Casper de Vries

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

88

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

On Agricultural Commodities' Extreme Price Risk

(forthcoming in Extremes)
Number of pages: 34 Posted: 23 Feb 2021
Government of Canada - Bank of Canada, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR)
Downloads 17 (658,990)

Abstract:

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Commodity prices, extreme value theory, heavy tails, risk management

2.
Downloads 36 (452,012)

Asset-Based Lending

CESifo Working Paper No. 7662
Number of pages: 50 Posted: 25 Jul 2019
Suzanne Bijkerk and Casper de Vries
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 36 (533,083)

Abstract:

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asset-based lending, floating, collateral, adverse selection

3.

Currency Futures' Risk Premia and Risk Factors

DIW Berlin Discussion Paper No. 1866
Number of pages: 43 Posted: 04 May 2020
Kerstin Bernoth, Jürgen von Hagen and Casper de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR)
Downloads 35 (526,176)

Abstract:

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Forward premium puzzle, uncovered interest parity, futures rates, risk premium, currency excess returns, capital asset pricing model