Universiteit van Tilburg -

Profile

Research

Teaching

Contact

B. (Bertrand) Melenberg

Full Professor of Econometrics and Finance
b.melenberg@uvt.nl

Faculty of Economics and Business Administration
Department of Econometrics and Operations Research

Expertise

Bertrand Melenberg is a research fellow at CentER, Tilburg University, professor in Econometrics and Quantitative Finance at the Department of Econometrics & OR, Program Director of the MSc Economics and Finance of Aging, and senior researcher at Netspar. He is also part-time affiliated to the Finance Department of the University. His research interests cover various fields such as Empirical Micro-Econometrics and Empirical Finance (Asset Pricing). He taught various courses in econometrics, finance, and statistics at both undergraduate and graduate level and supervised several Ph.D. students.

Key words

Publications

Most recent publications

Kerkhof, F.L.J., Melenberg, B., & Schumacher, J.M. (2010). Model risk and capital reserves. Journal of Banking and Finance, 34(1), 267-279. Further information
Stevens, R., De Waegenaere, A.M.B., & Melenberg, B. (2010). Logevity risk in pension annuities: The effect of product design. Insurance : Mathematics & Economics, 46(1), 222-234. Further information
Hari, N., De Waegenaere, A.M.B., Melenberg, B., & Nijman, T.E. (2008). Longevity risk in portfolios of pension annuities. Insurance : Mathematics & Economics, 42(2), 505-519. Further information
Hari, N., De Waegenaere, A.M.B., Melenberg, B., & Nijman, T.E. (2008). Estimating the term structure of mortality. Insurance : Mathematics & Economics, 42(2), 492-504. Further information
Donkers, A.C.D., Li, Y., & Melenberg, B. (2007). The econometric analysis of agent-based models in finance: An application. In H. Yin, P. Tino, E. Corchado, W. Byrne, & X. Yao (Eds.), Procedings of the 8th International Conference on Intelligent Data Engineering and Automated Learning - IDEAL 2007 (pp. 1081-1091). Berlin: Springer-Verlag. (LNCS, 4881). Further information

Click here for the complete list of publications (Tilburg University Repository Publications only)

Education

Ph.D. Thesis

Micro-econometric models of consumer behaviour and welfare, January 1992.

Supervisor: Arie Kapteyn.

Formal training

Ph.D. in Econometrics, 1992, Tilburg University

M.A. in Econometrics, 1986, University of Groningen, cum laude

B.A. in Econometrics, 1983, University of Groningen, cum laude

Career

2004- present Professor of Econometrics and Finance, Tilburg University

1999- 2003 Associate Professor of Econometrics and Finance, Tilburg

University

1993 - 1999 Assistant Professor of Econometrics, Tilburg University

1989 - 1993 Research Associate, N.W.O. (Netherlands Organization for

Scientific Research)

1991 - 1993 Lecturer (0.2), Tilburg University

1986 - 1989 Research Associate, Economics Institute Tilburg (EIT)

1983 - 1985 Research Assistant, University of Groningen

Research Grants

Understanding Financial Markets at the Micro Level, NWO, 2002.

Research Consultancy

Consultant New Economic School, Moscow.

Administration

Present

Co-organizer seminars Econometrics and Statistics

Past

Member Daily Board, Department of Econometrics
Secretary Daily Board, Department of Econometrics
Member Faculty Council (Faculteitsraad), Faculty of Economics
Member Faculty Committee on Human Resources Management
Member Educational Committee Econometrics and Operations Research
Member Faculty Recruitment Committee, 2002/2003 (Washington D.C.)
Coordinator Internships Econometrics and Quantitative Finance (undergraduate programme Econometrics & OR)
Member Educational Board Econometrics and Operations Research
Member Management Team Department of Econometrics and Operations Research
Organizer Informal Econometrics Seminars

Publications

Most recent publications

Kerkhof, F.L.J., Melenberg, B., & Schumacher, J.M. (2010). Model risk and capital reserves. Journal of Banking and Finance, 34(1), 267-279. Further information
Stevens, R., De Waegenaere, A.M.B., & Melenberg, B. (2010). Logevity risk in pension annuities: The effect of product design. Insurance : Mathematics & Economics, 46(1), 222-234. Further information
Hari, N., De Waegenaere, A.M.B., Melenberg, B., & Nijman, T.E. (2008). Longevity risk in portfolios of pension annuities. Insurance : Mathematics & Economics, 42(2), 505-519. Further information
Hari, N., De Waegenaere, A.M.B., Melenberg, B., & Nijman, T.E. (2008). Estimating the term structure of mortality. Insurance : Mathematics & Economics, 42(2), 492-504. Further information
Donkers, A.C.D., Li, Y., & Melenberg, B. (2007). The econometric analysis of agent-based models in finance: An application. In H. Yin, P. Tino, E. Corchado, W. Byrne, & X. Yao (Eds.), Procedings of the 8th International Conference on Intelligent Data Engineering and Automated Learning - IDEAL 2007 (pp. 1081-1091). Berlin: Springer-Verlag. (LNCS, 4881). Further information

