VFN-L May 2007

vfn-l@fam.tuwien.ac.at

4 participants
8 discussions

[VFN] 3rd Annual CARISMA Seminar on Program Trading Techniques and Financial Models for Hedge Funds
by Xiaochen Sun 25 May '07

25 May '07

{Apologise for cross-sending.} Dear Colleagues, On behalf of Professor Gautam Mitra, CARISMA, we are pleased to announce the forthcoming events on Program Trading and Hedge Funds. Please find the details below (or request PDF brochures for both conference and workshops by email to mapgxcs(a)brunel.ac.uk / info(a)unicom.co.uk ). We are also delighted to announce that ALL STUDENTS and ACADEMIC RESEARCHERS WILL BENEFIT THE EARLY BIRD RATE, besides that there are some discounts for group booking. We would appreciate if you could distribute this message to those colleagues who are interested in this topic. Program Trading Techniques and Financial Models for Hedge Funds: 3rd Annual CARISMA Seminar <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> 26 - 27 June 2007, London Related workshops: * Robust Portfolio Optimisation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Daniel Bienstock, Columbia University, 25 June - Half Day * Structuring Step-up CDOs: an Optimization Approach (including models and software demonstration) <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Stanislav Uryasev, University of Florida, and Gautam Mitra, CARISMA & OptiRisk Systems 25 June - Half Day * Great investors and hedge fund managers:their methods and evaluation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - William T Ziemba, University of British Columbia, 25 June * Financial Innovation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Dilip Madan, University of Maryland, and Marek Musiela, BNP Paribas, 28 June 2007 * Algorithmic Decision Making Framework <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Roberto Malamut, SAC Capital Advisors, with guest presentation by Ekaterina Kochieva, CARISMA, 28 June Conference Programme * Day One Continuing Research on Optimal Trade Execution - Daniel Bienstock, Professor of Operations Research, Columbia University A Market Impact Model That Works - Dan diBartolomeo, Northfield Information Services, Inc., and Visiting Professor, CARISMA High Frequency Trading on Equity Market Micro Structure Evolution - M A H Dempster, Centre for Financial Research, Judge Business School University of Cambridge; V Leemans, Goldman Sachs, London Algorithmic Execution: Some future challenges - Gordon Baker, Head, Algorithmic Execution Services, Deutsche Bank Optimal Liquidation Against a Markovian Limit Order Book - Patrick Hewlett, OCIAM, University of Oxford Automated New Content and Algorithmic Trading - Philip Gagner, RavenPack International SL Algorithmic Trading of Hedge Funds - Nicos Christofides, Director, Centre for Quantitative Finance, Imperial College Invitation-only senior executive networking event on the first evening, which will be attended by an additional group of guests * Day Two Theory of Acceptability Indices Applied to Evaluating Hedge Fund Performance - Dilip Madan, University of Maryland Improving Hedge Fund Performance via Multi-Stage Stochastic Programs - John M. Mulvey, Professor of Operations Research, Princeton University Validation of Derivatives Pricing Models - Dario Cziraky, Insightful Independent Components Analysis of Hedge Fund Returns - Andrew Robinson, APT Detection of Momentum Effects Using an Index Out-performance Strategy - N. Meade, Imperial College & J.E. Beasley, CARISMA Portfolio Optimization with Drawdown Constraints - Stan Uryasev, University of Florida, USA, and American Optimal Decisions Algorithmic Decision Making Framework - Roberto Malamut, SAC Capital Advisors For further details please go to http://www.carisma.brunel.ac.uk/newsandinfo.html <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or www.unicom.co.uk/finance <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or email mapgxcs(a)brunel.ac.uk or info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF flier. We look forward to welcoming you to the conference and workshops, please also make your colleagues aware of it. With kind regards Michael Sun ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/> Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Uxbridge, UB8 3PH United Kingdom Email: xiaochen.sun (at) brunel.ac.uk http://optirisk.googlepages.com/ <http://optirisk.googlepages.com/> http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs> Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/> Tel: (+44) (0)1895 265625 Mobile: (+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] VGSF Research Seminar on Friday, May 25th, by Günter Strobl
by Michael Halling 23 May '07

