Sander Nijland, Frm Email & Phone Number

Amsterdam, North Holland, Netherlands

Amsterdam En Omgeving, Nederland

- Maintaining and improving in-house developed risk models (VaR/ES, greeks, stress testing)- Validating pricing models for the in-house developed pricing library (Vanilla/Exotic equity options and Fixed income)- Reporting Market Risk activities on board level

Title: 15 years of backtesting Expected Shortfall: what do we know?Short abstract:In this thesis we compare the different backtesting procedures researched in the last 15years and evaluate them in terms of size, power and ease of use. Moreover, the backtestswill be evaluated under different scenarios, including conditional on the number of violationsand estimation errors in the parameters. The last is mostly of interest for practitioners; howdo the results change… Show more Title: 15 years of backtesting Expected Shortfall: what do we know?Short abstract:In this thesis we compare the different backtesting procedures researched in the last 15years and evaluate them in terms of size, power and ease of use. Moreover, the backtestswill be evaluated under different scenarios, including conditional on the number of violationsand estimation errors in the parameters. The last is mostly of interest for practitioners; howdo the results change when we fit a certain distribution to the data. The results showthat the methods of Wong and Van Straelen, both based on saddle point approximations,provide the best results in terms of test size, high power and computational ease. From apractitioners point of view the Wong test is preferred due to its simplicity. Show less

Advising both companies and pension funds with respect to pension valuations and financing:- Pension premium calculations - Annual reporting- Pension scheme redesign projects

Made a simulation model to calculate waiting and throughput times for a blood donation centre. Had the opportunity to present the model and results to the board of directors. The possibility of implementing the model in the actual planning process is being investigated.

Frm Certification

Financial Econometrics

Activities and Societies: A.A.S.R. Skøll

Bachelor Of Science (Bsc), Actuarial Science, Econometrics, Operational Research

Activities and Societies: A.A.S.R. Skøll