Click here for the complete list of publications (Tilburg University Repository Publications only)

Research supervision

Ph.D. supervision

Current Ph.D. students:

Youwei Li, Understanding Financial Markets at the Micro-level (I). Joint supervision with B. Donkers.
Hendri Adriaens, Understanding Financial Markets at the Micro Level (II). Joint supervision with B. Donkers.
Caroline Tan (ABN-AMRO Bank), Modelling Credit Risk. Joint supervision with B. Werker.
Norbert Hari, Aspects of Asset Liability Management. Joint supervision with A. De Waegenaere and Th. E. Nijman.
Leon Zolotoy, Integration of international stock markets.

Past Ph. D. Students:

Erwin Charlier, Limited dependent variable models for panel data. Ph.D. defense: November 28, 1997. Jointly supervised with A. van Soest.
Rob Euwals, Empirical studies on individual labour market behaviour. Ph.D. defense: December 12, 1997. Jointly supervised with A. van Soest.
Bas Donkers, Using subjective information to test life cycle models of savings. Ph.D. defense: June 30, 2000. Jointly supervised with A. van Soest.
Joost Driessen, Empirical studies on the pricing of bonds and interest rate derivatives. Ph.D. defense: June 6, 2001. Jointly supervised with Th. E. Nijman.
Rosalia Vazquez Alvarez, A nonparametric approach to the sample selection problem in survey data. Ph.D. defense: June 26, 2001. Jointly supervised with A. van Soest.
Jeroen Kerkhof, Model risk and robust hedging. Ph.D. defense: November 7, 2003. Jointly supervised with H. Schumacher.
Simon Pobennikov, Modelling of and empirical studies on portfolio choice, option pricing, and credit risk. Ph.D. defense: November 18, 2005.

External member Ph.D. committees

Xiaodong Gong, Dmitry Danilov, Laurens Swinkels, Elbert Dijkgraaf, Qin Tu.

Teaching

Graduate programmes

Econometric Methods A, B, and C, Microeconometrics, Financial Econometrics,
Empirical Research in Economics, Econometric Models in Economics (guest lectures)

Econometrics programmes

Orientation Econometrics (first year), Introductory Econometrics, Econometric Methods, Regression Analysis and Analysis of Variance, Micro-econometrics (limited dependent variable models, duration models), Dynamic Models 1, Panel Data, Orientation QFAS, Quantitative Finance, Advanced Quantitative Finance, Empirics of Financial Markets, Empirical Applications, Microeconometrics, Statistics and Probability Theory, One- and two-week study/work trips (Germany, Sweden, New York)
Supervision Bachelor's theses in Econometrics and OR
Supervision Master's theses in Econometrics and Quantitative Finance

Business Administration programmes:

Option Theory, Financial Innovations, Statistics
Supervision Master's theses in Economics

Orientation Secondary School students:

Presentations at information days, "Proefstuderen Kwantitatieve Financiering"

(Example lectures Quantitative Finance)

Teaching Awards

1995: Best teacher award, Econometrics programme

1996: Best teacher award, Econometrics programme

B. (Bertrand) Melenberg teaches the following subjects:

Financial Econometrics (230263) Further information
Introduction Finance (35B112) Further information
Empirical Finance (35M1C9) Further information
Investment Analysis of Aging and Pensions 2 (390208) Further information

Teaching activities elsewhere

Netherlands Graduate School in Economics (NAKE)

Applied semi- and nonparametric econometrics
Testing the validity of asset pricing models with applications to stock picking and performance measurement

Tilburg Institute for Advanced Studies (TIAS)

Various lectures and computer practicals on Asset Pricing

Instituut voor Bedrijfskundige Opleidingen (VBA, clusters 3 and 4)

Asset Liability Management

New Economic School, Outreach Programme

Introductory course Econometrics for Teachers (Vilnius, July 2001)
Advanced course Empirical Finance for Teachers (Novgorod, July 2002)
Advanced course Empirical Finance for Teachers (Vladivostok, July 2003)
Advanced course Empirical Finance for Teachers (Rostov, May 2004)

Other activities

Refereeing

Annals of Operations Research, Journal of Applied Econometrics, Journal of Business & Economic Statistics, Computational Statistics & Data Analysis, The Economic Journal, Journal of Econometrics, Journal of Empirical Finance, Journal of Environmental and Resource Economics, Oxford Bulletin of Economics and Statistics, Statistica Neerlandica, European Economic Review, Transportation Science.

Guest editor, Journal of Applied Econometrics, Volume 13, Issue 5, on Application of Semiparametric Methods for Micro-Data, jointly with Joel Horowitz, M.-J. Lee, and Arthur van Soest.

Contact details
Room K 615
PO Box 90153
5000 LE Tilburg