Curriculum Vitae of Charlotte Christiansen

Transcription

1 Private details: Born: September 29, 1972, in Aarhus, Denmark Home Address: Skovbakkevej 27, 8220 Brabrand, Denmark. Phone: Husband: Niels Haldrup, PhD, Professor, University of Aarhus Children: Marius: * February 6, 2003 Astrid: * November 2001 Work Address: Department of Accounting, Finance and Logistics, Aarhus School of Business, Fuglesangs Alle 4, 8210 Aarhus V, Denmark Phone: Fax: mail@charlottechristiansen.dk URL: Academic Positions: September 2003 : Associate professor of Finance, Aarhus School of Business. December 2000 August 2003: Assistant professor at the Department of Finance, Aarhus School of Business. September 2000 November 2000: Postdoctoral fellow at the Department of Finance, Aarhus School of Business. February 2000 June 2000: Visiting scholar at the Department of Economics, University of California, San Diego. August 1998 December 1998: Visiting scholar at the Wharton School, University of Pennsylvania. September 1997 August 2000: Ph.D. student at the Department of Finance, Aarhus School of Business. September 1992 August 1997: Student at the School of Economics and Management, University of Aarhus. September 1991 December 1991: Student of English for non native speakers at Loughborough College, United Kingdom. Page 1 of 7

2 Degrees: February 2001: PhD (Finance), Aarhus School of Business. August 1997: MA (Economics and Business Administration), University of Aarhus. Publications: Finally Published International Refereed Journals: Charlotte Christiansen (2004): Regime Switching in the Yield Curve. Journal of Futures Markets 24(4), Charlotte Christiansen (2003): Testing the Expectations Hypothesis Using Long Maturity Forward Rates. Economics Letters 78(2), Charlotte Christiansen (2002): Credit Spreads and the Term Structure of Interest Rates. Special issue on Credit Derivatives in International Review of Financial Analysis 11(3), Charlotte Christiansen and Charlotte Strunk Hansen (2002): Implied Volatility of Interest Rate Options: An Empirical Application of the Market Model. Review of Derivatives Research 5(1), Charlotte Christiansen (2000): Macroeconomic Announcement Effects on the Covariance Structure of Government Bond Returns. Journal of Empirical Finance 7(5), Charlotte Christiansen (1999): Value at Risk Using the Factor ARCH Model, Journal of Risk 1(2), Accepted for Publication International Refereed Journals: Charlotte Christiansen (2004): Multivariate Term Structure Models with Level and Heteroskedasticity Effects, forthcoming Journal of Banking and Finance. Finally Published: Book Chapters: Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard (2004): Denmark in Jonathan A. Batten, Thomas A. Fetherston, and Peter G. Szilagyi, ed., European Fixed Income Markets: Money, Bond, and Interest Rate Derivatives, John Wiley & Sons. Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard (2004): An Empirical Study of the Term Structure of Interest Rates in Denmark ( ) in Jonathan A. Batten, Thomas A. Fetherston, and Peter G. Szilagyi, ed., European Fixed Income Markets: Money, Bond, and Interest Rate Derivatives, John Wiley & Sons. Danish Publications: Charlotte Christiansen, and Niels Haldrup (2004): Nobelprisen i Økonomi 2003, Tidsserieøkonometri: Cointegration og ARCH, Clive W. J. Granger og Robert F. Engle. Finans/Invest 2/04, Page 2 of 7

