------------------------------------------------------------------------
WU Wien, Institute for Finance, Banking and Insurance
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We., 23.04.2014, 12:00, room SR D4.0.019 (EG)
WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Eberhard Mayerhofer (Dublin City University)
http://www.eberhard-mayerhofer.com/
"The Limits of Leverage"
(Finance Brown Bag Seminar)
For further details (including abstracts) see
http://www.wu.ac.at/finance/research/bbs
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
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FAM @ TU Wien
------------------------------------------------------------------------
Th., 24.04.2014, 15:00, seminar room 101c,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Yosef Rinott (The Hebrew University of Jerusalem, Israel)
http://pluto.huji.ac.il/~rinott/
"On methods for model selection"
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
------------------------------------------------------------------------
Th., 24.04.2014, 16:30, seminar room 101C,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, green section
Jorge P. Zubelli (IMPA, Rio de Janeiro, Brazil)
http://w3.impa.br/~zubelli/
"Calibration of Stochastic Volatility Models
with Applications to Commodities"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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==========================================================
EAJ 2014: 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
Vienna, September 8-12, 2014
==========================================================
EAJ Conference 2014
Wednesday, September 10 - Friday, September 12, 2014
EAJ Educational Workshop
Monday, September 8 - Tuesday, September 9, 2014
Conference Website:
http://www.fam.tuwien.ac.at/eaj2014/
Location:
Vienna University of Technology
Wiedner Hauptstr. 8, 1040 Wien, Austria
Organized by:
Actuarial Association of Austria
Vienna University of Technology
Sponsored by (alphabetical order):
arithmetica
fintegral
HDI Versicherung
Milliman
Munich RE - Münchener Rückversicherungs-Gesellschaft
Sparkassen Versicherung - Vienna Insurance Group
Gen Re - General Reinsurance
Springer-Verlag
(further sponsors are welcome)
Plenary & Invited Speakers...
http://www.fam.tuwien.ac.at/eaj2014/speakers.php
... at the EAJ Conference:
Hansjörg Albrecher (University of Lausanne, CH)
Francesca Biagini (LMU Munich, DE)
Andrew Cairns (Heriot-Watt University, Edinburgh, UK)
Alexander Dotterweich (KPMG, Munich, DE)
Hansjörg Furrer (Swiss Financial Market Supervisory Authority, CH)
Stefan Jaschke (Munich Re, DE)
Claus Mischler (Standard Life, Frankfurt, DE)
Ragnar Norberg (ISFA, Universite Lyon 1, FR)
Daniel Ryan (Swiss Re, London, UK)
Michael Schlögl (Vienna Insurance Group, AT)
Hanspeter Schmidli (University of Cologne, DE)
Mogens Steffensen (University of Copenhagen, DK)
Nele Vandaele (KBC Group, Brussels, BE)
... at the EAJ Educational Workshop:
Carole Bernard (University of Waterloo, CA)
Enrico Biffis (Imperial College Business School, London, UK)
Claudia Czado (Technische Universität München, DE)
Stéphane Loisel (ISFA, Université Lyon 1, FR)
Alfred Müller (University of Siegen, DE)
Submission of Contributed Talks:
The call for contributed talks is open until May 31, 2014.
http://www.fam.tuwien.ac.at/eaj2014/contributed_talks.php
Participation and Registration:
Registration is possible until August 15, 2014.
For early registrations until July 15, 2014, a discount
of 10% is allowed.
http://www.fam.tuwien.ac.at/eaj2014/registration.php
CPD:
The attendence at EAJ 2014 (full week, Sept. 8-12) qualifies
for up to 29 CPD credits for Austrian and German actuaries.
13 CPD credits for the Educational Workshop (Sept. 8-9)
and 16 CPD credits for the EAJ Conference (Sept. 10-12).
Details from other national actuarial associations will follow soon:
http://www.fam.tuwien.ac.at/eaj2014/cpd.php
For any requests, do not hesitate to write an e-mail to the
conference & workshop secretariat: <eaj2014(a)fam.tuwien.ac.at>
------------------------------------------------------------------------
math-space
------------------------------------------------------------------------
Do., 10.04.2014, 19:00, math-space, Ovaltrakt e-5.4
Museumsquartier, 1070, Museumsplatz 1 (beim Durchgang zur Breiten Gasse)
Mathias Beiglböck (Universität Wien) und
Johannes Morgenbesser (Österreichische Nationalbank)
"Von der Black-Scholes-Formel zur Finanzkrise -
Versuch einer mathematischen Vereinfachung"
Veranstaltungsreihe "Mathematik: Kompass zwischen Sein und Schein"
http://math.space.or.at/veranst3/kompass.php
------------------------------------------------------------------------
========================================================================
Jointly organised by AVÖ & TU Wien:
========================================================================
EAJ 2014 - 2nd European Actuarial Journal (EAJ)
Conference & Educational Workshop
Vienna University of Technology, September 8-12, 2014
http://www.fam.tuwien.ac.at/eaj2014/
Registration and Abstract Submission Now Open!
========================================================================
(now the date of talk should be correct - sorry for the wrong mailing)
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 11.04.2014, 11:00, room D3.0.221
WU, 1020 Wien, Welthandelsplatz 1, WU Campus, building D3, ground floor
Ralph Koijen (London Business School)
http://www.koijen.net/
"Shadow Insurance"
(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 search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
Vienna Graduate School of Finance (VGSF)
------------------------------------------------------------------------
Fr., 17.01.2014, 11:00, room D3.0.221
WU, 1020 Wien, Welthandelsplatz 1, WU Campus, building D3, ground floor
Ralph Koijen (London Business School)
http://www.koijen.net/index.html
"Shadow Insurance"
(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 search for "D3.0.221" on:
http://gis.wu.ac.at/?roomShow=D3.0.221
------------------------------------------------------------------------
------------------------------------------------------------------------
University of Vienna, Faculty of Mathematics
------------------------------------------------------------------------
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
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
New lecture (with including exercises) in english language:
------------------------------------------------------------------------
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
------------------------------------------------------------------------
------------------------------------------------------------------------
Announcement of talks organised by AVÖ (Aktuarvereinigung Österreichs)
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
Announcement of talks organised by FAM @ TU Wien
------------------------------------------------------------------------
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/
-------------------------------------------------------------------------
------------------------------------------------------------------------
Joint Seminar: TU Vienna, University of Vienna and WU Vienna
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
University of Vienna, Dept. of Statistics and Operations Research
------------------------------------------------------------------------
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)
------------------------------------------------------------------------
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
------------------------------------------------------------------------
========================================================================
Scientific talks:
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
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:
------------------------------------------------------------------------
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/
------------------------------------------------------------------------
New lecture (with including exercises) in english language:
------------------------------------------------------------------------
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
------------------------------------------------------------------------