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[VFN] Research talk: Jochen Lawrenz
by Tanja Veza 26 May '08

26 May '08

Dear colleagues, you are kindly invited to attend the following research talk: Jochen Lawrenz (Institute for Banking and Finance, University of Innsbruck) will talk about "Optimal Design of Rating-Trigger Step-Up Bonds: Agency Conflicts Versus Asymmetric Information" (cf. abstract below) on Wednesday, May 28th, 2008 at 4 p.m. at Vienna Univ of Econ & Bsns Admin, Heiligenstaedter Str. 46-48, in Meeting Room 1. Kind regards, Stefan Pichler --------------------------------- Abstract: In this paper, we analyze corporate bonds with a rating-triggered step-up provision in a continuous-time framework with bankruptcy costs and tax benefits. While without any further frictions, step-up bonds do not add firm value relative to straight debt, agency conflicts and asymmetric information are two possible explanations for the issuance of these instruments. We treat both motives (separately) in a unified framework to obtain conclusions about both the optimal design and the conditions for the use of step-up bonds. The closed-form solutions for the optimal contract design reveal that step-up bonds issued by firms that face a risk-shifting problem fundamentally differ from those in the case of asymmetric information. Furthermore, we show that firms with a high initial risk only use step-up bonds to overcome problems of asymmetric information but not to mitigate risk-shifting problems. A further difference between the two motives is that in the case of risk-shifting, step-up bonds are only used when the agency conflict is sufficiently severe, while for signalling reasons even a modest problem of asymmetric information supports the use of step-up bonds. -- Tanja Veza, Ass.Prof. Institute for Banking and Finance Vienna Univ of Econ & Bsns Admin Heiligenstaedter Str. 46-48, 1190 Vienna, Austria Phone (Fax): +43 1 31336 (90) 4685

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[VFN] Institute for Finance and Investments ... Ankuendigung (fwd)
by VFN-L admin * Andreas Schamanek 13 May '08

13 May '08

---------- Forwarded message ---------- Date: Thu, 8 May 2008 12:27:06 +0200 From: "Schlichting, Martina" <Martina.Schlichting(a)wu-wien.ac.at> Subject: Ankuendigung (...) [Text des PDF-Attachments konvertiert und eingefügt von VFN-L-Admin] Ausschreibung von Stellen für wissenschaftliches Universitätspersonal Im Institute for Finance and Investments ist voraussichtlich ab 1. Juni 2008 bis 31. Mai 2012 eine Stelle für einen wissenschaftlichen Mitarbeiter/eine wissenschaftliche Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen. Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für Wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist. Notwendige Kenntnisse und Qualifikationen: abgeschlossenes Studium der Wirtschaftswissenschaften (Betriebswirtschaft/Volkswirtschaft) bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: Erfahrung im wissenschaftlichen Arbeiten in einem der folgenden Teilgebiete der Finanzwirtschaft: Corporate Finance, Asset-Management, Asset Pricing, Risikomanagement, Banking oder einem verwandten Teilgebiet der Volkswirtschaftslehre, wie Entscheidungstheorie, Corporate Governance, Spieltheorie etc. Durchdringung eines dieser Fächer entweder im Rahmen empirischer oder theoretischer Analysen. Lehrerfahrung im Rahmen universitärer Ausbildungen Kennzahl: 106205 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien (sekretariatpersabt(a)wu-wien.ac.at) zu richten. Ende der Bewerbungsfrist: 21. Mai 2008 Bitte die Kennzahl unbedingt anführen! Mag. Anna Jaschek Leiterin der Personalabteilung -- Institute for Finance and Investments Department of Finance and Accounting Vienna University of Economics and Business Administration Heiligenstädter Str. 46-48/DG 2.02 1190 Vienna Austria Tel: +43 1 31336-6315 Fax: +43 1 31336-906315

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[VFN] VGSF research seminars: Wei Xiong & Terry Odeen
by Youchang Wu 22 Apr '08

