Curriculum Vitae OTTO A.C. VAN HEMERT Department of Finance Stern School of Business New York University 44 West Fourth Street, Suite 9-190 New York, NY 10012, United States Phone: +1 212 998 0353 Fax: +1 212 995 4233 E-mail: ovanheme@stern.nyu.edu EDUCATION University of Amsterdam, Netherlands PhD Economics, 2006 Tinbergen Institute, Netherlands MPhil Economics, 2003 University of Amsterdam, Netherlands MA Economics, 2000 Utrecht University, Netherlands MSc Mathematics, 1999 Utrecht University, Netherlands 1 st year diploma Physics, 1996 PROFESSIONAL EXPERIENCE AQR Capital Management, United States Associate designing quantitative REIT and MBS strategies, August 2008 current New York University, United States Assistant Professor of Finance at the Stern School of Business, July 2006 current Stockholm School of Economics, Sweden Visiting PhD student Swedish Institute for Financial Research, August 2005 June 2006 London School of Economics, United Kingdom Visiting PhD student Financial Markets Group, January 2005 April 2005 and November 2005 University of Amsterdam, Netherlands PhD student, August 2001 July 2005 Kempen&Co Merchant Bank, Netherlands Analyst corporate finance, October 2000 July 2001 RESEARCH FIELDS Mortgage Economics Term Structure of Interest Rates Modelling Real Estate Finance HONORS AND AWARDS 2007-08 Glucksman Institute Research Prize First Prize for Mortgage Timing ($5,000) FDIC grant for Household Mortgage Choice and the Dynamics of Treasury Markets ($10,000) Participant in the 1995 International Mathematical Olympiad, Toronto, Canada. The six-person Dutch team was selected from a pool of ca. 200,000 last-year high school students MEDIA EXPERIENCE Fox Business News, Happy Hour with Rebecca Gomez, December 3 rd, 2007, 5:10-5:15pm (live) Bloomberg Radio, Bloomberg On the Economy with Tom Keene, January 2 nd, 2008, 6:00-7:00 pm (live) 1
PAPERS AND PRESENTATIONS * indicates presentation by co-author Mortgage Timing with Ralph Koijen (Chicago GSB) and Stijn Van Nieuwerburgh (NYU Stern) Forthcoming in the Journal of Financial Economics Time variation in the share of newly-originated mortgages that are of the adjustable-rate type is well explained by time variation in the bond risk premium. Federal Reserve Board of Philadelphia, Philadelphia, United States, June 27 th, 2008 Capula Investment Management, London, United Kingdom, February 8 th, 2008 NYU Stern Research Day, New York, United States, February 1 st, 2008* Federal Deposit and Insurance Corporation, Washington, United States, October 26 th, 2007 UCLA conference on term structure modelling, Los Angeles, United States, October 5 th, 2007* Nykredit Symposium on Housing, Mortgage, and Portfolio Choice, Copenhagen, Denmark, September 27-28 th, 2007* European Finance Association Meetings in Ljubljana, Slovenia, August 24 th,2007 European Summer Symposium in Financial Markets in Gerzensee, Switzerland, July 20 th, 2007* International Conference on Behavioral Finance and Chinese Financial Market, Shanghai, China, July 15 th, 2007 NBER Asset Pricing Meeting, Boston, United States, July 13 th, 2007* 2007 International Conference in Finance, China, July 11 th, 2007 Bank of Canada - Rotman School Workshop on Advances in Portfolio Management, Canada, July 7 th, 2007 Big Sky Real Estate Symposium, United States, June 25 th, 2007* AREUA Mid-Year Meeting, United States, May 29 th, 2007* Baruch Real Estate Meeting, United States, May 4 th, 2007 University of Madison Wisconsin Real Estate Conference, United States, April 27 th, 2007* Florida State University, United States, April 20 th, 2007* Duke University (Fuqua), United States, April 18 th, 2007* University of California at Berkeley (Haas Busienss School), United States, April 5 th, 2007* Federal Reserve Bank of St. Louis, United States, March 22 nd, 2007 New York University (Stern School of Business), United States, March 5 th, 2007* University of Southern California, United States, February 23 rd, 2007 