Dr. Roy Kouwenberg, CFA, received his doctorate in Finance from Erasmus University Rotterdam in the Netherlands in 2000. After completing his dissertation he worked at the University of British Columbia in Vancouver, Canada, for one year as a postdoctoral fellow. In 2001 he joined AEGON Asset Management in The Hague, the Netherlands, as a quantitative researcher in the equity department. In 2003 Dr. Roy continued his academic career at the Asian Institute of Technology in Bangkok, Thailand. Since July-2006, Dr. Kouwenberg is affiliated with Mahidol University, College of Management, as Chair of the Ph.D. Program. In addition, every year he visits Erasmus University Rotterdam to work on joint research projects.

Dr. Roy’s main area of academic research is in the area of investment, focusing on portfolio choice in a behavioral framework. Further, he has done extensive research on risk management for financial institutions, especially asset-liability management for pension funds and insurance firms. Since moving to Thailand, Dr. Roy has started a third line of research on corporate governance of firms in emerging markets, as this subject is especially relevant for the local market and of great interest to students.

Dr. Kouwenberg has published his work in the Review of Economics & Statistics, the Journal of Banking and Finance, the Journal of Empirical Finance and Operations Research, amongst others. He has refereed articles for the Journal of Finance, Review of Financial Studies, Journal and Banking and Finance, and various other journals in the areas of finance and operations research.

Working papers:
Available at SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=215893

Publications in academic journals:

Stephen Dimmock and Roy Kouwenberg (2010), Loss-Aversion and Household Portfolio Choice, Journal of Empirical Finance, vol. 17(3), p. 441-459.

Nasha Ananchotikul, Roy Kouwenberg and Visit Phunnarungsi (2010), Do Firms Decouple Corporate Governance Policy and Practice?, European Financial Management, vol. 16(5), p. 712-737.

Arjan Berkelaar and Roy Kouwenberg (2010), A Liability-Relative Drawdown Approach to Pension Asset Liability Management, Journal of Asset Management, vol. 11, p. 194-217.

Arjan Berkelaar and Roy Kouwenberg (2009), From Boom ‘til Bust: How Loss Aversion Affects Asset Prices, Journal of Banking and Finance, vol. 33, 1005-1013.

Roy Kouwenberg and Bill Ziemba (2007), Incentives and Risk Taking in Hedge Funds, Journal of Banking and Finance, vol. 31, 3291-3310.

Phornchanok Cumperayot, Tjeert Keijzer and Roy Kouwenberg (2006), Linkages between Extreme Stock Market and Currency Returns, Journal of International Money & Finance, vol. 84, 973-987.

Arjan Berkelaar, Roy Kouwenberg and Thierry Post (2004), Optimal Portfolio Choice under Loss Aversion, Review of Economics & Statistics, vol. 84, 973-987.

Roy Kouwenberg (2003), Do Hedge Funds Add Value to a Passive Portfolio: Correcting for Non-Normal Returns and Disappearing Funds, Journal of Asset Management, vol 3/4, 361-382.

Arjan Berkelaar and Roy Kouwenberg (2003), Retirement Saving with Contribution Payments and Labor Income as a Benchmark for Investments, Journal of Economic Dynamics & Control, vol. 27/6, 1069-1097.

Jacek Gondzio, Roy Kouwenberg and Ton Vorst (2003), Hedging Options under Transaction Costs and Stochastic Volatility, Journal of Economic Dynamics & Control, vol. 27/6, 1045-1068.

Arjan Berkelaar, Phornchanok Cumperayot and Roy Kouwenberg (2002), The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile, European Financial Management, vol. 8, 139-164.  Reprinted in the proceedings of the Third Joint Central Bank Research Conference on Risk, Bank for International Settlements (BIS)

Jacek Gondzio and Roy Kouwenberg (2001), High Performance Computing for Asset Liability Management, Operations Research, vol. 49, 879-891.

Roy Kouwenberg (2001), Scenario Generation and Stochastic Programming Models for Asset Liability Management, European Journal of Operational Research, vol. 134, 51-64.

Monique Donders, Roy Kouwenberg and Ton Vorst (2000), Options and Earnings Announcements: an Empirical Study of Volatility, Trading Volume, Open Interest and Liquidity, European Financial Management, vol. 6 (2), 149-171.

Book chapters:

Mark Schouten, Roy Kouwenberg and Albert Mentink (2009), Hedging Inflation-Linked Pension Liabilities under Solvency II, in Marcelo Cruz (ed.), The Solvency II Handbook: Developing Enterprise Risk Management Frameworks in Insurance and Reinsurance Companies, Risk Books, ISBN: 978-1-906348-19-9, 579-603.

Roy Kouwenberg, Albert Mentink, Mark Schouten and Robin Sonnenberg (2009), Estimating Value-at-Risk of Institutional Portfolios with Alternative Asset Classes, in Greg N. Gregoriou (ed.), The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management, McGraw Hill, 3-31.

Arjan Berkelaar, Adam Kobor and Roy Kouwenberg (2009), Asset Allocation For Hedge Fund Strategies, in Greg N. Gregoriou (ed.), The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management, McGraw Hill, 33-54.

Roy Kouwenberg and Stavros Zenios (2006), Stochastic Programming Models for Asset Liability Management, in Stavros Zenios and Bill Ziemba (ed.), Handbook of Asset and Liability Management, in the series Handbooks in Finance, Elsevier Publishers, 253-303.

Arjan Berkelaar, Adam Kobor and Roy Kouwenberg (2006), Advanced Risk Budgeting Techniques, in Michael Ong (ed.), Risk Management: A Modern Perspective, Elsevier Publishers, 89-111.

Roy Kouwenberg and Albert Mentink (2006), Links between West, Central and East European Security Markets, in Jonathan A. Batten and Colm Kearney (ed.), Emerging European Financial Markets, volume 6 in the series International Finance Review, Elsevier Publishers, 353-381.

Roy Kouwenberg (1997), Asset Liability Management for Pension Funds: Elements of Dert's Model, in C. Zopounidis (ed.), New Operational Approaches for Financial Modelling, Springer Verlag: Heidelberg, 37-48

Ph.D. Dissertation

Roy Kouwenberg (2000), Dynamic Asset Liability Management,
Tinbergen Institute, Erasmus University Rotterdam.

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