Financial and Actuarial Mathematics
TU Wien, Austria



Ph.D. Student or Postdoc in Credit Risk Modelling

Financial and Actuarial Mathematics
Institute for Mathematical Methods in Economics
Vienna University of Technology

We are looking for a Ph.D. student or a postdoc for the broad area of credit risk models and credit derivatives. The position is in the newly established Christian Doppler Laboratory on Portfolio Risk Management (PRisMa Lab). The laboratory is located within the research group for financial and actuarial mathematics at the Vienna University of Technology, it is headed by http://whitepages.tuwien.ac.at/oid/2197089.html Prof. Uwe Schmock. The laboratory is funded by the http://www.cdg.ac.at/ Christian Doppler Research Association, which is a non-profit association aiming to promote high-quality research, development and knowledge transfer in Austria. The research is carried out jointly with the http://www.ba-ca.com/ Bank Austria Creditanstalt and the http://www.oebfa.co.at/ Austrian Federal Financing Agency (ÖBFA). Your main area of activity will be high-quality research in the area credit risk models, credit derivatives and counterparty risk for exotic swaps, always with a view towards practical applicability.

We offer you to work on the forefront of current mathematical research, within a highly active and distinguished research group (Prof. Walter Schachermayer, Prof. Uwe Schmock, Prof. Peter Grandits, Prof. Josef Teichmann, Dr. Friedrich Hubalek, Dr. Reinhold Kainhofer, Dr. Johannes Leitner) and in close cooperation with the specialists of our financial industry partners. We expect you to have a strong background in financial and actuarial modelling and the theory of stochastic processes. Nevertheless, a high motivation and a strong desire to learn and adapt new material can fill almost any gap you might have in the requirements.

There are no teaching duties associated with these positions. The start date is flexible and can be anytime in 2006 or in the first months of 2007, however, we plan to start soon. The duration of the laboratory will be initially for two years with an expected extension to seven years. The salaries for the position are based on the FWF guidelines. We strongly encourage applications of female candidates.

Your application has to be in English or German and should arrive by October, 9th, 2006.
Ideally it should be in electronic format (PDF) and include:

  • Application letter, indicating your preferred start date,
  • Complete curriculum vitae,
  • List of publications and preprints (if any), links to online versions if available,
  • Copies of academic transcripts and certificates (please include a translation if these are not in English, German or French),
  • Letters of reference or contact details of academics who can provide a letter of reference upon request.

Send your application to the office address secr@fam.tuwien.ac.at. Please join all your attached documents into a single file if possible.

Contact details:
Prof. Dr. Uwe Schmock
Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstraße 8-10/105-1
A-1040 Vienna
eMail: schmock@fam.tuwien.ac.at
URL: http://www.fam.tuwien.ac.at/ (research group) and http://www.prismalab.at/ (PRisMa Lab)

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