Princeton University, United States, February 21 st, 2007* University of Amsterdam, Netherlands, December 20 th, 2006 Carnegie Mellon University, November 30 th, 2006* Understanding the Subprime Mortgage Crisis with Yuliya Demyanyk (FRB St. Louis) Forthcoming in the Review of Financial Studies Most downloaded real estate paper ever at SSRN, the main academic working paper outlet Using loan-level data, we find a continual deterioration of loan quality in 2001-2006, and lenders were to some extent aware of this. 44th Annual Conference on Bank Structure and Competition at the Federal Reserve Bank of Chicago, Chicago, United States, May 16 th, 2008* University of Amsterdam, Amsterdam, Netherlands, May 9 th, 2008 University of British Columbia, Vancouver, Canada, April 18 th, 2008 Baruch, New York, United States, April 4 th, 2008 Carnegie Mellon University, Pittsburgh, United States, April 3 rd, 2008 2
Board of Governors of the Federal Reserve System joint with George Washington University, Washington, United States, March 28 th, 2008 Office of Federal Housing Enterprise Oversight (OFHEO), Washington, March 28 th, 2008* U.S. Securities and Exchange Commission, Washington, United States, March 27 th, 2008 Federal Deposit and Insurance Corporation, Washington, United States, March 27 th, 2008* Freddie Mac, Washington, United States, March 26 th, 2008 Conference on the Subprime Crisis and Economic Outlook in 2008 at Lehman Brothers, New York, United States, February 21 st, 2008 AQR Capital Management, Greenwich, United States, February 20 th, 2008 Capula Investment Management, London, United Kingdom, February 8 th, 2008 NYU Stern Research Day, New York, United States, February 1 st, 2008 Baruch-Columbia-Stern Real Estate Conference, New York, United States, January 25 th, 2008 Lehman Brothers, New York, United States, January 17 th, 2008 2 nd New York Fed Princeton Liquidity Conference, New York, United States, December 13 th, 2007 FRB St. Louis Conference on Mortgage Lending, St. Louis, United States, December 6 th, 2007* International Monetary Fund, Washington, United States, October 23 rd, 2007 Florida Atlantic University, Boca Raton, United States, October 12 th, 2007* Federal Reserve Bank of St. Louis, St. Louis, United States, October 9 th, 2007* Indiana State University FRB Chicago conference on The Nation s Foreclosure Epidemic: Causes, Consequences and Remedies, Indianapolis, United States, August 28 th, 2007* Household Interest Rate Risk Management I derive the optimal life-cycle allocation to bonds and mortgage debt and find that adjustable-rate mortgages are mostly preferred. American Economic Association Meetings in New Orleans, United States, January 5 th, 2008 American Finance Association Meetings in Chicago, United States, January 6 th, 2007 University of Pennsylvania (Wharton School), United States, November 28 th, 2006 NYU Stern Real Estate Meeting, United States, October 27 th, 2006 University of Illinois at Urbana-Champaign, United States, September 8 th, 2006 Maastricht-MIT-Cambridge Real Estate Finance and Investment Symposium, Netherlands, August 28 th /29 th, 2006 European Finance Association Meetings in Zurich, Switzerland, August 26 th, 2006 European Summer Symposium in Financial Markets in Gertzensee, Switzerland, July 27 th -28 th, 2006 Göteborgs Universitet, Sweden, May 17 th, 2006 Tilburg University, Netherlands, May 1st, 2006 Swedish Central Bank (Riksbank), Sweden, February 7th, 2006 New York University (Stern Business School), United States, February 3 rd, 2006 INSEAD, France, January 30 th, 2006 Stockholm School of Economics, Sweden, January 13 th, 2006 Uppsala Universitet, Sweden, December 15 th, 2005 Strathclyde, United Kingdom, December 2 nd, 2005 Swedish Institute for Financial Research, Sweden, November 14 th, 2005 University of Amsterdam, Netherlands, October 28 th, 2005 Hedging House Price Risk: Portfolio Choice with Housing Futures with Frank De Jong (Tilburg University) and Joost Driessen (University of Amsterdam) Homeowners hardly benefit from access to the new house price futures on a city-wide index because of basis risk. 3
