Risk Day 2001
-------------
Mini-Conference on Risk Management in Finance and Insurance
organised by RiskLab, ETH Zurich.
Printable and online program with links:
http://www.math.ethz.ch/finance/Risk-Day-2001.html
Time: Friday, October 19, 2001, 9.00 - 17.30
Location: ETH Zurich, Main Building, Lecture Hall HG F7; Refreshments
in the "Uhrenhalle" (main hall, F-floor)
General Information: Participation is free, and there is no official
registration. Everyone is welcome, practitioners are especially
encouraged to attend.
Program:
--------
9.00 - 9.10
Prof. Dr. Hans-Jakob Lüthi (IFOR and RiskLab, ETH Zürich)
"Welcome and Presentation of RiskLab"
9.10 - 9.50
PD Dr. Wolfgang Breymann (RiskLab, Dept. of Math., ETH Zürich)
"Volatility Estimation and Risk Measurement:
>From Short to Long Time Horizons"
Abstract: Market risk management, portfolio optimization and option
pricing methods can only be as good as the model of the underlying
volatility process. An approach will be presented that uses intraday
high-frequency financial data to improve risk measurement at long
time horizons. It takes advantage of the fact that volatility
estimation on a time horizon of the order of days can be improved by
the use of intra-day data. Such data require special methods for data
analysis. The following results will be presented:
- Universal method for deseasonalization of financial time series.
- Use of intra-day data to improve volatility estimates
at daily or longer time horizons.
- Modelling financial time series by means of a hierarchical
volatility model containing a cascade from long to short time
horizons.
An outlook will be given on how to use these techniques for portfolio
optimisation and risk management at longer time horizons.
9.50 - 10.30
Enrico De Giorgi (RiskLab, Dept. of Math., ETH Zürich)
"An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios"
Abstract: In December 2000 Swiss banks held about 505 billion CHF
debts in the form of mortgages. Nonetheless, current models for
credit risk are not designed to capture the specific dependence
characteristics of a large mortgage portfolio. Given the huge size of
the mortgage market, it is surprising that the issue has been largely
ignored by academic research. Our attention lies in a proper way of
modeling default risk for individual residential mortgages, which is
affected by macro-economic factors such as unemployment, mortgage and
factors specific to the obligor. We consider the time to default,
using a non-parametric proportional hazard model for the intensity
process, which is assumed to depend on a set of factors
(macro-economic, mortgage and obligor specific). A technique from
generalized additive models is used for estimation and the
contribution of each factor to the default intensity is computed.
10.30 - 11.00 Coffee Break (Main Hall, F-Floor, Uhrenhalle)
11.00 - 11.30
Filip Lindskog (RiskLab, Dept. of Math., ETH Zürich)
"Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions"
Abstract: The class of elliptical distributions provides a rich
source of multivariate distributions which share many of the
tractable properties of the multivariate normal distribution and
enables modelling of multivariate extremes and other forms of
non-normal dependences. In this talk I aim to clarify dependence
properties of elliptical distributions and give examples how these
results can be applied. (Joint work with Henrik Hult.)
11.30 - 12.00
Alessandro Juri (Dept. of Math., ETH Zürich)
"Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks"
Abstract: The theory of copulae is known to provide a useful tool for
modelling dependence in integrated risk management. For given risks
X_1,...,X_n and a real-valued functional f on R^n, bounds for the
Value-at-Risk of the global position f(X_1,...,X_n) are provided. The
key point is that we do not have specific dependence information on
X_1,...,X_n. A further issue is how these bounds change when specific
dependence information is assumed. Various examples highlight the
methodology introduced. (Joint work with Andrea Höing and Prof. P.
Embrechts.)
12.00 - 13.40 Lunch Break
13.40 - 14.10
Pierre Patie (RiskLab, Dept. of Math., ETH Zürich)
"Risk Management for Derivatives in Illiquid Markets"
Abstract: In this talk, we study the hedging of derivatives in
illiquid markets. We consider a model where the implementation of a
hedging strategy affects the price of the underlying security. We
derive a formula for the feedback effect of dynamic hedging on market
volatility and characterize perfect hedging strategies by a nonlinear
version of the Black-Scholes PDE. Then we extend our approach to
portfolios of derivatives by providing a pricing rule for the
individual claims in a portfolio assuming that we know the overall
hedge cost and the replicating strategy for the large trader. We
solve numerically the PDE and we provide results (option prices and
greeks) for different kinds of options. On the topic of risk
management, we suggest a methodology to measure liquidity based on
the estimation of implied parameters obtained from real option
prices. Finally, simulations are used to assess the performance of
various hedging strategies under market illiquidity. (Joint work with
Prof. Rüdiger Frey, ISB, University of Zurich.)
