Charlotte Christiansen - European Capital Markets Institute

Private details:
Born:
September 29, 1972, in Aarhus, Denmark
Home Address:
Skovbakkevej 27, 8220 Brabrand, Denmark.
Phone: +45 8626 2323
Curriculum Vitae of Charlotte Christiansen
Husband:
Niels Haldrup, PhD, Professor, University of Aarhus
Children:
Marius: * February 6, 2003
Astrid: * † November 2001
January 31, 2005
Work Address:
Department of Accounting, Finance and Logistics, Aarhus School of Business, Fuglesangs Alle 4,
8210 Aarhus V, Denmark
Phone: +45 8948 6691
Fax: +45 8615 1943
Email: mail@CharlotteChristiansen.dk
URL: www.CharlotteChristiansen.dk
Academic Positions:
• September 2003 – : Associate professor of Finance, Aarhus School of Business.
• December 2000 – August 2003: Assistant professor at the Department of Finance, Aarhus
School of Business.
• September 2000 – November 2000: Postdoctoral fellow at the Department of Finance,
Aarhus School of Business.
• February 2000 ‐ June 2000: Visiting scholar at the Department of Economics, University of
California, San Diego.
• August 1998 ‐ December 1998: Visiting scholar at the Wharton School, University of
Pennsylvania.
• September 1997 – August 2000: Ph.D. student at the Department of Finance, Aarhus
School of Business.
• September 1992 ‐ August 1997: Student at the School of Economics and Management,
University of Aarhus.
• September 1991 – December 1991: Student of English for non‐native speakers at
Loughborough College, United Kingdom.
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Curriculum Vitae of Charlotte Christiansen
January 31, 2005
Degrees:
• February 2001: PhD (Finance), Aarhus School of Business.
• August 1997: MA (Economics and Business Administration), University of Aarhus.
Publications:
Finally Published ‐ International Refereed Journals:
• Charlotte Christiansen (2004): Regime Switching in the Yield Curve. Journal of Futures
Markets 24(4), 315‐336.
• Charlotte Christiansen (2003): Testing the Expectations Hypothesis Using Long Maturity
Forward Rates. Economics Letters 78(2), 175‐180.
• Charlotte Christiansen (2002): Credit Spreads and the Term Structure of Interest Rates.
Special issue on Credit Derivatives in International Review of Financial Analysis 11(3), 279‐
295.
• Charlotte Christiansen and Charlotte Strunk Hansen (2002): Implied Volatility of Interest
Rate Options: An Empirical Application of the Market Model. Review of Derivatives
Research 5(1), 51‐79.
• Charlotte Christiansen (2000): Macroeconomic Announcement Effects on the Covariance
Structure of Government Bond Returns. Journal of Empirical Finance 7(5), 479‐507.
• Charlotte Christiansen (1999): Value at Risk Using the Factor‐ARCH Model, Journal of Risk
1(2), 65‐86.
Accepted for Publication – International Refereed Journals:
• Charlotte Christiansen (2004): Multivariate Term Structure Models with Level and
Heteroskedasticity Effects, forthcoming Journal of Banking and Finance.
Finally Published: Book Chapters:
• Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard (2004):
Denmark in Jonathan A. Batten, Thomas A. Fetherston, and Peter G. Szilagyi , ed.,
“European Fixed Income Markets: Money, Bond, and Interest Rate Derivatives”, John
Wiley & Sons.
• Charlotte Christiansen, Tom Engsted, Svend Jakobsen, and Carsten Tanggaard (2004): An
Empirical Study of the Term Structure of Interest Rates in Denmark (1993‐2002) in
Jonathan A. Batten, Thomas A. Fetherston, and Peter G. Szilagyi , ed., “European Fixed
Income Markets: Money, Bond, and Interest Rate Derivatives”, John Wiley & Sons.
Danish Publications:
• Charlotte Christiansen, and Niels Haldrup (2004): Nobelprisen i Økonomi 2003,
Tidsserieøkonometri: Cointegration og ARCH, Clive W. J. Granger og Robert F. Engle.
Finans/Invest 2/04, 23‐27.
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Curriculum Vitae of Charlotte Christiansen
January 31, 2005
Working Papers:
• Charlotte Christiansen, Juanna Schrøter Joensen, and Jesper Rangvid (2004): Do More
Economists Hold Stocks?
• Charlotte Christiansen (2004): Decomposing European Bond and Equity Volatility,
submitted to Journal of Business and Economic Statistics.
• Charlotte Christiansen (2003): Volatility Spillover Effects in European Bond Markets,
submitted to Journal of International Money and Finance.
• Charlotte Christiansen, Juanna Schrøter Joensen, and Helena Skyt Nielsen (2004): The
Educational Asset Market: A Finance Perspective on Human Capital Investment, invited
for resubmission to Labour Economics.
