PhD defence: Desi Volker

In order to obtain the PhD degree, Desi Musai Volker submitted her thesis entitled: Understanding Interest Rate Volatility

Thursday, August 25, 2016 - 13:00 to 15:00

The thesis consists of three essays covering topics related to the term structure of interest rates, monetary policy and interest rate volatility. The common thread in the themes covered is the understanding of interest rate volatility, its time-variation and main determinants. The first essay examines the role of monetary policy uncertainty on the term structure of interest rates. The second essay investigates the ability of the class of regime switching models with and without stochastic volatility to capture the main stylized features of US interest rates. While the third essay investigates the time-series and cross-sectional properties of the compensation demanded for holding interest rate variance risk.

Supervisor:
Professor Carsten Sørensen
Department of Finance
Copenhagen Business School

Secondary supervisor:
Assistant Professor Paul Whelan
Department of Finance
Copenhagen Business School

Assessment Committee:
Professor Lasse Heje Pedersen (Chair)
Department of Finance
Copenhagen Business School

Professor Paul Söderlind
Department of Economics
University of St. Gallen,

Associate Professor Linda Sandris Larsen
Department of Business and Economics
University of Southern Denmark

Thesis:
The thesis is available here

Reception:
The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence outside SPs14.

The page was last edited by: Sekretariat for Ledelse og Kommunikation // 06/13/2018