14.10 - 14.40
Dr. Jesper Lund Pedersen (RiskLab, Dept. of Math., ETH Zürich)
"An Optimal Selling Strategy Based on Predicting the Ultimate Maximum Price"
Abstract: In this talk I will present an optimal selling strategy for
an asset in the following sense: An investor with a long position in
one asset decides to close the position before a given time. The
investor continuously observes the asset price performance and has to
determine the point in time (selling strategy) to close out the
position so that the asset price is as close as possible to the
ultimate maximum price over the given period. The probable proximity
is measured by a probability distance. Thus, the investor's objective
is to maximize, over all strategies, the probability that the asset
price when the position is closed out is greater than a given
percentage of the ultimate maximum price.
14.40 - 15.10
Dr. Larbi Alili (Dept. of Math., ETH Zürich)
"Exponential Functionals of Brownian Motion and Asian Options"
Abstract: Exponential functionals of Brownian motion play an
important role in the valuation and hedging of Asian options. The aim
of this talk is to provide an elementary method for computing the
distribution of the latter functionals.
15.10 - 15.50 Coffee Break (Main Hall, F-Floor, Uhrenhalle)
15.50 - 16.20
Dr. Dirk Tasche (RiskLab, Dept. of Math., ETH Zürich)
"Expected Shortfall and Beyond"
Abstract: Expected Shortfall (ES) in several variants has been
proposed as a remedy for the deficiencies of Value-at-Risk (VaR),
which in general is not a coherent risk measure. In fact, most
definitions of ES lead to the same results when applied to continuous
loss distributions. Differences may appear when the underlying loss
distributions have discontinuities. In this case even the coherence
property of ES can be lost. The relations between some of the
definitions of ES will be discussed. It will be pointed out that
there is one which is robust in the sense of yielding a coherent risk
measure regardless of the underlying distributions. In contrast to
VaR, this variant of ES can always be estimated naively. Moreover, as
shown recently by S. Kusuoka, it generates in a certain sense the
class of all law invariant coherent risk measures.
16.20 - 16:50
Prof. Dr. Philippe Artzner (RiskLab and Université Louis Pasteur)
"Coherent Acceptability for Multiperiod Risk and Applications"
Abstract: We explain why and how to deal with the definition, the
acceptability and the management of risk in a genuinely multitemporal
way. Acceptable value processes are primitive objects and the measure
of risk of a value process is the initial extra capital which makes
it acceptable. Coherence axioms then provide a representation of a
risk-adjusted valuation as the minimum expected value of an Stieltjes
integral with respect to random measures. Some special cases allowing
for recursive computations are presented. (Joint work with Freddy
Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku.)
17.00 Awarding of the Prize of the Dimitris N. Chorafas Foundation.
Conference Secretary: Mrs G. Baltes, HG G37.2, Phone 01/632 34 00,
E-mail: baltes(a)math.ethz.ch
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/
---------- Forwarded message ----------
Date: Mon, 24 Sep 2001 19:44:54 -0500
From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU>
To: SIMSOC(a)JISCMAIL.AC.UK
Subject: September 2001 news notes on agent-based computational economics
24 September 2001
Just a note to say that the September 2001 news notes on agent-based
computational economics (ACE) are now available on-line in html document
form at
http://www.econ.iastate.edu/tesfatsi/ace0901.htm
Featured items include journal, book, software, research group, on-line
course, and conference announcements. Items of more permanent interest
have been incorporated into the ACE Web site at
http://www.econ.iastate.edu/tesfatsi/ace.htm
ACE is the computational study of economies modelled as evolving systems of
autonomous interacting agents.
Best wishes,
Leigh Tesfatsion
Leigh Tesfatsion Department of Economics
Tel: (515) 294-0138 Iowa State University
FAX: (515) 294-0221 Ames, Iowa 50011-1070
tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/
---------- Forwarded message ----------
Date: Mon, 24 Sep 2001 11:05:31 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position at UBC
Please bring the following opening to the attention of anyone who might be
interested.
The Mathematics Department at the University of British Columbia is seeking
candidates for at least one tenure-track Assistant Professorship, subject
to funding, with a starting date of 1 July 2002. Exceptional candidates at
the Associate Professor or Professor level may be considered. Applicants
must have a superb research record in one of the following areas: Financial
Mathematics, Mathematical Biology, Partial Differential Equations,
Scientific Computing or Industrial/Applied Mathematics. The successful
applicant is expected to interact with related groups in the Mathematics
Department and have demonstrated interest and ability in teaching. The
salary will be commensurate with experience and
research record. Applicants should send a current cv including a list of
publications, statement of research and teaching interests and a list of
four referees to
Professor George Bluman, Head
Department of Mathematics
University of British Columbia
#121 - 1984 Mathematics Road
Vancouver, B.C. Canada V6T 1Z2
Assistant Professorship candidates should arrange for three letters of
recommendation to be sent directly to the same address.
