VFN-L October 2001

vfn-l@fam.tuwien.ac.at

4 participants
9 discussions

[VFN] 15. Workshop der AWG (Anmeldeformular)
by Stefan Pichler 24 Oct '01

24 Oct '01

Technische Universitaet Wien 15. Workshop Austrian Working Group on Banking and Finance 30. 11. / 1. 12. 2001 EINLADUNG Sie sind herzlich zur Teilnahme am 15. Workshop der Austrian Working Group on Banking and Finance eingeladen. Um sich anzumelden, retournieren Sie bitte das Anmeldeformular, zu finden im WWW unter http://info.tuwien.ac.at/E330/tu3306/einladung.doc Mit freundlichen Gruessen Wolfgang Aussenegg Stefan Pichler Walter Schwaiger Helmut Uhlir

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[VFN] AWG, 2nd Call for Papers
by Stefan Pichler 24 Oct '01

24 Oct '01

Technische Universität Wien 15. Workshop Austrian Working Group on Banking and Finance 30. 11. / 1. 12. 2001 CALL FOR PAPERS Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder extended abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof. Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040 Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden. Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw. spichler(a)pop.tuwien.ac.at) ist erwünscht. Mit freundlichen Grüßen Helmut Uhlir Stefan Pichler

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[VFN] Announcement: Public Lecture with Elroy Dimson
by Zeiner Sonja 24 Oct '01

24 Oct '01

Announcement: Talk with Elroy Dimson, London Business School Date: 5.11.2001 Time: 04:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin Title of the talk: High frequency performance mointoring Abstract: The presentation shows optimal strategies for monitoring performance of asset managers on a quarterly, weekly or even daily basis. registration: until 2.11.2001 under sonja.zeiner(a)gutmann.at or phone: 502 20-357

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[VFN] Talk by Hansjoerg Albrecher, We, 24.10.2001
by Christopher Summer 22 Oct '01

22 Oct '01

Announcement: Talk by Hansjörg Albrecher, Department of Mathematics, Graz University of Technology Title of the talk: On some generalizations of the classical ruin model in risk theory Date: We, 24.10.2001 Time: 17:00 Location: Vienna University of Technology, Freihaus, Turm A (green), 6th floor, Room 107 (see map at: http://www.fam.tuwien.ac.at/schedule/) Abstract: The classical model in collective risk theory for the development of the free reserve of an insurance portfolio is characterized by a Poisson claim number process, independent and identically distributed claims and a constant premium density. Several generalizations of this model are considered. In a ruin model allowing for a constant force of inflation and interest on the free reserve, we investigate when it is suitable to represent the finite-time survival probability as a gamma series and derive some exact analytical solutions for exponentially distributed claim sizes. In a model with dividend payments according to a non-linear dividend barrier strategy, integro-differential equations for the survival probability and the expected discounted dividend payments are derived and, using integral operators, efficient number-theoretic solution methods are developed. Moreover we investigate the behavior of the Lundberg exponent when dependence structures among consecutive claims are considered. Further information on other talks at the Institute of Financial and Actuarial Mathematics can be found at http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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[VFN] Talk by Kerry Back, Tu, 23.10.2001
by Christopher Summer 19 Oct '01

19 Oct '01

Announcement: Talk by Kerry Back, John M. Olin School of Business, Washington University in St. Louis Date: 23.10.2001 Time: 16:30 Location: Vienna University of Technology, Freihaus, Turm A (green), 6th floor, Room 107 (see map at: http://www.fam.tuwien.ac.at/schedule/) Title of the talk: Information in Securities Markets: Kyle meets Glosten and Milgrom Abstract: We study a model of informed trading in which trades arrive sequentially, uninformed trades arriving as a Poisson process. We characterize an equilibrium in which the single informed trader plays a mixed strategy - a point process with stochastic intensity. In this equilibrium, informed and uninformed trades arrive probabilistically, as they are assumed to do in Glosten-Milgrom models. We study a sequence of such markets in which uninformed trades become smaller and arrive more frequently, approximating a Brownian motion. We show that if the equilibria converge, then their limit is the equilibrium of a Kyle-type continuous auction model. Further information on other talks at the Institute of Financial and Actuarial Mathematics can be found at http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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[VFN] Kickoff CCEFM Workshop--diese Woche!!!
by Alex Stomper 15 Oct '01

15 Oct '01

CCEFM (Center for Central European Markets), eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien, Technischen Universitaet Wien und der Wiener Börse AG, laedt zu folgendem Workshop ein: Otto Randl, Universität Wien "Chinese Walls in German Banks" Freitag, 19.10.2001, 15.30-17.00 Wiener Börse, Wallnerstrasse 8, 1010 Wien. Voraussichtliche weiter Termine entnehmen Sie bitte dem file, das mit diesem email versandt wird, sowie der Seite http://info.tuwien.ac.at/ccefm/workshop/work.htm.

