The Informatics Institute, one of the research institutes within the Faculty of Science, and the Leibniz Center for Law, one of the research institutes within the Faculty of Law, have a vacancy for a PhD candidate on simulation environment.

Since the financial crisis in 2008 strict regulatory requirements on data quality have been introduced by the European and national banks for the financial sector. While 100% data quality is the imposed target level, it is recognized that this is an unrealistic number from a practical perspective. Missing from a data analytics perspective, are scientific tools that treat residual data failures and mistakes as systematic uncertainties, and that propagate these systematic effects in the predictions coming from financial risk models. In other words tools that are able to quantify the accuracy and reliability of the predictions of models and algorithms under the assumption that the data is not 100% correct.

The PhD candidate will develop a simulation framework that allows simulation of (historic) data and systematic effects to test the robustness and reliability of algorithms and models. The framework should be able to autonomously identify and extract relevant correlations from any given dataset and simulate a dataset that reproduces these correlations. Furthermore, the framework should be able to generate distortions to these (simulated) datasets that reflect in various levels the impact of known and measured data quality issues. The distorted datasets are fed into risk models to study the robustness of an algorithm or model and to assess the impact of (systematic) uncertainties on financial risk models. It should also be possible to simulate alternative scenarios, i.e. (business) policies or decisions, within this framework. The goal being to identify the optimal scenario according to an arbitrary set of criteria from e.g. an economical or societal point of view.

Candidates should have completed a master in computer science or a related field, or will do so on short term. On a masters level, the candidates must have knowledge of statistics, model building, mathematics and strong coding abilities. Knowledge of ABM-based simulations is considered as a pre. The candidates must have the ability to give demonstrations to scientific and business audiences. Their grades demonstrate their knowledge and ambition, their master thesis their ability to continue with a PhD research in Computer Science.

The appointment will be full-time (38 hours a week) for a period of four years (initial employment is 18 months). Periodic evaluations will be held after 9 and 14 months, and upon positive evaluation, the appointment will be extended to a total of 48 months. The appointment must lead to a dissertation (PhD thesis). An educational plan that includes attendance of courses, summer and/or winter schools, and national and international meetings will be drafted for the PhD candidate. We also expect the PhD candidate to assist in teaching of undergraduate students.

The salary is in accordance with the university regulations for academic personnel. The salary will range from €2,222 (first year) up to a maximum of €2,840 (last year) before tax per month (scale P) based on a full-time appointment. There are also secondary benefits, such as 8% holiday allowance per year and the end of year allowance of 8,3%. The Collective Labour Agreement for Dutch Universities is applicable.

Among other things, we offer:

• competitive pay and good benefits;
• top-50 University worldwide;
• one of the best deep learning ecosystems in the world;
• interactive, open-minded and a very international city;
• excellent computing facilities.

English is the working language in the Informatics Institute. As in Amsterdam almost everybody speaks and understands English, candidates need not be afraid of the language barrier.

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

Informatics Institute and Leibniz Center for Law

The Informatics Institute is one of the research institutes within the Faculty of Science. The Leibniz Center for Law is one of the research institutes within the Faculty of Law. Both institutes are running broad research programs with an overlapping interest in simulation based policy analysis. EU Horizon2020 (European Commission programme for financing European research and innovation projects), together with KPMG, is funding a four to five year project within these institutes to develop and implement a simulation based policy analysis framework for the financial sector.