Nykredit Symposium on Housing, Mortgage, and Portfolio Choice, Copenhagen, Denmark, September 27-28 th, 2007* Columbia Business School, United States, September 13 th, 2007 Swedish Institute for Financial Research, Sweden, September 12 th, 2007* 5 th Winterschool on Mathematical Finance, Stieltjes/CentER/MRI, Netherlands, January 23 rd, 2006 10 th Annual Conference on Finance and Accounting, Tel Aviv University, Israel, December 26 th, 2005 Winter Research Conference in Finance, Indian School of Business, India, December 21 st -22 nd, 2005 Arne Ryde Workshop in Financial Economics, Lund University, Sweden, November 11 th, 2005 European Finance Association Meetings in Moscow, Russia, August 26 th, 2005 European Economic Association Meetings in Amsterdam, Netherlands, August 26 th, 2005* London School of Economic, United Kingdom, March 2 nd, 2005 Conference on Portfolio Choice and Investor Behavior, Swedish Institute for Financial Research, Sweden, September 4 th, 2004* University of Amsterdam, Netherlands, June 30 th, 2004 Optimal Intergenerational Risk Sharing Optimal intergenerational risk sharing involves conditioning on both the history of labor income and stock market return shocks. Netspar Pension Day, Tilburg University, Netherlands, October 6 th, 2005 Sixth RTN workshop on Financing Retirement in Europe: Public Sector Reform and Financial Market Development, London School of Economics, United Kingdom, September 16 th, 2005 Swedish Institute for Financial Research, Sweden, January 26 th, 2005 University of Amsterdam, Netherlands, January 24 th, 2005 Fifth RTN workshop on Financing Retirement in Europe: Public Sector Reform and Financial Market Development, IDEI, France, December 17 th, 2004 Tinbergen Institute, Netherlands, November 23 rd, 2004 WORK IN PROGRESS Detecting Technical Trading Rules and Psychological Barriers Using Betas with Tse-Chun Lin (University of Amsterdam) and Joost Driessen (University of Amsterdam) Trading rules and psychological barriers can be detected by a temporary change in the CAPM beta CONFERENCE DISCUSSIONS European Finance Association Meetings, Ljubljana, Slovenia, August 23 rd, 2007 Western Finance Association Meetings, Big Sky, United States, June 27 th, 2007 European Summer Symposium in Financial Markets in Gertzensee, Switzerland, July 27 th -28 th, 2006 2 nd Annual Empirical Asset Pricing Retreat, University of Amsterdam, Netherlands, June 27 th, 2006 Winter Research Conference in Finance, Indian School of Business, India, December 21 st -22 nd, 2005 Public Policy Perspectives on Pension Reform Conference, London School of Economics, United Kingdom, March 11 th, 2005 TEACHING EXPERIENCE Foundations of Finance (MBA), teacher, Stern School of Business, New York University Summer 2008, 3 groups with 61, 67, 69 students and 6.4/7.0, 6.2/7.0,6.2/7.0 teacher evaluation Summer 2007, 2 groups with 66, 65 students and 5.4/7.0, 5.7/7.0 teacher evaluation 4
Introductory Finance, teacher, Department of Economics and Econometrics, University of Amsterdam, Fall 2003, 2004 Supervisor bachelor and master theses, Department of Economics and Econometrics, University of Amsterdam, 2001-2004 Investments, teaching assistant, Department of Economics and Econometrics, University of Amsterdam, Fall 2001 Algebra B, teaching assistant, Department of Mathematics, Utrecht University, Spring 1997, 1998 Algebra C, teaching assistant, Department of Mathematics, Utrecht University, Fall 1996, 1997 ADDITIONAL INFORMATION Languages: Dutch (native), English (fluent), German (good) Computer skills: C, Matlab, MPI (Parallel Programming), Microsoft Office Refereeing for the Journal of Political Economy, European Economic Review, Journal of Public Economics, and Quantitative Finance. Born in De Bilt, The Netherlands, September 4, 1977 (Dutch Citizenship) 5