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[VFN] Talk by Robert Tompkins, Tu, 16.10.2001
by Christopher Summer 10 Oct '01

10 Oct '01

Announcement: Talk by Robert Tompkins Date: 16.10.2001 Time: 17:30 (note: this is one hour later than the usual weekly seminar at the Institute of Financial and Actuarial Mathematics) Location: Vienna University of Technology, Freihaus, Turm A (green), 6th floor, Room 107 (see map at: http://www.fam.tuwien.ac.at/schedule/) Title of the talk: The relation between implied and realised probability density functions Abstract: By Iliana Anagnou, Mascia Bedendo, Stewart Hodges and Robert Tompkins A number of financial regulators [see Neuhaus (1995), Bahra (1996, 1997), McManus (1999) and Shiratsuka (2001)] have suggested that risk neutral densities (RND) associated with options markets could provide useful indicators of future market turbulence. Critical to this assumption is that such RNDs should provide an unbiased forecast of realised probability density functions. To date, this assumption has not been fully examined. In this research, we test the ability of RNDs for options on the S&P 500 and the British Pound / US Dollar to predict future probability densities. We consider three approaches to estimate the RNDs, which are consistent with approaches proposed and used by financial regulators. We also provide a number of new testing procedures to assess the efficiency and unbiasness of the forecasts. These tests provide more power than the usual Komolgorov/Smirnov tests. Using non-overlapping quarterly data from the mid 1980s to 2000, we find that we can reject the hypothesis that the RNDs for both the S&P 500 and British Pounds are unbiased forecasts. Even with a limited number of observations, the tests are powerful enough to allow rejection. These results are consistent with Weinberg (2001) and are more robust as this work relied upon the use of overlapping data. These results tend to support the conclusions of Shiratsuka (2001), that RNDs should not be used by financial regulators as financial indicators, and that such use could prove counterproductive; actually increasing future market turbulence rather than alleviating it. Further information on other talks at the Institute of Financial and Actuarial Mathematics can be found at http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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[VFN] Workshop on Model Calibration ( Paris, 26 Oct 2001)
by Christopher Summer 09 Oct '01

09 Oct '01

Frontieres en Finance http://www.frontiers-in-finance.com/ and ARTABEL SA http://www.artabel.net/ have the pleasure of announcing a one-day Workshop on Model Calibration: theoretical and computational aspects. Journée Calibration de modèle: aspects numériques et théoriques. Paris, Vendredi 26 Octobre 2001. Paris, Friday 26 October 2001. 8:30 - 18:00. The use of increasingly sophisticated stochastic models in finance makes difficult the calibration of model parameters to data. On the other hand, more and more complex derivatives are created whose prices and hedging strategies are increasingly sensitive to model parameters and therefore to the calibration methods used to obtain them. Th goal of this workshop is to shed some light on some of the theoretical and numerical tools available to tackle these difficulties: through 4 mini-courses on the subject, we will present various methods for model calibration, examples of their application in option pricing and finally a numerical implementation of each method on a parallel architecture. La sophistication croissante des modèles financiers rend difficile et delicat la calibration des parametres de modele. D autre part, l'arrivee sur le marche d'instruments de plus en plus complexes augmente la sensibilite des prix et des strategies de couverture aux parametres de modele, rendant le resultat encore plus sensible a la procedure utilisee pour la calibration. L'objectif de cette journee sera de proposer une approche scientifique de ce probleme et de presenter un panorama des methodes numeriques disponibles pour le resoudre. L'exposition de chaque methode theorique sera accompagne d'une demonstration numerique et de commentaires sur les aspects pratiques de l'implementation. Exposés / Talks: Rama CONT Centre de Mathematiques Appliquees CNRS - Ecole Polytechnique. Beyond Dupire: model calibration by regularization and optimization. Fabio MERCURIO Banca San Paolo, Milan. Joint Calibration of the LIBOR Market Model to Caps and Swaptions. Stephane CREPEY Artabel SA Calibration of volatility surfaces I: deterministic penalization approach. Claude MARTINI -- Steven FARCY Artabel SA. Calibration of local volatility surfaces II: stochastic control approach.. Inscriptions/ Registrations To register, fill out and send us the registration form with your payment or proof of bank transfer before Oct 19, 2001. http://www.fiquam.polytechnique.fr/finance/261001.html E-mail registration is not accepted. PhD students should include a letter describing their subject of research. Pour vous inscrire, renvoyez le formulaire d'inscription: http://www.fiquam.polytechnique.fr/finance/261001.html avec votre reglement par courrier ou télécopie au 01 41167171 avant le 19 Octobre 2001 Renseignements / Information : For more information contact: tikhonov(a)frontiers-in-finance.com Pour plus de renseignements, contacter: tikhonov(a)frontiers-in-finance.com ------------------------------------------------------ Frontières en Finance http://www.frontiers-in-finance.com/ E-mail: info(a)frontiers-in-finance.com

