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Dear sir,

I am , a Master graduate in chemical engineering ,graduated from IIT Madras in 2017 followed
by a 1 year span at a premium management institute- IIM Bangalore (IIMB) as fellowship
researcher in field of Econometric sciences at department of Decision Sciences.

I came across about the job opening for the position of Phd at university of Amsterdam. I have a
three year research experience (master by research at iitm) and have done some courses on data
analytics and Econometric models. My enclosed CV will give you detailed information on my
previous work experience and educational background.

I have worked as a research scholarThe knowledge from microeconomics and other related
Econometrics courses gained during my stay at IIMB will surely help me to offer for the open
position and I am sure that I will prove my efficiency to the best by making use of the skill set
developed on System Dynamics and Econometrics

The course work beyond on the requirement on field of collective dynamics and system
behavior will certainly help in lending me with a strong foundation. My other interest includes
reading on strategic issues like behavioral theory, mergers and acquisition, and control theory .

Although I worked on Population Dynamics, modified form of lotka voltera systems which find
its applicability in engineering systems, consumer switch/churn behavioral sciences..

I strongly believe my interest to work on real life organizational application of game theory with
strong inclinational to probabilistic model development will certainly add to the expertise
required for effective preparation of research..After going through your research work I strongly
believe the mathematical model development skill gained through my engineering masters
program could be applied in the field of resource allocation and other management research
problems as well. The course work on numerical methods done as part of process simulation will
be beneficial in aspects of modeling.

I am eagerly waiting to hear from you soon and meet you in person and discuss this in detailed

Collective movement of stock market and pearson type 4 distribution fitting.- MaxVaR
for non-normal and
heteroskedastic returns
One of the most popular risk management techniques is
the Value-at-Risk (VaR) method to evaluate an investor’s
exposure to market risk (Hull 2006).

Asset price movements during the intervening period

VaR is the maximum loss that may be incurred on a portfolio at the

end of a specified period, for a given confidence level.

it is vital to know the risk exposure, not just at the end, but also during

estimate MaxVaR for a hypothetical asset, the returns of which are independent and normally distributed
with constant mean and volatility. They derive an expression for MaxVaR for a continuous price process
based on the first passing time of a Brownian motion with drift

The observation of volatility clustering in asset returns

invalidates the assumption of constant volatility and
independence of returns. In most markets, the assumption
of normality for returns is also not found to be true due
to the observation of leptokurtosis, or fat tails

We choose the Pearson Type IV distribution for _t for our

models, because not only can it account for a very wide
range of skewness and kurtosis values among the known
distributions in the literature (Johnson and Kotz 1970,

Pearson Type IV normalizing

constant computation and Type IV random number
generation are implemented in