3 Working Papers: Charlotte Christiansen, Juanna Schrøter Joensen, and Jesper Rangvid (2004): Do More Economists Hold Stocks? Charlotte Christiansen (2004): Decomposing European Bond and Equity Volatility, submitted to Journal of Business and Economic Statistics. Charlotte Christiansen (2003): Volatility Spillover Effects in European Bond Markets, submitted to Journal of International Money and Finance. Charlotte Christiansen, Juanna Schrøter Joensen, and Helena Skyt Nielsen (2004): The Educational Asset Market: A Finance Perspective on Human Capital Investment, invited for resubmission to Labour Economics. Charlotte Christiansen and Jesper Lund (2002): Revisiting the Shape of the Yield Curve: The Effect of Interest Rate Volatility, invited for resubmission to Review of Finance, December Charlotte Christiansen (2002): Variance in Mean Effects of the Long Forward Rate Slope, submitted to Applied Financial Economics. Work in Progress: Charlotte Christiansen, Juanna Schrøter Joensen, and Jesper Rangvid: Portfolio Choice and Human Capital. Charlotte Christiansen and Niels Haldrup: Convergence of International Bond Markets. Charlotte Christiansen and Ramaprasad Bhar: Impact of Forward FX Premium on Equity. Charlotte Christiansen and Svend Jakobsen: Property Investments in a Dynamic Asset Allocation Framework Charlotte Christiansen and Lieven Baele: Regime Switching and Volatility Spillover in European Bond Markets Paper Presentations: Conferences: International Bond and Debt Market Integration Conference, Trinity College, Dublin, Ireland, June Econometrics/Finance Workshop, University of Aarhus, Denmark, May Aarhus Econometrics meeting, Svinkløv Badehotel, Denmark, May Danish Network in Mathematical Finance members meeting, Molskroen, Denmark, April Centre for Analytical Finance members meeting, Sandbjerg manor, Denmark, January European Finance Association s 29 th Annual Conference, Berlin, Germany, August 2002 (EFA 2002). Page 3 of 7

4 Scottish Institute for Research in Investment and Finance (SIRIF) conference on Advances in Modelling and Forecasting in Financial Markets, Glasgow, UK, August European Financial Management Association Meeting, Lugano, Switzerland, June Arne Ryde Workshop in Empirical Finance, Lund University, Sweden, April Centre for Analytical Finance members meeting, Sandbjerg manor, Denmark, January Symposium on Credit Risk Modelling, University of Southern Denmark, January Quantitative Methods in Finance & Bernoulli Society 2000 Conference, Sydney, Australia, December European Finance Association s 27 th Annual Conference, London, UK, August 2000 (EFA 2000). Symposium on Asset Allocation and Value at Risk, University of Southern Denmark, January European Finance Association s 26 th Annual Conference, Helsinki, Finland, August 1999 (EFA 1999). French Finance Association s 16 th International Conference in Finance, Aix en Provence, France, June Capital Markets: Pricing, Regulation and Market Structure Conference, Centre for Economic Policy Research, Louvain la Neuve, Belgium, June Departmental Seminars: Dept. of Finance, Copenhagen Business School, April Dept. of Finance, Stockholm School of Economics, March School of Accounting and Finance, University of Manchester, February Dept. of Finance, Aarhus School of Business, September 2003, May 2002, May 2001, November 1999, September Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris, April Centre for Analytical Finance workshop, University of Aarhus, December Other: Ait Sahalia Ph.D. course, University of Aarhus, December European Finance Association s 26 th Annual Conference Doctoral Tutorial, Helsinki, Finland, August Singleton Ph.D. course, Norwegian School of Economics and Business Administration (NHH), June VanHoose Ph.D. course, Aarhus School of Business, May Paper Discussions: European Finance Association s 29 th Annual Conference, Berlin, Germany, August Page 4 of 7

5 European Financial Management Association Meeting, Lugano, Switzerland, June European Finance Association s 27 th Annual Conference, London, UK, August European Finance Association s 27 th Annual Conference, Doctoral Tutorial, London, UK, August European Finance Association s 26th Annual Conference, Helsinki, Finland, August Refereeing: Journal of Futures Markets Journal of International Money and Finance International Review of Economics and Finance Emerging Markets Finance and Trade Journal of Applied Econometrics International Review of Financial Analysis European Financial Management European Finance Review Awards: November 2004: Winner of the Statoil Research Prize, DKK 100,000. In Danish: Modtager af Statoils Økonomiske Forskningspris. May 2002: Winner of the Tietgen Gold Medal Prize, a prize for young researchers in business studies, DKK 100,000. In Danish: Modtager af Tietgenprisen uddelt af Foreningen til Unge Handelsmænds Uddannelse (FUHU). Research Grants: Danish Social Science Research Council, : Education as a Risky Asset, DKK 3.1 million, a research collaboration directed by Helena Skyt Nielsen, Department of Economics, University of Aarhus. Committee work: Conferences: Member of the program committee of the European Finance Association s Annual Conference in Maastricht, August Member of the program committee of the European Finance Association s Annual Conference in Glasgow, August Member of the program committee of the European Finance Association s Annual Conference in Berlin, August PhD: Member of the PhD evaluation committee for Randi Næs at NHH (Bergen, Norway), Page 5 of 7

