1993 …2022
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Personal profile

Research interests

Bas Werker is professor of Finance and Econometrics at Tilburg University. His research interests cover various fields in asset pricing and asymptotic statistics. He has published work in journals as the Annals of Statistics, the Journal of Econometrics, and the Journal of Finance and the Review of Financial Studies. In the past he has been affiliated to Université de Sciences Sociales in Toulouse and the Université Libre de Bruxelles (ECARES). He has taught courses in econometrics, investment analysis, and statistics at both the undergraduate and graduate level in various schools around the world. Moreover he supervises several Ph.D. students. He is a Fellow of the Society for Financial Econometrics and Netspar researcher coordinator. Bas Werker is also author of the Tilburg Finance Tool.

Career

2001 - present

Professor of Econometrics and Finance, Tilburg University

2000 - 2001

Associate Professor of Econometrics and Finance, Tilburg University

1997 - 2000

Chargé de Cours Mathematical Statistics and Finance, Université Libre de Bruxelles

1996 - 1999

Assistent Professor of Econometrics, Tilburg University

1996

Post-doc (TMR), Université des Sciences Sociales, Toulouse

1991 - 1995

Ph.D. Student, Tilburg University

1989 - 1991

Research Assistant Economics Institute, Tilburg University

Current courses

Click here for my courses.

PhD supervision

 

 

External positions

Member 'Committee Parameters' (Lid Commissie Parameters)

22 Jan 20191 Jun 2019

Chaiman D66 Brabant (D66)

7 Dec 201327 Nov 2019

Keywords

  • Financial Mathematics
  • Financial Economics, Models
  • Financial Management
  • Finance
  • Statistical Methods
  • Stocks
  • Financial Markets
  • Options
  • Financial Econometrics
  • Econometrics

Fingerprint Dive into the research topics where Bas Werker is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

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Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1993 2019

Baten van slimme toedeling rendementen hoger dan van intergenerationele risicodeling

Muns, S. & Werker, B., 25 Sep 2019, In : Economisch Statistische Berichten. 4777, p. 427-429

Research output: Contribution to journalArticleProfessional

De Bepaling van de Marktwaarde van Bestaande Aanspraken in een Uitkeringsovereenkomst

Nijman, T., Bovenberg, L., Werker, B., Lever, M., Kocken, T., van Hoogdalem, S., Bouwman, K., Bonenkamp, J., Balter, A. & Boeijen, D., 2019, Tilburg: NETSPAR. 34 p. (Netspar Occasional Paper; vol. 2019, no. 03)

Research output: Book/ReportReportProfessional

Open Access
File

Semiparametrically point-optimal hybrid rank tests for unit roots

Zhou, B., van den Akker, R. & Werker, B. J. M., Oct 2019, In : The Annals of Statistics. 47, 5, p. 2601-2638

Research output: Contribution to journalArticleScientificpeer-review

The effect of the assumed interest rate and smoothing in variable annuities

Balter, A. G. & Werker, B. J. M., 31 Oct 2019, In : ASTIN Bulletin.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Variable annuities
Interest rates
Smoothing
Black-Scholes
Deviation

Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

Gertsman, G., Frehen, R. & Werker, B., Nov 2019, (In preparation) SSRN, 49 p. (SSRN Journal).

Research output: Working paperOther research output

File
Uncertainty
Hedge
Investors
Equity markets
Derivatives

Activities 1997 1997

  • 6 Invited talk

Fifth Workshop on Financial Econometrics

B.J.M. Werker (Speaker)
1 Dec 1997

Activity: Talk or presentation typesInvited talkScientific

Adaptivity in Time Series

B.J.M. Werker (Speaker)
1 Feb 1997

Activity: Talk or presentation typesInvited talkScientific

ASU '97

B.J.M. Werker (Speaker)
1 May 1997

Activity: Talk or presentation typesInvited talkScientific

Adaptive Estimation in Time Series

B.J.M. Werker (Speaker)
1 Feb 1997

Activity: Talk or presentation typesInvited talkScientific

Conference/Workshop on Non Parametric and Semiparametric Statistics

B.J.M. Werker (Speaker)
1 Nov 1997

Activity: Talk or presentation typesInvited talkScientific

Projects 1998 2022

Behavioral biases and individual heterogeneity in pensions: Household Asset Liability Management

Goossens, J., Werker, B., Ponds, E., Knoef, M. & van den Goorbergh, R. W. J.

1/09/1831/08/22

Project: Research project

The price of macroeconomic announcement news

Werker, B. & Sarisoy, C.

1/09/111/09/14

Project: Research project

Risk-sharing with financial fairness

Pazdera, J., Schumacher, J. M. & Werker, B.

15/10/091/09/12

Project: Research project

Macroeconomic fundamentals and asset markets

Hu, J., Werker, B. & de Goeij, P.

1/09/0931/12/11

Project: Research project

Limiting experiment for jump-diffusion and panel data models

Becheri, I. G., Werker, B., Drost, F. C. & van den Akker, R.

1/09/0921/12/12

Project: Research project

Prizes / Recognition