23 May '07

Günter Strobl from the University of North Carolina, Chapel Hill, is giving a VGSF research seminar on "Time-Varying Information Asymmetry and the Disposition Effect" on FRIDAY, May 25th, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research Seminars) for a map of the location, the paper to download (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract Economists have long been puzzled by the tendency of investors to sell winning investments too soon and hold losing investments too long. Several behavioral explanations for this phenomenon, known as the disposition effect, have been advanced. This paper demonstrates that the disposition effect is not intrinsically at odds with rational behavior. We present a rational expectations model with asymmetrically informed investors and show that, for some parameterizations, trading strategies as predicted by the disposition effect are in fact an optimal response to dynamic changes in the information structure. We provide conditions under which the disposition effect holds and derive new empirical implications relating it to public news releases, trading volume, and stock price dynamics.

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[VFN] Reminder: Invitation Gutmann Center Symposium 2007 on June 1st
by Gutmann Center-D.Grimm 22 May '07

22 May '07

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2007: CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS - With copious apologies for duplicated emails! - June 1st, 2007 - 9.00 am - 6.30 pm, University of Vienna (Austria) Aula Altes AKH, Hof 1, Alser Str. 4, 1090 Wien Fixed income products and credit derivatives represent booming markets with predictable cash-flows and attractive return-risk profiles. Still, the economic relationships underlying these products are very sophisticated. Determinants of credit spreads, the price of default and liquidity risk and models of default correlations are important questions in academic research and have immediate implications for fixed income fund management. At the Gutmann Symposium 2007 internationally recognized experts will address these issues and present their most current research results. 08.30-09.00 Registration 09.00-09.15 WELCOME Josef Zechner - University of Vienna 09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS Chair: Josef Zechner - University of Vienna "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto Discussant: Youchang Wu - University of Vienna "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary Discussant: Thomas Steinberger - University of Vienna "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School Discussant: Alexander David - University of Calgary 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK Chair: Klaus Spremann - University St. Gallen "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam Discussant: Holger Kraft - University of Kaiserslautern "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University Discussant: Stefan Pichler - Wirtschaftsuniversität Wien "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University Discussant: Ashay Kadam - Cass Business School 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: CREDIT RISK MARKETS - OPPORTUNITIES AND CHALLENGES Chair: Engelbert Dockner - University of Vienna Discussants: Joe Biernat - European Credit Management Limited (ECM) Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Stephen Schaefer - London Business School Suresh Sundaresan - Columbia University Friedrich Strasser - Bank Gutmann AG 15.30-16.00 - coffee break - 16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS Chair: Stephen Schaefer - London Business School "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Discussant: Neal Stoughton - University of Calgary "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University Discussant: Thomas Dangl - Vienna University of Technology 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT Chair: Robert Korajczyk - Northwestern University "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft - University of Kaiserslautern Discussant: Helmut Elsinger - University of Vienna "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University Discussant: Otto Randl - Anaxo - refreshments - Participation fee: the participation is free, but all participants are required to register. Contact: Gutmann Center for Portfolio Management University of Vienna - Dorothea Grimm - gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Web: www.gutmann-center.at

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[VFN] VGSF Research Seminar on Friday, May 18th, by Toni M. Whited
by Michael Halling 16 May '07

16 May '07

Toni M. Whited from the University of Wisconsin, Madison, is giving a VGSF research seminar on "The Corporate Propensity to Save" on FRIDAY, May 18th, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research Seminars) for a map of the location, the paper to download (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract We study corporate saving in a stochastic, dynamic model of the firm with endogenous choices of external finance, distributions, cash, and investment. Intertemporal trade-offs between costly external finance and interest income taxation determine optimal savings. Unlike static models, our model produces negative propensities to save out of income because firms lower cash reserves to invest after receiving good productivity news, and vice versa. OLS regressions using international data replicate positive saving propensities found previously. However, treating measurement error in Tobin's q produces negative propensities, consistent with our model. Empirically, income uncertainty matters more for saving than the cost of external finance.