Applications must be received before November 27, 2001.
on wednesday, oct. 10th 4 pm at the institut für höhere studien
(stumpergasse 56, 1060) hs. II, there will be a seminar talk by
kerry back (olin business school, washington university, st. louis)
on "Information in securities markets: Kyle meets Glosten and
Milgrom"
best
gabe lee
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
CALL FOR PARTICIPANTS
The Center for Applied Probability at Columbia University presents the
8th Annual CAP Workshop on Derivative Securities and Risk Management
Friday, November 9, 2001
Columbia University, New York City
This year we present another group of highly distinguished
speakers in the usual informal workshop aimed at fostering
communication between academia and industry.
SPEAKERS:
David Chasman, Sempra Energy Trading
"Managing 'Simple' and Not-So-Simple Energy Risk"
Steve Heston, Goldman Sachs
"The Expectations Puzzle in a Log-Linear Bond Model"
Michael Johannes, Columbia Business School
"The Impact of Jumps in Volatility and Returns"
Alan Lewis, Analytic Investment Management
"A Simple Option Formula for General Jump-Diffusion and other
Exponential Levy Processes"
Keynote Address:
Richard Sandor, Environmental Financial Products
"The Chicago Climate Exchange: Creating a Market for Greenhouse Gas
Emissions Trading"
Philipp Schoenbucher, Bonn University
"Pricing Exotic Credit Derivatives"
Nick Webber, University of Warwick
"Lattice Methods for Levy processes"
Zhifeng Zhang, Morgan Stanley
"Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps"
REGISTRATION FEES:
Academic:
By Nov. 2: $110 ($30 student)
On site: $150 ($40 student)
Corporate:
By Nov. 2: $220
On site: $300
A light lunch will be provided, and a wine and cheese reception will
be held at the end of the day.
REGISTRATION PROCEDURE:
Send Name, Title, Affiliation, Address and E-mail Address (as we
prefer to acknowledge receipt of your registration by e-mail), along
with a check or money order payable to CAP to the address below.
Or, to pay by credit card (MC or Visa ONLY), send the same
information in an e-mail to the address below and, in addition,
include CC#, Exp. Date, Name (as it appears on card), and Billing
Address. If you prefer, you may FAX the information, or a legible
(not too dark) copy of your credit card, to the FAX number listed
below.
CONTACT:
E-mail: cap(a)columbia.edu
WWW: http://www.cap.columbia.edu/
Postal: Center for Applied Probability, ATTENTION: Finance Workshop
601 CEPSR, Columbia University, Mail code 8906
530 West 120th Street, New York, NY 10027
Phone: (212) 854-6096
FAX: (212) 854-6989
LOCATION:
Columbia University, New York City
Exact location TBA.
Check http://www.cap.columbia.edu for updated information
ORGANIZERS:
M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.
Ausschreibung
Am Institut für Medizinische Statistik ist eine Planstelle mit einem
Universitätsassistenten/in - Ersatzkraft vom 01.10.2001 bis 30.09.2002 zu
besetzen.
Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium (Statistik,
Mathematik oder ein fachverwandtes Studium)
Gewünschte Zusatzqualifikationen: Erfahrung mit Anwendungen von
statistischen Methoden in Medizin, Biologie oder Epidemiologie; Kenntnisse
in statistischer Software; Erfahrung mit statistischmethodischen
Problemstellungen.
Kennzahl: 1735301
Bewerbungsfrist: 10.10.2001
Bewerbungen: Bewerbungsformulare mit Lebenslauf sind an die
Universität Wien
Universitätsdirektion
Personalabteilung/Bundesbedienstete
Allgemeines Krankenhaus Wien
Medizinische Fakultät
Währinger Gürtel 1820, A1090 Wien, zu richten.
Am Institut bestehen statistischmethodische Forschungsschwerpunkte über
sequentielle und adaptive Designs, Qualitätskontrolle in medizinischen
Studien sowie multiple Inferenz und Versuchsplanung.
Darüberhinaus nimmt das Institut für Medizinische Statistik innerhalb der
Fakultät eine Dienstleistungsfunktion bei der Planung und Auswertung von
medizinischen Forschungsprojekten wahr. Dabei kommt es zu Kooperationen mit
medizinischen Fachwissenschaftlern aus den Bereichen medizinischer
Experimente sowie klinischer und epidemiologischer Studien. Für diese
Tätigkeit ist gute Statistiksoftwarekenntnis erforderlich.