6 September Member of pre defence committee Lund University, October Administration: October 7 8, 2004: Organizer of the annual PhD workshop of the Danish Doctoral School of Finance, Hotel Ebeltoft Strand. August 30 September 3, 2004: Organizer of intensive PhD course taught by Prof. Kenneth J. Singleton, Stanford University. September 2003 : Member of the Steering Group of the Danish Doctoral School of Finance. September 2003 : Finance PhD coordinator, Aarhus School of Business. May 2001 : Member of the Board of Research Education ( Forskeruddannelsesudvalget ) at the Faculty of Business Administration, Aarhus School of Business. Various semesters (including fall 2004): Organizer of the finance seminars, Aarhus School of Business. Network Memberships: : Participating in Education as a Risky Asset, a research collaboration headed by Helena Skyt Nielsen, University of Aarhus, : Member of Mathematical Network in Finance, Danish business schools and universities : Member of Centre for Analytical Finance, University of Aarhus and Aarhus School of Business, Teaching: Teaching Experience: September 1997 to present: Supervision of various graduate and undergraduate dissertations, Aarhus School of Business. Fall term of 2004: Lecturer in Quantitative Methods in Finance, applied financial econometrics, graduate level, Aarhus School of Business. Fall term of 2003: Lecturer in Quantitative Methods in Finance, applied financial econometrics, graduate level, Aarhus School of Business. Fall term of 2002: Lecturer in Quantitative Methods in Finance, applied financial econometrics, graduate level, Aarhus School of Business, Fall term of 2001: Lecturer in Quantitative Methods in Finance, investment science, graduate level, Aarhus School of Business. Spring term of 2001: Lecturer in Introductory Finance ( DRØK 2 ), undergraduate level, Institute of Mathematical Sciences, University of Aarhus. Fall term of 1999: Lecturer in Financial Engineering, graduate level, Aarhus School of Business (substitute for Svend Jakobsen). Page 6 of 7

7 Spring term of 1998: Teaching assistant in undergraduate finance at the Department of Finance, Aarhus School of Business. Spring terms of 1995 and 1996: Teaching assistant in undergraduate statistics at the Department of Economics, School of Economics and Management, University of Aarhus. Spring term of 1995: Teaching assistant in statistics at the House of Greenland in Aarhus. Teaching Material: Fall 2003: Lecture notes from Quantitative Methods in Finance, revision of material from Fall 2003: Lecture notes from Quantitative Methods in Finance, revision of material from Fall 2002: Lecture notes from Quantitative Methods in Finance, 202 pages. Fall 2001: Lecture notes from Quantitative Methods in Finance, 158 pages. Spring 2001: Lecture notes from Introductory Finance, 266 pages. Pedagogical Teaching Courses Attended: December 2002: Project Supervision a 1 day course module under the pedagogical programme for the young academic staff at Aarhus School of Business, by Jens Tofteskov, Copenhagen Business School. January 2002: Pedagogical Planning a 2 day course module under the pedagogical programme for the young academic staff at Aarhus School of Business, by Tom Maarup, Aarhus Amt, and Professor Tage Rasmussen, Aarhus School of Business. September 2000: General Dissemination Technique a 3 day course module under the pedagogical programme for the young academic staff at Aarhus School of Business, by Professor Tage Rasmussen, Aarhus School of Business. March 1995: ʺTeaching Pedagogic for Teaching Assistantsʺ a 3 day course for teaching assistants at the University of Aarhus. Page 7 of 7