22 Apr '08

Dear colleagues, You are kindly invited to attend the following VGSF research seminars: ***Seminar 1: Delegated Asset Management and Market Segmentation ***Speaker: Wei Xiong (Princeton University) ****Time: 2008-04-23, Wednesday, 15:30-17:00 !!!* ***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground floor) (WU-H46) ***Seminar 2: Day Trading in Equilibrium ***Speaker: Terrance Odean (Haas School of Business, Berkeley) ***Time: 2008-04-25, Friday, 15:30-17:00 ***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground floor) (WU-H46) The paper to be presented by Terrance Odean can be downloaded at http://www.vgsf.ac.at/activities/seminars.htm. The abstracts are attached below. Please note that the special time for the first seminar of this week. Please also be informed that from now on VGSF research seminars will only be announced through the VGSF newsletter. You are kindly invited to subscribe to the VGSF newsletter at https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter if you have not yet done it. Wei Xiong will be available for individual meetings on Wednesday, and Terrance Odean will be available on Friday afternoon before the seminar. If you would like to talk to them in person, please contact me as soon as possible. Best regards, Youchang Wu Abstract 1: This paper explains capital immobility in financial markets based on agency frictions in delegated asset management. Our key insight is that confining a fund to investing in a single market increases the efficiency of incentive provision to the fund manager through benchmarking and reduces the agency cost. We show that this benefit can dominate the cost of forgone investment gain due to restricted investment choices, and therefore provide a justification of capital confinement provisions commonly specified in asset management contracts. Our model offers a new perspective on liquidity crises. After investors distribute their capital into different market segments through institutionally managed funds, agency considerations can largely confine capital within its initial market segments, thus refraining liquidity from flowing down to a distressed market. Abstract 2: When an investor buys and sells the same stock on the same day, he has made a day trade. We analyze the performance of day traders in Taiwan. Day trading by individual investors is prevalent in Taiwan – accounting for over 20 percent of total volume from 1995 through 1999. Individual investors account for over 97 percent of all day trading activity. Day trading is extremely concentrated. About one percent of individual investors account for half of day trading and one fourth of total trading by individual investors. Heavy day traders earn gross profits, but their profits are not sufficient to cover transaction costs. Moreover, in the typical six month period, more than eight out of ten day traders lose money. Despite these bleak findings, there is strong evidence of persistent ability for a relatively small group of day traders. Traders with strong past performance continue to earn strong returns. The stocks they buy outperform those they sell by 62 basis points /per day/. This spread is sufficiently large to cover transaction costs.

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[VFN] Risk Control Strategies for Hedge Funds and Program Trading - 4th Annual CARISMA conference (fwd)
by VFN-L admin * Andreas Schamanek 17 Apr '08

17 Apr '08

-------- Forwarded message ---------- Date: Thu, 17 Apr 2008 16:55:09 +0100 From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk> Subject: Risk Control Strategies for Hedge Funds and Program Trading - 4th Annual CARISMA conference We are pleased to announce the 4th Annual CARISMA conference, which takes place in London at 7City Learning on 1-2 July 2008. The theme of the conference is "Risk Control Strategies for Hedge Funds and Program Trading". There are also four pre- and post-conference workshops. For further details see http://www.optirisk-systems.com/events/carisma2008.asp The conference provides a platform to discuss the applications and advances, and to explore future research directions. The focus is on the emerging requirements of the finance industry, from the perspective of performance monitoring, regulation and compliance. It brings together practitioners and academics working in the area of financial planning, optimisation and risk modelling. The satellite workshops provide an in-depth view of related topics in investment and risk modelling. Speakers include: * Carlo Acerbi, Abaxbank * Art Asriev, Bear Stearns * Les Balzer, The University of New South Wales * Dan Bienstock, Columbia University * Nicos Christofides, Imperial College * Robert Clarkson, Cass Business School, City University. * M A H Dempster, Centre for Financial Research, Judge Business School, University of Cambridge & Cambridge Systems Associates Limited * Dan diBartolomeo, Northfield Information Services Inc * Chanaka Edirisinghe, University of Tennessee * Philip Gagner, RavenPack Int'l * Gerd Infanger, Stanford University * Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting Professor, CARISMA (Risk Awards Quant of the Year 2008) * Gautam Mitra, CARISMA, Brunel University * Andrew Robinson, SunGard-APT * Bernd Scherer, Morgan Stanley * Rob Stubbs, Axioma * Stefan Thurner, red.stars.com * Xunyu Zhou, University of Oxford Topics: * Risk Management for Hedge Funds * Long-Short Portfolios with Downside Risk Control * Credit Crunch, Liquidity, and Equity Market Neutral Strategies: Managing Risk in High Volatility Markets * Dynamic Asset Allocation * Automated Risk Management for Global Macro Strategies * Actuarial Insights into Hedge Fund Management * Optimal Trade Execution * Risk Management for Equity Trading: Fat Tails and Liquidity Gaps * Optimal Technical Trading Rules and Risk Control in Managing Stock Portfolios * Portfolio Implementation Shortfall Trading Strategies * Dynamic Behavioural Portfolio Choice * Coherent Measures of Risk * Automated Statistical Arbitrage Funds * Efficiencies in Multi-Account Optimisation Pre/Post Conference Workshops: 30 June 2008: Two Half-Day WORKSHOPS: Morning: Robust Portfolio Optimisation Afternoon: LDI/ALM 3 July 2008: Two Half-Day WORKSHOPS: Morning: New Developments: Performance Measures and Structured Products; Coherent Risk Measures and Liquidity Risk Afternoon: RavenPack workshop: News Analytics and Financial Modelling ############################### # Apologise for any cross sending ## ############################### ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun, BA(BTBU), MSc(Hull), PhD Student, CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/> The Centre for the Analysis of Risk and OptimISation Modelling Applications School of Information Systems, Computing and Mathematics Brunel University, Uxbridge, UB8 3PH, Middlesex, United Kingdom Telephone: +44 1895 265625 [M503], Fax: +44 1895 269732 Webpage:http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs> http://optirisk.googlepages.com <http://optirisk.googlepages.com/> Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/> ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ <http://mam3xs.blogspot.com/>

