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.

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

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

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

Regional Science and Urban Economics