Essays on Macro-Financial Risks

This dissertation consists of two parts and contains three chapters that explore the pricing implications of several ‘macro-financial’ risks in different contexts. The first part of this dissertation, consisting of two chapters, focuses on issues related to credit risk. More specifically, the first chapter investigates the dynamic interplay between credit and liquidity risk at the corporate bond market level, whereas the second chapter considers the modeling and pricing of credit risk at the sovereign level. The second part examines the relationship between labor and financial markets and studies the impact of aggregate labor income risk on stock returns.

Rob Sperna Weiland (1990) holds a M.Sc. degree in Stochastics and Financial Mathematics (2014, Cum Laude) from VU Amsterdam. He received the first prize in the “EY TopQuants Quantitative Finance Thesis Awards” and the second prize in the “CFA Society European Quant Awards” for his M.Sc. thesis. In 2014, Rob started his doctoral program at the Finance Department of the University of Amsterdam and worked under the supervision of Prof. dr. R.J.A. Laeven, Prof. dr. F.C.J.M. De Jong, and Prof. dr. P.J.C. Spreij. During his PhD, Rob obtained a research qualification in Econometrics from the Tinbergen Institute, was Junior Fellow at the Amsterdam Center for Excellence in Risk and Macro Finance, and was a visiting researcher at the Bendheim Center for Finance at Princeton University.