The Amsterdam School of Economics (ASE)  has a vacancy for a fully-funded PhD candidate in the field of Pricing climate risks in portfolios of pension funds and other institutional investors.

There is a strong trend among large institutional investors, such as large pension funds, to reduce investments in activities with a large environmental burden. Existing empirical evidence suggests that such a strategy does not come at the cost of a worse risk-return trade-off of the investment portfolio. For example, it is possible to design portfolios with a low carbon content that exhibit hardly any difference in performance when compared with the performance of portfolios that are unrestricted in their carbon content. In fact, there is a danger that carbon-intensive assets become stranded or that carbon emissions will get priced around the world, in which case portfolios that are low on carbon will start to outperform portfolios that are unrestricted in carbon. This project explores from both a theoretical and empirical viewpoint the optimal (dynamic) design of investment portfolios in the presence of climate risk. Important aspects are tail risks such as macroeconomic catastrophes caused by climate change, the intensity and the timing of climate change, and the impact of policy responses to climate change on financial markets.

• Strong quantitative background, preferably in econometrics and/or finance.

You will be appointed for an initial period of one year with a possibility to extend it for an additional two years, pending positive evaluation. As part of your contract, you will spend 20% of your time on teaching. You will be classified as PhD candidate (promovendus) in the Dutch University job-ranking system (UFO), providing a gross monthly starting salary of €2,222 or €2,588 in the first year (which increases to €2,840 in the final year) with an additional end-of-year bonus (8.3%) and holiday allowance (8%). The Collective Labour Agreement for Dutch Universities is applicable. 

Preferred starting date: by mutual agreement.

University of Amsterdam

With over 5,000 employees, 30,000 students and a budget of more than 600 million euros, the University of Amsterdam (UvA) is an intellectual hub within the Netherlands. Teaching and research at the UvA are conducted within seven faculties: Humanities, Social and Behavioural Sciences, Economics and Business, Law, Science, Medicine and Dentistry. Housed on four city campuses in or near the heart of Amsterdam, where disciplines come together and interact, the faculties have close links with thousands of researchers and hundreds of institutions at home and abroad.  

The UvA’s students and employees are independent thinkers, competent rebels who dare to question dogmas and aren’t satisfied with easy answers and standard solutions. To work at the UvA is to work in an independent, creative, innovative and international climate characterised by an open atmosphere and a genuine engagement with the city of Amsterdam and society.

http://www.uva.nl/en/home

Amsterdam School of Economics

The Faculty of Economics and Business (FEB) provides academic courses for more than 5,000 students in Economics and Business, Actuarial Sciences, Econometrics & Operations Research, Economics of Taxation, and a variety of postdoctoral courses. The Faculty also conducts research programs in many specialist areas and employs about 400 people. The FEB has an internationally acclaimed profile and is located in the heart of Amsterdam. FEB consists of the Amsterdam Business School and the Amsterdam School of Economics (ASE). ASE is among the top economics research institutes in Europe.

The section MInt in ASE features research in macroeconomics, international economics, monetary economics, financial markets and pension economics. It is responsible for teaching in these areas at the BSc and MSc level. The section also actively participates in the teaching and research activities of the Tinbergen Institute, the graduate school of ASE.

http://ase.uva.nl/