Vrije Universiteit Amsterdam
Department of Finance
7A-47 De Boelelaan 1105
1081HV Amsterdam.

d.wang@vu.nl

Dieter Wang

PhD Candidate in Financial Econometrics
Tinbergen Institute and Vrije Universiteit Amsterdam

NEWS Visiting Scholar at Columbia Business School, New York,.

NEWS Secondment as Quantitative Analyst in Green Finance at the World Bank, Washington DC.

Financial Contagion · Network Econometrics · Green Finance · State-Space Models
What role do financial networks play in the contagious spread of default risk? Do they amplify or do they dampen?

This, in a nutshell, is the guiding question for my research. As a visiting researcher at De Nederlandsche Bank, I'm able to find answers to this question with the help of detailed supervisory datasets. Since contagion is unobserved and inherently dynamic, I develop a new class of spatial econometric state-space models to extract policy-relevant signals of the network. However, because the estimation of such highly nonlinear time series models with stochastic volatilty is challenging, I employ simulation-based methods like the particle filter.

At the World Bank I work on sustainability finance, where I try to identify what role environmental variables play in sovereign risk. See here for a report on our project. In another project, I work on famine prediction and try to model the dynamics of food insecurity in conflict-ridden areas. See here (WB) and here (Washington Post) for press coverage of our project.

International banking statistics
http://dieter.wang/internationalbanking

How a shock ripples through a network
http://dieter.wang/ripplingnetwork

Chain of contagion
http://dieter.wang/contagionchain

Seminars and Conferences
[*] scheduled
2018
 • 71st European Meeting of the Econometric Society (EEA-ESEM), Cologne
 • International Banking, Economics and Finance Association 2018 Summer Meeting, Vancouver
 • Research Seminar, International Monetary Fund (MCM), Washington D.C.
 • Research Lunch Seminar, Federal Reserve Board, Washington D.C.
 • Research Seminar, Office of Financial Research, Washington D.C.
 • 2018 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics, Bank of Finland
 • DNB Research Lunch Seminar, De Nederlandsche Bank
2017
 • 30th Australasian Finance & Banking Conference, UNSW Business School
 • Finance@VU lunch seminar, VU Amsterdam
 • Workshop on spatial and spatio-temporal data analysis, Tohoku University - invited guest speaker
 • International Finance and Banking Society Conference, Saïd Business School, Oxford University
 • 11th World Conference of the Spatial Econometrics Association, Singapore Management University
 • Tinbergen Institute PhD Finance Seminar, Tinbergen Institute Amsterdam
2016
 • VU Econometrics Brown Bag Seminar, VU Amsterdam
Teaching

Graduate level

Lecturer, Financial Econometrics in Python, Northeast Normal University
TA/Lecturer, Financial Markets and Institutions, VU Amsterdam
TA, Empirical Finance and Accounting (Stata), VU Amsterdam
TA, Advanced Asset Management, Amsterdam Business School
TA, Mathematics I, Tinbergen Institute
TA, Introduction to Programming + LaTeX course (Matlab, Ox), Tinbergen Institute

Undergraduate level

Supervisor, Bachelor Thesis, VU Amsterdam
TA, Finance I, VU Amsterdam
TA, Quantitative Methods of Economics, Eberhard Karls Universität Tübingen
TA, Intermediate Microeconomics, Eberhard Karls Universität Tübingen
TA, Risk and Probability, Eberhard Karls Universität Tübingen
TA, Mathematical Methods of Economics, Eberhard Karls Universität Tübingen

Honors and Awards

2017, VU Innovation Prize (€50,000) with Ines Lindner and Bernd Heidergott
2015, DAAD Graduate Scholarship
2014, Tinbergen Institute Scholarship
2012, DAAD Full-Year Exchange Scholarship

Refereeing

Regional Science and Urban Economics

Contact

Vrije Universiteit Amsterdam
Department of Finance
7A-47 De Boelelaan 1105
1081HV Amsterdam.

d.wang@vu.nl