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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 17.12.2015, 16:30, seminar room SR09
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Kevin Schnelli (Institute of Science and Technology, Klosterneuburg)
http://pub.ist.ac.at/~kschnell/
"Local law of addition of random matrices on optimal scale"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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Vienna Graduate School of Finance (VGSF)
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Fr., 18.12.2015, 11:00, room D3.0.221
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor
Frederico Belo (University of Minnesota, US)
http://www.tc.umn.edu/~fbelo/
"External Equity Financing Shocks, Financial Flows, and Asset Prices"
(Finance Research Seminar)
For further details (including abstracts) see
http://www.vgsf.ac.at/index.php?id=172
To find the room on the WU Campus search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
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Announcement of a Habilitation Talk at WU Wien
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Fr., 18.12.2015, 12:00, room D4.0.022
WU Wien, 1020, Welthandelsplatz 1, building D4, ground floor
Birgit Rudloff (WU Wien)
https://www.wu.ac.at/statmath/faculty-staff/faculty/birgit-rudloff/
"Multivariate Risks"
(Habilitation Talk)
To find the room on the WU Campus search for "D4.0.022" on:
http://gis.wu.ac.at/?roomShow=D4.0.022
Abstract:
The talk addresses the question how to measure the risk of a
multivariate random variable X, representing e.g. the vector of risky
holdings of banks in a system of d banks or a portfolio with random
outcomes in d assets. In the past literature, one often applies an
aggregation function to the vector X, then a classical scalar risk
measure can be used and the problem is reduced to a scalar problem. The
aim of the habilitation thesis is to discuss shortcomings of the
aggregation approach in various situations, to develop an alternative
theory with a economic meaningful interpretation and provide
computational methods to implement the alternative. It is based on the
idea that for a multivariate input X, the output of a risk measure can
(and often should) also be multivariate (e.g. a vector of capital
requirements of the d banks). As the vector of initial
capitals/portfolios that makes X acceptable will in generally not be
unique anymore, this leads naturally to set-valued risk measures. The
theory of set-valued functions and their optimization has seen rapid
development within the last decade and provides for the first time the
mathematical tools that are needed to understand and work with
set-valued risk measures. In the thesis, a mathematical theory of
dynamic set-valued risk measures is developed. Somewhat surprisingly,
many results (e.g. on equivalent characterizations of time consistency,
dual representations) known for scalar risk measures have a counterpart
in the the set-valued case. We show that the computation of set-valued
risk measures is linked to vector optimization and new and improved
algorithms to solve linear and convex vector optimization problems are
developed that are also of independent interest in the optimization
community. Furthermore, we provide a connection between the computation
of time consistent dynamic risk measures and a set-valued dynamic
programming principle, which also enables the computation of time
consistent scalar multivariate risk measures like the scalar super
hedging price in markets with transaction costs.
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University of Vienna, Dept. of Statistics and Decision Support Systems
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Mo., 07.12.2015, 16:45-17:45, Sky Lounge
University of Vienna, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
André Lucas (VU Amsterdam)
http://personal.vu.nl/a.lucas/
"Spillover Dynamics for Systemic Risk Measurement
using Spatial Financial Time Series Models "
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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University of Vienna, Dept. of Finance
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We., 09.12.2015, 11:45-13:00, seminar room 6
University of Vienna, 1090 Wien, Oskar-Morgenstern-Platz 1,
Marlene Haas (VGSF)
www.vgsf.ac.at/students/students/student/detail/haas-marlene/
"Equity Short Sales and Options: Complements or Substitutes?"
(Brown Bag Seminar)
For further details see
http://finance.univie.ac.at/en/research/brown-bag-seminar/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 10.12.2015, 16:30, seminar room SR09
University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
I. Cetin Gülüm (FAM @ TU Wien)
https://tiss.tuwien.ac.at/person/56774
"A Variant of Strassen's Theorem"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
https://fam.tuwien.ac.at/vs-mfp/
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