P.J.P.M. (Philippe) Versijp

Dr. Philippe Versijp is assistant professor of Quantitative & Empirical Finance at the Erasmus School of Economics, where he also obtained his PhD. His main research interests are related to modelling risk on stock markets, and Stochastic Dominance methodology in particular. He also teaches several courses and a seminar for bachelor-3 and master students.

  • Versijp, P.J.P.M. & Noordermeer, M. (2011). Joint Default Analysis: A Natural Experiment on the Influence of Rating Agencies (working paper).
  • Post, G.T. & Versijp, P.J.P.M. (2010). An Empirical Test for Two-Fund Separation.
  • Versijp, P.J.P.M. & Lizyayev, A. (2010). Changing Risk Attitudes in Asset Pricing Models: Survey Evidence.
  • Post, G.T. & Versijp, P.J.P.M. (2007). Multivariate Test for Stochastic Dominance efficiency of a Given Portfolio. Journal of Financial and Quantitative Analysis, 42(2), 489-515.
  • Versijp, P.J.P.M. (2007, Mei 10). Advances in the use of Stochastic Dominance in Asset Pricing. EUR (120 pag.) (Rotterdam: Tinbergen Institute). Prom./coprom.: Prof.Dr. G.T. Post, H. Levy, prof.dr. J. Spronk & prof.dr. C.G. de Vries.
  • Versijp, P.J.P.M. (2007). Stochastic Dominance: Freedom for Marginal Utility. Medium Econometrische Toepassingen, 15(2), 10-16.
2000
December
15
ERIM Research Seminar

Address

Visiting address

Office: H14-27
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Work in progress

Versijp, P.J.P.M. & Noordermeer, M. (2011). Joint Default Analysis: A Natural Experiment on the Influence of Rating Agencies (working paper).
Post, G.T. & Versijp, P.J.P.M. (2010). An Empirical Test for Two-Fund Separation.

Latest publication

Versijp, P.J.P.M. & Noordermeer, M. (2011). Joint Default Analysis: A Natural Experiment on the Influence of Rating Agencies (working paper).