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PhD - Scholarship: PhD Scholarships in Statistics, econometrics and actuarial sciences at Université catholique de Louvain in Louvain-la-Neuve / Belgium


Context
Under the framework of the 5-year research project "Stochastic Modelling of
Dependence: Systems under Stress", sponsored by the Académie Louvain, the
Université catholique de Louvain opens up to four PhD positions in statistics,
econometrics or actuarial sciences.
The overall goal of the research project is to construct new ways of measuring and
modelling risks in systems with intricate dependence structures, moving towards model
assumptions that better reflect real life complexity. Particular attention is to be paid to
the behaviour of such systems in periods of distress, that is, upon the arrival of
shocks, after structural breaks, or when comovements between risk factors are higher
than usual.
The specific topics for the open positions are:
1. Time Series Analysis: Development of multivariate mixed models (panel data,
factor models) of nonstationarity (structural breaks, local stationarity).
2. Nonlinear Dependence and Actuarial Risk Theory: Copula models,
extremal dependence, interplay between stochastic orderings and dependence
concepts, effect of the dependence structure in optimal decision problems.
3. Financial econometrics: Modelling high-dimensional volatility matrices in
dynamic models, including model construction, estimation, prediction, and
testing.
4. Functional Data Analysis: functional vector autoregession, functional
classification and prediction, weak dependence, minimax theory.
Profile
• You have completed (or you are near completion) of a five-year Master in Statistics,
Actuarial Sciences, Econometrics or related fields (e.g. applied mathematics,
probability, physics, engineering, ...) with honours.
• Strong interest in quantitative and mathematical modelling.
• Decent knowledge of written and spoken English. Knowledge of French is not
required.
• Final-year master undergraduate students are especially encouraged to apply.
Center for Operations Research and Econometrics (CORE)
Institut de statistique, biostatistique et sciences actuarielles (ISBA)
Terms of employment
You will receive a tax-free monthly grant for two times two years. The position is a pure
research position, that is, with (almost) no teaching or administrative obligations.
Research environment
The project is a joint venture between CORE and ISBA (formerly known as the Institut de
statistique), two renowned research centres of high international reputation. Equipped with
modern computing facilities, a statistics library, a vivid visitors program and ample funding
for scientific travel, they provide a stimulating place for scientific research. Regularly
organized short courses, workshops, and seminar series (all in English) are given by
international short and long-term visitors. A high percentage of the PhD students graduate
and succeed in starting a promising career, be it in academia or industry. CORE and ISBA
have numerous academic contacts, including those to neighboring fields (medicine,
agronomy, social science, economy, finance and engineering) as well as collaborations with
industry. CORE and ISBA are located in the heart of the modern, vivid and international
UCL university campus at Louvain-la-Neuve, in close proximity of Brussels and its
international airport, and in short travel distance to other European capitals.
How to apply
Your job market package should include the following elements:
1. A motivation letter, including your preferred topic in the above list and the names of
two contact persons
2. A detailed curriculum vitae
3. A list of past courses and grades
4. A copy of your relevant diploma(s)
5. A written work, for instance your master thesis or a paper you have written
Please send your application by email or by regular mail to
Mrs. Nancy Guillaume,
Université catholique de Louvain,
Voie du Roman Pays 20 (L1.04.01)
B-1348 Louvain-la-Neuve, Belgium.
(: +32 (0)10 474354;
:: nancy.guillaume@uclouvain.be;
www.uclouvain.be/isba - http://www.uclouvain.be/core
The deadline for application is : July 1, 2012
Contact
Prof. Johan Segers (johan.segers@uclouvain.be)
Prof. Luc Bauwens (luc.bauwens@uclouvain.be)
Prof. Michel Denuit (michel.denuit@uclouvain.be)
Prof. Christian Hafner (christian.hafner@uclouvain.be)
Prof. Jan Johannes (jan.johannes@uclouvain.be)
Prof. Rainer von Sachs (rvs@uclouvain.be)
Prof. Sébastien Van Bellegem (sebastien.vanbellegem@uclouvain.be)