Research Output per year
Research Output per year
Personal profile
Personal information
Ton Vorst is full professor at the department of Finance at VU University Amsterdam. He is head of the VU Amsterdam School of Finance and Risk Management. Ton Vorst holds a PhD in Mathematics from the University of Utrecht and was full professor in Finance at Erasmus University Rotterdam, before joining VU University in 2006 on a parttime basis. From 2000 until the end of 2009 he was Executive Vice President at ABN-AMRO and later on RBS, responsible for quantitative risk management. He is associate editor of the Journal of Derivatives and has held 8 other associate editorships at international academic journals in the past.
Research
Main research interests are in pricing and hedging of derivatives, risk management and asset-liability management.
Teaching
Supervising PhD students and master's students.
Ancillary activities
No ancillary activities
Ancillary activities are updated daily
Fingerprint
Dive into the research topics where Ton Vorst is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Research Output
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An Empirical Analysis of CDO Data
Leijdekker, V., Voort, M. & Vorst, A. C. F., 2008, Credit Risk, Models, Derivatives and Managements. Wagner, N. (ed.). Chapman & Hall, p. 457-484Research output: Chapter in Book / Report / Conference proceeding › Chapter › Academic
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Comparing possible proxies of corporate bond liquidity
Vorst, A. C. F. & Houweling, P., 2005, In : Journal of Banking and Finance. 29, 6, p. 1331-1358Research output: Contribution to Journal › Article › Academic › peer-review
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Life after VaR
Boyle, P., Hardy, M. & Vorst, A. C. F., 2005, In : Journal of Derivatives. 13, 1, p. 48-55Research output: Contribution to Journal › Article › Academic › peer-review
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Pricing default swaps: Empirical evidence
Houweling, P. & Vorst, A. C. F., 2005, In : Journal of International Money and Finance. 24, 8, p. 1200-1225Research output: Contribution to Journal › Article › Academic › peer-review
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Valuing Euro Rating-Triggered Step-Up Telecom Bonds
Houweling, P., Mentink, A. & Vorst, A. C. F., 2004, In : Journal of Derivatives. 11, 3, p. 63-80Research output: Contribution to Journal › Article › Academic › peer-review
Activities
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IIR conferentie Risicomanagement voor Pensioenfondsen
A.C.F. Vorst (Organiser)
22 Sep 2010Activity: Participating in or organising an event › Conference › Academic
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The mathematics behind credit risk modelling
A.C.F. Vorst (Speaker)
26 Feb 2010Activity: Lecture / Presentation › Academic
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Risk and return in credits
A.C.F. Vorst (Speaker)
14 Oct 2010Activity: Lecture / Presentation › Academic
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Dynamisch ALM-beleid bij banken en pensioenfondsen
A.C.F. Vorst (Speaker)
4 Nov 2010Activity: Lecture / Presentation › Academic