Kees E. Bouwman

Cardano Risk Management

Quantitative Analyst

Rotterdam 3011 AA

Netherlands

  • Cardano Risk Management

SCHOLARLY PAPERS

7

DOWNLOADS

1,497

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (7)

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1.

Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

Tinbergen Institute Discussion Paper 13-068/III
Number of pages: 35 Posted: 18 May 2013
Eran Raviv, Kees E. Bouwman and Dick J. C. van Dijk
APG Asset Management, Cardano Risk Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 304 (193,640)
Citation 11

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Electricity market, Forecasting, Hourly prices, Dimension reduction, Shrinkage, Forecast combinations

2.

An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Downloads 257 (229,868)

An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Netspar Discussion Paper No. 04/2016-018
Number of pages: 25 Posted: 09 Apr 2016
Kees E. Bouwman and Roger Lord
Cardano Risk Management and Cardano Risk Management
Downloads 195 (297,838)

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An Overview of Derivative Pricing in Gaussian Affine Asset Pricing Models: An Application to the KNW Model

Number of pages: 24 Posted: 06 Apr 2016
Kees E. Bouwman and Roger Lord
Cardano Risk Management and Cardano Risk Management
Downloads 62 (683,158)

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3.

Arbitrage Smoothing in Fitting a Sequence of Yield Curves

Downloads 256 (230,776)

Arbitrage Smoothing in Fitting a Sequence of Yield Curves

Number of pages: 16 Posted: 08 Mar 2008
Paul A. Bekker and Kees E. Bouwman
University of Groningen and Cardano Risk Management
Downloads 256 (229,552)

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yield curve, absence of arbitrage, smoothing, Nelson-Siegel model

Arbitrage Smoothing in Fitting a Sequence of Yield Curves

International Journal of Theoretical and Applied Finance, Vol. 12, No. 5, pp. 577-588, 2008
Posted: 01 Dec 2009
Paul A. Bekker and Kees E. Bouwman
University of Groningen and Cardano Risk Management

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Yield curve, absence of arbitrage, smoothing, Nelson-Siegel model

4.

The Term Structure of Interest Rates and Macro-Portfolio Returns

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 16 Feb 2009 Last Revised: 16 Sep 2011
Paul A. Bekker and Kees E. Bouwman
University of Groningen and Cardano Risk Management
Downloads 201 (290,506)

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Term structure of interest rates, Yield curve, Linearity-generating processes, Market price of risk, Business cycle

5.

An Arithmetic Modeling Framework for the Term Structure of Electricity Prices

Number of pages: 41 Posted: 14 Jul 2011 Last Revised: 14 May 2012
Kees E. Bouwman, Eran Raviv and Dick J. C. van Dijk
Cardano Risk Management, APG Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 182 (317,657)

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Electricity market, Forwards and futures, Factor models, Affine processes

6.

A Unified Approach to Dynamic Mean-Variance Analysis in Discrete and Continuous Time

Number of pages: 27 Posted: 23 Mar 2009
Paul A. Bekker and Kees E. Bouwman
University of Groningen and Cardano Risk Management
Downloads 150 (374,979)

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Dynamic mean-variance analysis, Mean-variance portfolio selection, Efficient frontier, Mutual fund theorem

7.

Vereist Eigen Vermogen berekening: een simpele kwadratische formule (Regulatory Capital Requirement Calculation: A Simple Quadratic Formula)

Number of pages: 7 Posted: 24 Oct 2019
Kees E. Bouwman, Olivier W. Laseroms and Roger Lord
Cardano Risk Management, affiliation not provided to SSRN and Cardano Risk Management
Downloads 147 (381,206)

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FTK, Requlatory Capital Requirement