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[VFN] Ankündigung:Kolloquium Finanz- und Versicherungsmathematik
by Hermine Panzenböck 10 May '07

10 May '07

Kolloquium Finanz- und Versicherungsmathematik in Theorie und Praxis Ort: TU Graz, Steyrergasse 30, EG, HS AE01 Zeit: 1. Juni 2007 10:00: Eröffnung 10:15: Prof. Dr. Ralf Korn (Univ. Kaiserslautern) Vortragstitel: Dividenden, Inflation und dynamische Mortalität 11:15: Prof. Dr. Wim Schoutens (K.U.Leuven) Vortragstitel: Levy Processes jumping into Credit Risk Mittagspause 14:00: Dr. Jürgen Hartinger (Kärntner Landesversicherung Klagenfurt) Vortragstitel: Solvency II - Aktuarielle Herausforderungen im neuen Aufsichtssystem für Versicherungen 14:35: Mag. Peter Rohrer (Raiffeisen Landesbank Graz) Vortragstitel: Neue Märkte - Chancen und Herausforderungen im Geld- und Kapitalmarktgeschäft am Beispiel der RLB Steiermark 15:10: Dipl. Ing. Mario Kasper (Merkur Versicherung Graz) Vortragstitel: Auswirkungen aktueller rechtlicher Entwicklungen auf die Kalkulation in der Lebensversicherung Kaffeepause 16:15: Dr. Günther Puchtler (Grazer Wechselseitige Versicherung) Vortragstitel: Wirkungen der Lebensversicherung auf die Unternehmensbilanz Organisatoren: R. Tichy, H. Albrecher -- ------------------------------ Institut für Analysis und Computational Number Theory (Math A) Technische Universität Graz Steyrergasse 30 - A-8010

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[VFN] Invitation: May 31st: Gutmann Center Practitioners' Seminar - "The Structural Approach to Credit Risk"
by Gutmann Center-D.Grimm 08 May '07

08 May '07

The Gutmann Center for Portfolio Management at the University of Vienna www.gutmann-center.at invites to the first GUTMANN CENTER PRACTITIONERS' SEMINAR "THE STRUCTURAL APPROACH TO CREDIT RISK" with: Prof. Dr. Stephen SCHAEFER, London Business School Date: May 31st (Thursday), 14.00 - 17.30 Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Invitation available as pdf on www.gutmann-center.at!) On occasion of its 5th annual symposium, the Gutmann Center extends its bridging activities, bringing together academia and industry, and offers for the first time a "Gutmann Center Symposium Practitioners' Seminar". In this half-day workshop designed especially for participants from the portfolio management industry, Stephen Schaefer from London Business School provides an introduction to the problem of modeling credit risk, describes the "structural approach", explains how it works, what its successes and failures have been and what it has to offer to practitioners who have to deal with credit risk. About Stephen Schaefer: Stephen Schaefer is Professor of Finance at London Business School. Formerly on the faculty of the Graduate School of Business at Stanford University, he has also been a visiting professor at the Universities of British Columbia, California (Berkeley), Cape Town, Chicago and Venice. He has published widely on fixed income markets, risk management, credit risk and financial regulation. At London Business School he has been at various times Research Dean, Chairman of the finance area, Director of the Institute of Finance and Accounting and a member of the School's Governing Body. In his outside academic life, Stephen Schaefer is a Senior Research Advisor to Moody's KMV, a member of Moody's Academic Research and Advisory Committee and a Non-Executive Director of Leo Fund Management. He was formerly an Independent Board Member of the Securities and Futures Authority and a Trustee-Director of Smith Breeden Mutual Funds. Program: 14.00-14.15 Welcome Rudolf Stahl, CEO Bank Gutmann AG Josef Zechner, University of Vienna and Gutmann Center 14.15-15.30 Introduction to Credit Risk - What is default? - How to model default - the main alternatives - The data The Structural Approach (Part I) - The basic idea (Black-Scholes-Merton[BSM]) - Limitations of BSM 15.30-16.00 - Coffee Break - 16.00-17.15 The Structural Approach (Part II) - Models with early default - Evidence on using structural models for predicting credit spreads and default probabilities Some recent research: Using structural models to understand - Hedge ratios (against the issuing firm's equity) - Duration Summary and discussion - Refreshments - Please register no later than May 23rd, 2007! Participation is free of charge, but the number of participants is limited. Registration, contact and further information: Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at