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[VFN] VGSF research workshop: Ilan Cooper & Harjoat Bhamra
by Youchang Wu 16 Apr '08

16 Apr '08

Dear colleagues, You are kindly invited to attend the following VGSF research seminars: ***Seminar 1: Real Investment and Risk Dynamics ***Speaker: Ilan Cooper (Tel Aviv University) ***Time: 2008-04-18, Friday, 14:00-15:30 ***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground floor) (WU-H46) ***Seminar 2: The Levered Equity Risk Premium and Credit Spreads: A Unified Framework ***Speaker: Harjoat Bhamra (University of British Columbia) ***Time: 2008-04-18, Friday, 16:00-17:30 ***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground floor) (WU-H46) The papers to be presented can be downloaded from the VGSF website (http://www.vgsf.ac.at/activities/seminars.htm). The abstracts are attached below. If you would like to arrange an individual meeting with the speakers, please contact me as soon as possible. Best regards, Youchang Wu Abstract 1: We show that systematic risk falls sharply following firm investment and rises after disin- vestment. The risk dynamics we uncover are driven by real investment and not by changes in firm characteristics and are strongest among firms with valuable investment opportunities, high adjustment costs of investment and low operating leverage. Consistent with rational pricing, firms with poor investment opportunities, those most likely to be overinvesting, ex- perience an increase in average returns and systematic risk following investment. For firms with valuable growth opportunities the bulk of the negative investment (asset growth)-future returns relationship stems from differences in risk factor loadings between high and low in- vesting firms. Abstract 2: We embed a structural model of credit risk inside a consumption-based model, which allows us to price equity and corporate debt in a single framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy which switches randomly, creating intertemporal risk, which agents prefer to resolve quickly because they have Epstein- Zin-Weil preferences; agents choose capital structure and default times. Our model generates co-movement between aggregate stock return volatility and credit spreads, consistent with the data and potentially resolves the equity risk premium and credit spread puzzles.

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[VFN] IHS Workshop: July 1-2, 2008 (fwd)
by VFN-L admin * Andreas Schamanek 09 Apr '08

09 Apr '08

---------- Forwarded message ---------- Date: Wed, 02 Apr 2008 11:00:14 +0200 From: Walter Fisher <fisher(a)ihs.ac.at> Subject: IHS Workshop: July 1-2, 2008 Dear Colleagues, I am writing to invite you to attend a workshop at IHS: "Incomplete Market Economies with Production" Organized by Egbert Dierker and Klaus Ritzberger This will take place at Institute for Advanced Studies, Vienna July 1-2, 2008. For your information, I attach the Announcement, which includes a preliminary list of speakers and the contact information. [attachment removed by admin since it is available online at http://www.ihs.ac.at/index.php3?id=1100 ] If you have any questions, please don't hesitate to ask. Best regards, Walt Fisher -- Walter H. Fisher Department Head Economics and Finance Institute for Advanced Studies A-1060 Vienna Stumpergasse 56 Austria Email: fisher(a)ihs.ac.at http://elaine.ihs.ac.at/~fisher/

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[VFN] VGSF research seminar: Antoon Pelsser
by Youchang Wu 09 Apr '08

09 Apr '08

Dear colleagues, You are kindly invited to attend the following VGSF research seminar: ***Topic: Approximate Solutions for Indifference Pricing under General Utility Functions ***Speaker: Antoon Pelsser (University of Amsterdam) ***Time: 2008-04-11, Friday, 15:30-17:00 ***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground floor) (WU-H46) The paper to be presented can be downloaded from the VGSF website (http://www.vgsf.ac.at/activities/seminars.htm). The abstract is attached below. Professor Antoon Pelsser will arrive at WU-H46 on Thursday. If you would like to arrange an individual meeting with him, please contact professor Damir Filipovic. Best regards, Youchang *Abstract. *With the aid of Taylor-based approximations, this paper presents results for pricing insurance contracts by using indifference pricing under general utility functions. We discuss the connection between the resulting “theoretical” indifference prices and the pricing rule-of-thumb that practitioners use: Best Estimate plus a “Market Value Margin”. Furthermore, we compare our approximations with known analytical results for exponential and power utility.