Schließlich nimmt auch die Bedeutung der Lehrtätigkeit, schwerpunktsmäßig
zur Einführung in statistische Methoden für das medizinische Umfeld,
ständig zu.
Für weitere Informationen siehe auch http://www.mstat.univie.ac.at
____________________________
Martin Posch
Department of Medical Statistics
University of Vienna
http://Posch.n3.net
---------- Forwarded message ----------
Date: Wed, 12 Sep 2001 15:30:09 +0100
From: cemapre <cemapre(a)iseg.utl.pt>
To: <Undisclosed-Recipient:@mail.iseg.utl.pt;>
Subject: Sixth International Congress on Insurance: Mathematics and
Economics
CEMAPRE is pleased to host the Sixth International Congress on Insurance: Mathematics & Economics, to be held on July 15-17, 2002, at ISEG, Technical University of Lisbon.
We invite you to have a look at our web page at http://www.iseg.utl.pt/~cemapre/ime2002
---------- Forwarded message ----------
Date: Fri, 7 Sep 2001 15:46:51 -0400 (EDT)
From: Jean-Pierre Fouque <fouque(a)unity.ncsu.edu>
Subject: tenure-track position in financial mathematics
Dear colleagues,
Below you will find an announcement
for an assistant professor position in financial mathematics.
It is at:
http://www.math.ncsu.edu/departmental/facpositions.html
Please bring this announcement to the attention
of qualified and interested individuals.
Thanks a lot,
JPF
Jean-Pierre Fouque
Department of Mathematics
NCSU, Box 8205
Raleigh, NC 27695-8205
Phone: (919) 515-8588, Fax: (919) 515-3798
http://www.math.ncsu.edu/~fouque
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
The Department of Mathematics invites applications for a tenure track
appointment at the assistant professor level in financial mathematics,
beginning in the fall of 2002.
Candidates should have a strong ongoing research program and a
demonstrated skill in teaching. The candidate's areas of interest should
complement the current research activities within the department in the
broad areas of stochastic processes, partial differential equations and
scientific computation. The successful candidate will participate in the
creation and development of a multidisciplinary Masters program in
Financial Mathematics.
Applicants should send a vita and three letters of reference
to Financial Mathematics Search Committee,
NC State University,
Mathematics Department, Box 8205,
Raleigh, NC 27695-8205.
Complete applications received before November 30, 2001 will receive full
consideration.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
---------- Forwarded message ----------
Date: Wed, 05 Sep 2001 16:15:05 -0500
From: cywei(a)uts.cc.utexas.edu
To: wschach(a)fam.tuwien.ac.at
Subject: Message from Actuarial Science Society
Dear Walter Schachermayer ,
POSITION IN ACTUARIAL SCIENCE
The Department of Mathematics and Statistics of the Faculty of Arts and
Sciences of the Université de Montréal invites applications for a
tenure-track position in actuarial science at the assistant professor,
associate professor or full professor level. The Department collaborates to
the activities of the Centre de recherches mathématiques (CRM). The position
is subject to budgetary approval. For more information on the Department or
the CRM, visit www.dms.umontreal.ca/ and www.crm.umontreal.ca/ .
DUTIES
Undergraduate and graduate teaching, supervision of graduate students, and
research.
REQUIREMENTS:
To hold a Ph.D. in Actuarial Science or in a related area and to be an
associate member of an actuarial society. An expertise in mathematical
finance is a supplementary advantage. The research record is of prime
importance. The candidate must possess excellent teaching skills. A good
working knowledge of French is required.
SALARY:
The Université de Montréal offers competitive salaries and a complete
package of social benefits.
STARTING DATE:
June 1, 2002.
The interested candidates must submit a curriculum vitae including a concise
statement of their research interests, at least three letters of reference,
and copies of at most three of their most important research publications
before November 15, 2001 (or until the position is filled), to:
Chair
Département de mathématiques et de statistique
Université de Montréal
C.P. 6128, succursale Centre-ville
Montréal QC H3C 3J7
Phone: (514) 343-6743
FAX: (514) 343-5700
email: mathstat(a)dms.umontreal.ca
In accordance with Canadian immigration requirements, priority will be given
to Canadian citizens and permanent residents of Canada. The Université de
Montréal subscribes to an affirmative action program for women and to
employment equity.
Cordially,
Patrick L. Brockett
**************************************************************************
Actuarial Science Researchers Online International Directory Adminstrator
http://wnt.cc.utexas.edu/~bgbc771/Acs_Dir.cfm
Gus S. Wortham Memorial Chairholder in Risk Management and Insurance
Department of Management Science and Information Systems,
Director, Risk Management Program,
Professor of Finance, Mathematics and Management Science
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