• Charlotte Christiansen and Jesper Lund (2002): Revisiting the Shape of the Yield Curve:
The Effect of Interest Rate Volatility, invited for resubmission to Review of Finance,
December 2003.
• Charlotte Christiansen (2002): Variance‐in‐Mean Effects of the Long Forward‐Rate Slope,
submitted to Applied Financial Economics.
Work in Progress:
• Charlotte Christiansen, Juanna Schrøter Joensen, and Jesper Rangvid: Portfolio Choice and
Human Capital.
• Charlotte Christiansen and Niels Haldrup: Convergence of International Bond Markets.
• Charlotte Christiansen and Ramaprasad Bhar: Impact of Forward FX Premium on Equity.
• Charlotte Christiansen and Svend Jakobsen: Property Investments in a Dynamic Asset
Allocation Framework
• Charlotte Christiansen and Lieven Baele: Regime‐Switching and Volatility‐Spillover in
European Bond Markets
Paper Presentations:
Conferences:
• International Bond and Debt Market Integration Conference, Trinity College, Dublin,
Ireland, June 2004.
• Econometrics/Finance Workshop, University of Aarhus, Denmark, May 2004.
• Aarhus Econometrics meeting, Svinkløv Badehotel, Denmark, May 2004.
• Danish Network in Mathematical Finance members’ meeting, Molskroen, Denmark, April
2004.
• Centre for Analytical Finance members’ meeting, Sandbjerg manor, Denmark, January
2004.
• European Finance Association’s 29 th Annual Conference, Berlin, Germany, August 2002
(EFA 2002).
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Curriculum Vitae of Charlotte Christiansen
January 31, 2005
• Scottish Institute for Research in Investment and Finance (SIRIF) conference on “Advances
in Modelling and Forecasting in Financial Markets”, Glasgow, UK, August 2002.
• European Financial Management Association Meeting, Lugano, Switzerland, June 2001.
• Arne Ryde Workshop in Empirical Finance, Lund University, Sweden, April 2001.
• Centre for Analytical Finance members’ meeting, Sandbjerg manor, Denmark, January
2001.
• Symposium on Credit Risk Modelling, University of Southern Denmark, January 2001.
• Quantitative Methods in Finance & Bernoulli Society 2000 Conference, Sydney,
Australia, December 2000.
• European Finance Association’s 27 th Annual Conference, London, UK, August 2000 (EFA
2000).
• Symposium on Asset Allocation and Value‐at‐Risk, University of Southern Denmark,
January 2000.
• European Finance Association’s 26 th Annual Conference, Helsinki, Finland, August 1999
(EFA 1999).
• French Finance Association’s 16 th International Conference in Finance, Aix‐en‐Provence,
France, June 1999.
• Capital Markets: Pricing, Regulation and Market Structure Conference, Centre for
Economic Policy Research, Louvain‐la‐Neuve, Belgium, June 1999.
Departmental Seminars:
• Dept. of Finance, Copenhagen Business School, April 2004.
• Dept. of Finance, Stockholm School of Economics, March 2004.
• School of Accounting and Finance, University of Manchester, February 2004.
• Dept. of Finance, Aarhus School of Business, September 2003, May 2002, May 2001,
November 1999, September 2000.
• Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris, April 2002.
• Centre for Analytical Finance workshop, University of Aarhus, December 1999.
Other:
• Ait‐Sahalia Ph.D.‐course, University of Aarhus, December 1999.
• European Finance Association’s 26 th Annual Conference Doctoral Tutorial, Helsinki,
Finland, August 1999.
• Singleton Ph.D.‐course, Norwegian School of Economics and Business Administration
(NHH), June 1998.
• VanHoose Ph.D.‐course, Aarhus School of Business, May 1998.
Paper Discussions:
• European Finance Association’s 29 th Annual Conference, Berlin, Germany, August 2002.
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Curriculum Vitae of Charlotte Christiansen
January 31, 2005
• European Financial Management Association Meeting, Lugano, Switzerland, June 2001.
• European Finance Association’s 27 th Annual Conference, London, UK, August 2000.
• European Finance Association’s 27 th Annual Conference, Doctoral Tutorial, London, UK,
August 2000.
• European Finance Association’s 26th Annual Conference, Helsinki, Finland, August 1999.
Refereeing:
• Journal of Futures Markets
• Journal of International Money and Finance
• International Review of Economics and Finance
• Emerging Markets Finance and Trade
• Journal of Applied Econometrics
• International Review of Financial Analysis
• European Financial Management
• European Finance Review
Awards:
• November 2004: Winner of the Statoil Research Prize, DKK 100,000. In Danish: Modtager
af Statoils Økonomiske Forskningspris.
• May 2002: Winner of the Tietgen Gold Medal Prize, a prize for young researchers in
business studies, DKK 100,000. In Danish: Modtager af Tietgenprisen uddelt af Foreningen
til Unge Handelsmænds Uddannelse (FUHU).