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[VFN] VGSF Research Seminar on Wednesday, May 9th, by Michael Roberts
by Michael Halling 07 May '07

07 May '07

Michael Roberts from the University of Pennsylvania (the Wharton School) is giving a VGSF research seminar on "Control Rights and Capital Structure: An Empirical Investigation" on WEDNESDAY, May 9th, from 16:00 to 17:30 in SR 1 (Seminarraum 1) at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research Seminars) for a map of the location, the paper to download (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Michael Roberts is going to be in Vienna until Friday morning. He would be very happy to discuss research with the local faculty. Please contact Michael Halling if you are interested and would like to take advantage of this opportunity. Best, Michael Halling Abstract We show that a large number of financing decisions of solvent firms are dictated by creditors, who use the transfer of control rights accompanying financial covenant violations to address incentive conflicts between managers and investors. After showing that financial covenant violations occur among almost one third of all publicly listed firms, we find that creditors use the threat of accelerating the loan to reduce net debt issuing activity by over 2% of assets per annum immediately following a covenant violation. Further, this decline is persistent in that net debt issuing activity fails to return to pre-violation levels even after two years, resulting in a gradual decline in leverage of almost 3%. These findings represent the first, of which we are aware, piece of empirical evidence highlighting the role of control rights in shaping corporate financial policies outside of bankruptcy.

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[VFN] Invitation June 1st: Gutmann Center Symposium on Credit Risk and the Management of Fixed Income Portfolios
by Gutmann Center-D.Grimm 02 May '07

02 May '07

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2007: CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS - apologies for any cross-postings!! - June 1st, 2007; 9.00 am - 6.30 pm University of Vienna, Aula Campus Altes AKH - Hof 1, Alser Str. 4, 1090 Wien Fixed income products and credit derivatives represent booming markets with predictable cash-flows and attractive return-risk profiles. Still, the economic relationships underlying these products are very sophisticated. Determinants of credit spreads, the price of default and liquidity risk and models of default correlations are important questions in academic research and have immediate implications for fixed income fund management. At the Gutmann Symposium 2007 internationally recognized experts will address these issues and present their most current research results. NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED PLEASE REGISTER VIA E-MAIL NOT LATER THAN May 21st: gutmann.bwl(a)univie.ac.at PROGRAM: 08.30-09.00 Registration 09.00-09.15 WELCOME Josef Zechner, University of Vienna 09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: "Credit Risk Markets - Opportunities and Challenges" Discussants: - Joe Biernat - European Credit Management Limited (ECM) - Pierre Collin-Dufresne - UC Berkeley and Goldman Sachs Asset Management - Stephen Schaefer - London Business School - Suresh Sundaresan - Columbia University - Friedrich Strasser - Bank Gutmann AG 15.30-16.00 - coffee break - 16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne -UC Berkeley/Goldman Sachs Asset Management "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft -University of Kaiserslautern "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University - cocktails - Sessions will be chaired and discussed by members of the Academic Advisory Board: - Engelbert Dockner, University of Vienna - Robert Korajczyk, Northwestern University - Suresh Sundaresan, Columbia University - Klaus Spremann, University St. Gallen - Neal Stoughton, University of Calgary - Josef Zechner, University of Vienna Participation fee: the participation is free, but all participants are required to register: gutmann.bwl(a)univie.ac.at CONTACT AND FURTHER INFORMATION: Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 E-mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at

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VFN-L May 2007