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[VFN] Workshop "Extremal Events and Dependence Modelling ..." (fwd)
by Christopher Summer 08 Oct '01

08 Oct '01

Workshop Announcement --------------------- "Extremal Events and Dependence Modelling with Applications to Financial Risk Management" Location: Swiss Re Rüschlikon (Switzerland), Centre for Global Dialogue Date: Nov. 12 - 13, 2001 For detailed information and links see http://www.math.ethz.ch/finance/Ruschlikon2001.html Seminar Leaders: - Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich) - Prof. Dr. Alexander McNeil (Department of Mathematics, ETH Zürich) - Dr. Uwe Schmock (RiskLab Research Director, ETH Zürich) Target audience: insurance risk managers, actuaries, financial risk managers, interested mathematicians and physicists Registration fee: CHF 500.-; For students, assistants and other academic staff CHF 100.- Accommodation: Hotel facilities are available at Rüschlikon upon request. Registration: Please send your e-mail registration to the responsible event manager Nadine Schuhmacher (mailto:Nadine_Schuhmacher@swissre.com), phone no. ++41-1-704 88 31, indicating your full name, address, phone number. Registration deadline: Friday, October 19, 2001 Aim of the Workshop ------------------- Risk managers are primarily concerned with the risk of low-probability events that could lead to catastrophic losses. Yet traditional VaR methods tend to ignore extreme events. In particular, it is often assumed that log-returns are multivariate normally distributed, and little attention is paid to the distribution of the (possibly dependent) extreme returns we are most concerned about. The danger is then that our models are prone to fail in situations when they are needed most - in the event of large market or credit losses. Attempts to estimate the probability and severity of such large losses are hampered by the lack of data - unusually large market or credit losses are almost by definition rare events. Extreme Value Theory (EVT) is a set of statistical techniques that have been developed to deal with these problems. Financial risk management also confronts us with complex interdependencies. Of particular concern for risk managers is the issue of extremal dependence - the phenomenon of increased dependence and reduced diversification in stress periods. Copulas give us the very latest tools for understanding and modelling this phenomenon and show how extreme value theory may be taken to higher dimensions. Elliptical distributions and the corresponding robust estimation of dependence are a prominent example. All these mathematical and statistical techniques help the financial risk manager to make the best possible use of what little information we have about the extreme losses and their possible dependence, which explains why in recent years these techniques have become increasingly popular as a risk management tool. This two-day event consists of a systematic introduction to extreme value theory and dependence modelling with a strong focus on applications in financial risk management and worked-out case studies, including live presentations with the latest version of the free EVIS software routines (Extreme Values in S-Plus) developed at ETH Zurich as an add-on to S-Plus. Seminar Outline --------------- 1. Extreme Value Theory (EVT) in Risk Management (RM) - Rare events, heavy tails and EVT - General principles of risk measurement - Measures of tail risk - VaR and coherent measures beyond VaR 2. EVT: Basic Results - Maxima and worst-case losses - Limiting distributions for maxima - Modelling tails of probability distributions - The peaks-over-thresholds (POT) method - Software for EVT - the EVIS template 3. Case Study: EVT and Securitisation of Insurance Risk - Applying EVT to price catastrophe covers - Data analysis and mastering practical obstacles such as censoring - The art of modelling and testing for trends - Identifying and quantifying model risk - Implementing Monte Carlo scenario generation to assess robustness - Calculating the coupon value of a CAT bond 4. EVT and Market Risk Management - Embedding EVT in a stochastic volatility framework - Dynamic and static risk measurement - VaR estimation and backtesting - VaR for longer time horizons - scaling rules 5. Modelling Dependent Risks: Basic Concepts - Basics of multivariate statistics - Multivariate normal distributions - Elliptical models and normal mixture models - Portfolio theory in an elliptical world 6. Advanced Concepts: Copulas and Extremal Dependence - Describing dependence with copulas - Understanding the limitations of correlation - Alternative dependence measures - Statistical aspects of dependence modelling - Tail dependence and dependent extreme values - A survey of useful copula families 7. Applications: Credit Risk Models - Multivariate discrete models for credit risks - Latent variable models and mixture models - Standard solutions: CreditMetrics, KMV and CreditRisk+ - Mapping between latent variable and mixture models - Exchangeability and correlation - Dirichlet-Bernoulli mixture model - Motivation of the Dirichlet distribution, properties - What is extreme credit risk? - Copulas and extreme credit risk - Improving and extending standard solutions - Generating risky scenarios - a simulation study - Alternative risk transfer - basket credit derivatives - Calibrating credit models to available information - Modelling rating transitions With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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VFN-L October 2001