Deadline: July 1, 2012
Open to: applicants with Master in Statistics, Actuarial Sciences, Econometrics or related fields
Scholarship: a tax-free monthly grant for two times two years
Description
Under the framework of the 5-year research project “Stochastic Modelling of Dependence: Systems under Stress”, sponsored by the Académie Louvain, the Université catholique de Louvain opens up to four PhD positions in statistics, econometrics or actuarial sciences. The overall goal of the research project is to construct new ways of measuring and modelling risks in systems with intricate dependence structures, moving towards model assumptions that better reflect real life complexity. Particular attention is to be paid to
the behaviour of such systems in periods of distress, that is, upon the arrival of shocks, after structural breaks, or when comovements between risk factors are higher than usual.
The specific topics for the open positions are:
1. Time Series Analysis: Development of multivariate mixed models (panel data, factor models) of nonstationarity (structural breaks, local stationarity).
2. Nonlinear Dependence and Actuarial Risk Theory: Copula models, extremal dependence, interplay between stochastic orderings and dependence concepts, effect of the dependence structure in optimal decision problems.
3. Financial econometrics: Modelling high-dimensional volatility matrices in dynamic models, including model construction, estimation, prediction, and testing.
4. Functional Data Analysis: functional vector autoregession, functional classification and prediction, weak dependence, minimax theory.
Eligibility
The applicants should have the following profile:
To have completed (or you are near completion) of a five-year Master in Statistics, Actuarial Sciences, Econometrics or related fields (e.g. applied mathematics, probability, physics, engineering, …) with honours.
• Strong interest in quantitative and mathematical modelling.
• Decent knowledge of written and spoken English. Knowledge of French is not required.
• Final-year master undergraduate students are especially encouraged to apply.
Scholarship
You will receive a tax-free monthly grant for two times two years. The position is a pure research position, that is, with (almost) no teaching or administrative obligations.
Application
Your job market package should include the following elements:
1. A motivation letter, including your preferred topic in the above list and the names of two contact persons
2. A detailed curriculum vitae
3. A list of past courses and grades
4. A copy of your relevant diploma(s)
5. A written work, for instance your master thesis or a paper you have written
Please send your application by email or by regular mail to:
Mrs. Nancy Guillaume,
Université catholique de Louvain,
Voie du Roman Pays 20 (L1.04.01)
B-1348 Louvain-la-Neuve, Belgium.
phone: +32 (0)10 474354
e-mail: nancy.guillaume@uclouvain.be
The deadline for application is : July 1, 2012.
Contact
Prof. Johan Segers (johan.segers@uclouvain.be)
Prof. Luc Bauwens (luc.bauwens@uclouvain.be)
Prof. Michel Denuit (michel.denuit@uclouvain.be)
Prof. Christian Hafner (christian.hafner@uclouvain.be)
Prof. Jan Johannes (jan.johannes@uclouvain.be)
Prof. Rainer von Sachs (rvs@uclouvain.be)
Prof. Sébastien Van Bellegem (sebastien.vanbellegem@uclouvain.be)
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