Research Grants:
• Danish Social Science Research Council, 2003‐2005: “Education as a Risky Asset”, DKK 3.1
million, a research collaboration directed by Helena Skyt Nielsen, Department of
Economics, University of Aarhus.
Committee work:
Conferences:
• Member of the program committee of the European Finance Association’s Annual
Conference in Maastricht, August 2004.
• Member of the program committee of the European Finance Association’s Annual
Conference in Glasgow, August 2003.
• Member of the program committee of the European Finance Association’s Annual
Conference in Berlin, August 2002.
PhD:
• Member of the PhD evaluation committee for Randi Næs at NHH (Bergen, Norway),
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Curriculum Vitae of Charlotte Christiansen
September 2004.
• Member of pre‐defence committee Lund University, October 2003.
January 31, 2005
Administration:
• October 7‐8, 2004: Organizer of the annual PhD workshop of the Danish Doctoral School
of Finance, Hotel Ebeltoft Strand.
• August 30 ‐ September 3, 2004: Organizer of intensive PhD course taught by Prof. Kenneth
J. Singleton, Stanford University.
• September 2003‐: Member of the Steering Group of the Danish Doctoral School of Finance.
• September 2003‐: Finance PhD coordinator, Aarhus School of Business.
• May 2001 –: Member of the Board of Research Education (“Forskeruddannelsesudvalget”)
at the Faculty of Business Administration, Aarhus School of Business.
• Various semesters (including fall 2004): Organizer of the finance seminars, Aarhus School
of Business.
Network Memberships:
• 2003‐2005: Participating in “Education as a Risky Asset”, a research collaboration headed
by Helena Skyt Nielsen, University of Aarhus, www.econ.au.dk/vip_htm/hnielsen/educationrisk.
• 2003‐: Member of Mathematical Network in Finance, Danish business schools and
universities.
• 1997‐: Member of Centre for Analytical Finance, University of Aarhus and Aarhus School
of Business, www.caf.dk.
Teaching:
Teaching Experience:
• September 1997 to present: Supervision of various graduate and undergraduate
dissertations, Aarhus School of Business.
• Fall term of 2004: Lecturer in “Quantitative Methods in Finance”, applied financial
econometrics, graduate level, Aarhus School of Business.
• Fall term of 2003: Lecturer in “Quantitative Methods in Finance”, applied financial
econometrics, graduate level, Aarhus School of Business.
• Fall term of 2002: Lecturer in “Quantitative Methods in Finance”, applied financial
econometrics, graduate level, Aarhus School of Business,
• Fall term of 2001: Lecturer in “Quantitative Methods in Finance”, investment science,
graduate level, Aarhus School of Business.
• Spring term of 2001: Lecturer in “Introductory Finance” (“DRØK 2”), undergraduate level,
Institute of Mathematical Sciences, University of Aarhus.
• Fall term of 1999: Lecturer in “Financial Engineering”, graduate level, Aarhus School of
Business (substitute for Svend Jakobsen).
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Curriculum Vitae of Charlotte Christiansen
January 31, 2005
• Spring term of 1998: Teaching assistant in undergraduate finance at the Department of
Finance, Aarhus School of Business.
• Spring terms of 1995 and 1996: Teaching assistant in undergraduate statistics at the
Department of Economics, School of Economics and Management, University of Aarhus.
• Spring term of 1995: Teaching assistant in statistics at the House of Greenland in Aarhus.
Teaching Material:
• Fall 2003: Lecture notes from “Quantitative Methods in Finance”, revision of material from
2003.
• Fall 2003: Lecture notes from “Quantitative Methods in Finance”, revision of material from
2002.
• Fall 2002: Lecture notes from “Quantitative Methods in Finance”, 202 pages.
• Fall 2001: Lecture notes from “Quantitative Methods in Finance”, 158 pages.
• Spring 2001: Lecture notes from “Introductory Finance”, 266 pages.
Pedagogical Teaching Courses Attended:
• December 2002: “Project Supervision” a 1‐day course module under the pedagogical
programme for the young academic staff at Aarhus School of Business, by Jens Tofteskov,
Copenhagen Business School.
• January 2002: “Pedagogical Planning” a 2‐day course module under the pedagogical
programme for the young academic staff at Aarhus School of Business, by Tom Maarup,
Aarhus Amt, and Professor Tage Rasmussen, Aarhus School of Business.
• September 2000: “General Dissemination Technique” a 3‐day course module under the
pedagogical programme for the young academic staff at Aarhus School of Business, by
Professor Tage Rasmussen, Aarhus School of Business.
• March 1995: ʺTeaching Pedagogic for Teaching Assistantsʺ a 3‐day course for teaching
assistants at the University of Aarhus.
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