Berend Roorda

berend roorda

Dr. Berend Roorda is Associate Professor of Financial Engineering at the University of Twente, Faculty of Behavioural Management and Social Sciences, Dept. Industrial Engineering and Business Information Systems.
He is coordinator of the track Financial Engineering and Management in the Master Industrial Engineering and Management.

Current Working Papers

B. Roorda & R.A.M.G. Joosten (2015). Dynamically Consistent Non-Expected Utility Preferences with Tuned Risk Aversion. This version: June 24.

B. Roorda & R.A.M.G. Joosten (2014). Tuned Risk Aversion as Interpretation of Non-Expected Utility Preferences. Presented at the FUR 2014 Rotterdam conference. Reworked to new working paper (see above).

B. Roorda & J.M. Schumacher (2015) Weakly Time Consistent Convex Risk Measures and their Dual Representations. To appear in Finance & Stochastics. DOI: 10.1007/s00780-015-0285-8


B. Roorda & J.M. Schumacher (2013). Membership conditions for consistent families of monetary valuations. Statistics & Risk Modeling, 30(3), pp. 255-280. doi:10.1524/strm.2013.1131 (last version as working paper).
Revised version of “Membership Conditions for Consistent Families of Risk Measures”. Replaces earlier working papers “When Can a Risk Measure Be Updated Consistently” (2010), and “Time Consistency of Nonconvex Risk Measures” (Netspar Discussion Paper 01/2009-006). 

R.A.M.G. Joosten & B. Roorda (2011). On evolutionary ray-projection dynamics. Mathematical Methods for Operations Research 74 (2): 147-161.

B. Roorda & J.M. Schumacher (2010). The strictest common relaxation of a family of risk measures. Insurance: Mathematics and Economics, 48 (1): 29-34.

B. Roorda (2010). An algorithm for sequential Tail Value at Risk for path-independent payoffs in a binomial tree, Annals of Operations Research 181(1): 463-483

M. Wouters, B. Roorda, R. Gal (2009). Valuation of R&D investments for new products: A real options approach focusing on key uncertainties. In: H. Sun, R. Jiao, and M. Xie (Editors), Proceedings of the 2009 IEEE International Conference on Industrial Engineering and Engineering Management, Hong Kong, 8-11 December (ISBN: 978-1-4244-4870-8).

B. Roorda & J.M. Schumacher (2007). Time consistency conditions for acceptability measures - with an application to Tail Value at Risk. Insurance: Mathematics and Economics 40(2): pp 209-230.

B.Roorda, J. Engwerda, J.M. Schumacher (2005). Performance of hedging strategies in interval models. Kybernetika 41(5): 575-592.

B. Roorda, J.M. Schumacher, J. Engwerda (2005). Coherent acceptability measures in multiperiod models. Mathematical Finance 15(4): 589-612.

B. Roorda & S. Weiland (2001). Optimal angle reduction - a behavioral approach to linear system approximation. Linear Algebra and its Applications 337(1-3): 189-235.

B. Roorda (1995). Algorithms for global total least squares modelling of finite multivariable time series. Automatica 31 (3): 391-404.

B. Roorda & C Heij (1995). Global total least squares modelling of multivariable time series. IEEE Transactions on Automatic Control 40 (1): 50-63.

B. Roorda (1995)

Global Total Least Squares - a method for the construction of open approximate models from vector time series, Tinbergen Institute Series No. 88, Thesis Publishers, 168 p, ISBN 90-5170-323-6.

(In) books

Bernard, P., Engwerda, J.C., Roorda, B., Schumacher, J.M., Kolokoltsov, V., Saint-Pierre, P., & Aubin, J.P. (2012) The Interval Market Model in Mathematical Finance: Game-Theoretic Methods. Basel: Birkhäuser.

Roorda, Berend (1997)

1 of niet 1, is dat de vraag?, in: Kritisch en Constructief - 40 jaar grensverkenningen in de econometrie, Liber Amicorum voor prof. dr. T. Kloek, ISBN 90 9010886 6, pp. 193-205.

Roorda, Berend (1999)

A sunny view on simple systems, in: The mathematics of systems and control - from intelligent control to behavioral systems, on the occasion of Jan C. Willems 60th birthday, eds J.W. Polderman and H.L. Trentelman, ISBN 90 367 1112 6, pp. 151-160.

Other Working papers

Martingale characterizations of coherent risk measures, 2004. Not published.

Other conference papers

How to apply Tail Value at Risk over multiple time steps avoiding accumulation of conservatism and extra parameters, with J.M. Schumacher, extended abstract for the Bachelier Finance Society World Congress, London, July 2008.

Coherent Risk Minimization of Derivatives in Multiperiod Models, with J. Engwerda and J.M. Schumacher, extended abstract for Bachelier 2002.

Hedge performance in interval models, with J. Engwerda and J.M. Schumacher, presented at the 1st world congress of the Bachelier Finance Society, Paris, June 28-July 1 2000.

Hedging in an interval model, with J. Engwerda and J.M. Schumacher, proceedings of the 19-th Benelux Meeting on Systems and Control, Mierlo, the Netherlands, page 87, March 1-3, 2000.

Optimal Hankel-norm model reduction by truncation of trajectories, with S. Weiland, proceedings of the 14-th International Symposium of Mathematical Theory of Networks and Systems, Perpignan, France, June 19-23, 2000.

A behavioral approach to optimal model reduction, with S. Weiland, proceedings of the American Control Conference, San Diego, U.S.A, 4461-4465, June 2-4, 1999; also available as Report IR98 I/05, Eindhoven University of Technology.

An optimal model approximation scheme for linear time-invariant behaviors, with S. Weiland, proceedings European Control Conference, Karlsruhe, Germany, August 31-September 3, 1999; also available as Report IR99 I/02, Eindhoven University of Technology.

l2-optimal linear system identification: structured total least squares for siso systems, with B. de Moor. Proceedings of the 33th Conference on Decision and Control, Lake Buena Vista, Florida, pp. 2874-2879, December 1994.

Noise minimization in factor models, with C. Heij. Proceedings of the IFAC Identification SYSID'94 Conference, Copenhagen, Denmark, vol. 3 pp. 203-206, July 1994.

A behavioural approach to l2-approximation, with C. Heij. In Systems and Networks: Mathematical Theory and Applications, vol. 2, pp. 207-210. Akademie Verlag, 1993.

The l2-optimal approximate modelling problem, with C. Heij, proceedings of the 32nd Conference on Decision and Control, San Antonio, Texas, pp. 3649-3651, Dec. 1993.

On l2-optimal approximate modelling of vector time series, with C.Heij, proceedings of the 2nd European Control Conference, Groningen, The Netherlands, pp. 1219-1224, June 1993.

A modified canonical correlation approach to approximate state space modelling, with C. Heij, proceedings of the 30th Conference on Decision and Control, Brighton, England, pp. 1343-1348, Dec. 1991.

Current Teaching activities

Corporate Finance (411001)

Risk Management (186018)

Management Control for Financial Institutions (186162)


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.

His fields of interest are financial engineering, financial mathematics, econometrics, systems theory, and corporate finance. His research focuses on financial risk management, in particular for banks, insurance and pension funds. Central themes are the dynamics of risk, time consistency, and the reconciliation of long- and short term risk perspectives in risk management. He is a Netspar Research Fellow.