact of Exclusion Filters Rules in Option Pricing

Bams, D., G. Blanchard and T. Lehnert (2013), Evaluating Option Pricing Model Performance Using Model Uncertainty

Bams, D., M. Pisa and C.C.P. Wolff (2013), Ripple Effects from Industry Defaults

Bams, D., M. Pisa and C.C.P. Wolff (2013), Modeling Default Correlation in a US Retail Portfolio

Bams, D., M. Tyagi and P.C. Schotman (2012), Modeling Hybrid Pension Plans

Bams, D., T. Lehnert and C.C.P. Wolff (2009), Loss Functions in Option Valuation: A Framework for Selection, Management Science, 55 (5), 853 – 862

Otten, R. and D.Bams (2007), The Performance of Local versus Foreign Mutual Fund Managers, European Financial Management, 13 (4), 702 – 720

Bams, D., T. Lehnert and C.C.P. Wolff (2005), An Evaluation Framework for Alternative VaR Models, Journal of International Money and Finance, 24, 944 - 958

Bams, D., K. Walkowiak and C.C.P. Wolff (2004), More Evidence on the Dollar Risk Premium in the Foreign Exchange market, Journal of International Money and Finance, 23, 271 - 282

Otten, R. and D.Bams (2004), How to Measure Mutual Fund Performance, Accounting and Finance, 44, pp. 203 - 222

Bams, D. and P.C. Schotman (2003), Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models, Journal of Econometrics 117, pp. 179-206

Bams, D. and C.C.P. Wolff (2003), Risk Premia in the Term Structure of Interest Rates: A Panel Data Analysis, Journal of International Financial Markets, Institutions, and Money, 13, pp. 211-236

Bams, D. and F. Lutgens (2002), Markowitz beleggingsportefeuilles: robuust omgaan met onzekerheid in verwacht rendement, Tijdschrift voor Bedrijfskunde.

Otten, R. and D. Bams (2002), European Mutual Fund Performance, European Financial Management, Vol. 8(1), pp. 75-101

Bams, D. and J. Wielhouwer (2001), Empirical Issues in Value-at-Risk, ASTIN BULLETIN, Vol. 31(2), pp. 299-315

Bams, D. (1999), Een Tijdreeksmodel voor de Nederlandse Rente, De Actuaris, November 1999.