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University of Vienna, Faculty of Mathematics
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We., 2.4.2014, 16:15-17:00, Sky-Lounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Stefan Gerhold: (FAM @ TU Wien)
http://www.fam.tuwien.ac.at/~sgerhold/
"Disproof of a conjecture by Rademacher on partial fractions"
(Mathematisches Kolloquium)
15:45 coffee & cake, Sky-Lounge
For further details (including abstracts) see
http://plone.mat.univie.ac.at/talks/colloquium/view?set_language=en
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 3.4.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Gabor Pete (Technical University of Budapest, HU)
http://www.math.bme.hu/~gabor/
"The scaling limit of the planar Minimal Spanning Tree"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
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New lecture (with including exercises) in english language:
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The lecture was already announced once, but the start of the lecture was
shifted to April 3rd:
Applied Counterparty Credit Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Lecturer:
Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH
Date/time:
Thursday, 03.04.2014 - 26.06.2014, 16:30 - 19:45
Location:
lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area,
TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien
For further details see:
https://tiss.tuwien.ac.at/course/courseDetails.xhtml?courseNr=105666
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Announcement of talks organised by AVÖ (Aktuarvereinigung Österreichs)
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Tu., 27.03.2014, 16:00, Freihaus Hörsaal 8,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd fl., yellow section
Axel Helmert (COR & FJA)
"Low interest rate challenge: Trends in der Produktgestaltung"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/vr/
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Announcement of talks organised by FAM @ TU Wien
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Tu., 25.03.2014, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th fl., green section
Christiane Elgert (Universität Rostock, DE)
"Numerische Lösung der Diffusionsgleichung bei variabler
räumlicher Struktur"
(application talk about master theses)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 20.3.2014, 16:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6, FR)
http://www.crest.fr/ses.php?user=3046
"Limit theorems for nearly unstable Hawkes processes"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
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Th., 20.3.2014, 17:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Marius Hofert (TU Munich, DE) )
http://www.math.ethz.ch/~hofertj/
"An extreme value approach for modeling operational
risk losses depending on covariates"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/agfm/
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University of Vienna, Dept. of Statistics and Operations Research
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Mo., 17.3.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Robert Stelzer (Universität Ulm)
http://www.uni-ulm.de/en/mawi/finmath/people/stelzer.html
"Stochastic Volatility and Possible Long Memory: The supOU Model"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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Vienna Graduate School of Finance (VGSF)
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Fr., 21.03.2014, 11:00, room D3.0.221 (ground floor)
1020 Vienna, Welthandelsplatz 1, WU Campus, Building D3
Alexander Ljungqvist (New York University)
http://pages.stern.nyu.edu/~aljungqv/
"How Constraining Are Limits to Arbitrage?
Evidence from a Recent Financial Innovation"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/finance-research-seminar/
To find the room on the WU Campus visit:
http://gis.wu.ac.at/?roomShow=D3.0.221
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========================================================================
Scientific talks:
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Mo., 3.3.2014, 17:00-18:00, Skylounge
WU Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Viktor Todorov (Northwestern University)
http://www.kellogg.northwestern.edu/faculty/todorov/htm/
"Inference Theory for Volatility Functional Dependencies"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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Th., 6.3.2014, 16:30, seminar room 101C,
TU, 1040 Wien, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Peter Markowich (University of Cambridge)
http://www.peter-markowich.net/
"Price Formation Modeling with PDE:
From Boltzmann to Free Boundaries"
(Arbeitsgemeinschaft Finanzmathematik)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/agfm/
========================================================================
Teaching @ TU Wien:
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Courses of the research unit FAM @ TU Wien:
http://www.fam.tuwien.ac.at/lehre/lva/
Continuing Professional Development (CPD) for actuaries:
http://www.fam.tuwien.ac.at/cpd/
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New lecture (with including exercises) in english language:
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Applied Counterparty Credit Risk Management
^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
Lecturer:
Mario Schlener, MBA M.A., KBS Capital Partners AG, Baar, CH
Aim/subject of course:
- Students shall understand and be able to apply the learned tools in
real life examples from the financial industry and capital markets
- Students will learn a hands on understanding of real world examples of
how counterparty credit risk is managed and measured
- After this course students will have discussed the following main
points:
- How to calculate counterparty exposure for derivative portfolio
- How to calculate Credit Valuation Adjustment (CVA) and Debt
Valuation Adjustment (DVA)
- What is Funding Value Adjustment (FVA)
- How the Financial Industry manages and hedges counterparty credit
risk (i.e. difference between a Risk Management- and Trading-
Approach)
- How to define a hedging strategy for a sample portfolio to reduce
risk for a sample bank
- How to apply a multi-curve discounting approach compared to a
single curve discounting approach
- What is a CSA and ISDA contract and how are these contracts
negotiated and applied in a financial transaction
- What is a close out valuation
- How can a portfolio be hedged applying a standardized risk-off/VaR
analysis
- How does the regulation of a Central Counterparty change the
financial markets and the day-to-day business of trading activities
of financial institutions
In this course the students will learn how counterparty credit risk:
1. changed the financial markets
2. changed the way risk management departments of global financial
institutions manage risk and
3. how financial institutions measure and hedge counterparty credit
risk
Course methods and organisation:
Lectures will be organized around specific prepared presentation
material and a given set of relevant papers and further book chapters.
Students are not forced to read further papers or books to understand
the topics discussed in class. There will be class assignments and a
final exam for this course. Grading will be based on class
participation, assignments and final exam.
Date/time:
Thursday, 13.03.2014 - 26.06.2014, 16:30 - 18:45
Location:
lecture hall FH Hörsaal 2: "Freihaus" building, 2nd floor, yellow area,
TU Wien, Wiedner Hauptstraße 8-10, 1040 Wien
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