Associate Professor of Financial Engineering at the University of Twente, Faculty of Behavioural Management and Social Sciences, Dept. Industrial Engineering and Business Information Systems.
Coordinator of the track Financial Engineering and Management in the Master Industrial Engineering and Management.
Value, risk and time in decision making:
- discounted cash flow methods for projects and firms, as in Corporate Finance and Management Accounting
- valuation of derivatives and (real) options, as in Financial Engineering and Financial Mathematics
- measurement of extreme risk, and its application in the financial sector, as in BIS and Solvency regulation
- behavioral aspects of decision making under uncertainty, as in e.g. Prospect Theory.
- axiomatic frameworks for non-recursive valuation, with a normative interpretation
- a simple universal update principle without reference to probability or utility, including Bayesian updating as special case
- models for value and risk in which local (stepwise) properties no longer dictate the long-term features
- reconciliation of the impact of long- and short-term risk on value, by an extended form of Dynamic Programming.
The main publications and working papers are available via UTpublications
Some additional papers can be found here
- Corporate Finance (411001)
- Risk Management (186018)
- Management Control for Financial Institutions (186162)
- Finance for Engineers (201400056, 201400301)
Berend Roorda graduated in Mathematics at the University of Groningen in 1989, after which he spent a year at the PTT Research Telematics Laboratory in Groningen. In 1995 he obtained his PhD in Econometrics at the Tinbergen Institute, Erasmus University Rotterdam. He held a post-doc position at Groningen University, sponsored by the Dutch Institute for Systems and Control. He was affiliated with the department of Econometrics of Tilburg University from 1996 to 2001, mainly as post-doc for a project on model uncertainty of dynamical models in economics. Since September 2001, he is assistant professor at the University of Twente.