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[VFN] VGSF newsletter
by Alois Geyer 02 Apr '08

02 Apr '08

The Vienna Graduate School of Finance (VGSF) is now hosting a public mailing list. You are invited to subscribe to this newsletter at https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter This newsletter will be mainly used to announce presentations in the VGSF research seminar and to provide other information related to research in finance. In the near future, announcements regarding the VGSF research seminar will not be announced anymore via the Vienna Finance Newsletter (VFN-L), but only via the vgsf- newsletter. To reach all subscribers of the vgsf-newsletter you can write an email to vgsf-newsletter at wu-wien.ac.at Please note that vgsf-newsletter is a moderated list; thus postings will be distributed subject to confirmation of an administrator. Best regards, Alois Geyer -- Thanks to Hermann Elendner for his support. -- The list is operated by courtesy of WU-Wien ZID and GNU/Mailman.

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[VFN] VGSF research workshops: Whited & Björk
by Youchang Wu 02 Apr '08

02 Apr '08

Dear colleagues, You are kindly invited to attend the following VGSF research seminars: Seminar 1: What gives? A Study of Firms' Reactions to Cash Shortfalls Speaker: Toni Whited (University of Wisconsin-Madison) Time: 2008-04-04, Friday, 14:00-15:30 Seminar 2: Time Inconsistent Stochastic Control Speaker: Tomas Björk (Stockholm School of Economics) Time: 2008-04-04, Friday, 16:00-17:30 Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground floor) (WU-H46) The paper to be presented by Toni Whited can be downloaded from the VGSF website (http://www.vgsf.ac.at/activities/seminars.htm). The abstracts are attached below. Best regards, Youchang *What Gives? A Study of FirmsReactions to Cash Shortfalls* *Abstract* This paper examines the relative magnitude of financial versus real frictions by looking at how firms react to exogenous cash shortfalls. To answer the question theoretically, we examine a dynamic model of financing and exogenous cash shortfalls. We find that when financing costs are high, firms adjust on real margins and vice versa. To answer the question empirically, we use a regression discontinuity design, in which the discontinuity is the point of violation of underfunding of corporate defined benefit pension plans. We examine firm-year observations in which the firms pension assets are just barely less than its pension liabilities, and in which, consequently, the firm must make a mandatory contribution to its pension plan. We compare this group to a control group of firm-year observations in which the rm has just barely escaped having to make a mandatory contribution. In this quasi-experimental setting, we find little evidence that firms cut back on their real activities such as employment and investment. Instead, they use a variety of financial tools, such as cash, working capital management, and short-term external financing to fund their pension liabilities. *Time Inconsistent Stochastic Control Abstract *In this talk we will present some recent work on non-classical stochastic control problems which are "time inconsistent" in the sense that they cannot be treated by dynamic programming. We present a game-theoretic approach to such problems and we derive an extended version of the Hamilton-Jacobi-Bellman equation in terms of a system of PDEs for the determination of the associated subgame perfect Nash equilibrium strategy. We also present applications from finance.

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[VFN] Stellenausschreibung: wissenschaftliche(r) MitarbeiterIn am Institut für Regulierungsökonomie
by Rammerstorfer Margarethe 27 Mar '08

27 Mar '08

Wissenschaftliche/r Mitarbeiter/in Das Forschungsinstitut für Regulierungsökonomie an der Wirtschaftsuniversität Wien hat das primäre Ziel sich mittelfristig als ein international anerkanntes und unabhängiges Forschungszentrum zur Analyse von regulierungsökonomischen Fragestellungen zu etablieren. Die resultierenden Forschungsarbeiten sollen langfristig innovative Erweiterungen der Grundlagenforschung darstellen. Gleichzeitig verfolgte das Forschungsinstitut für Regulierungsökonomie auch die Entwicklung von praxistauglichen Strategien für reale Märkte. Im Rahmen des Instituts wird eine enge Kooperation von Wissenschaftern der Wirtschaftsuniversität Wien mit ausländischen Forschern angestrebt und gleichzeitig der Erfahrungsaustausch mit der Praxis gefördert. Am Forschungsinstitut für Regulierungsökonomie ist ab sofort für 3 Jahre eine Stelle für einen drittmittelfinanzierten wissenschaftlichen Mitarbeiter/ eine drittmittelfinanzierte wissenschaftliche Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. §128 UG 2002 idgF), vollbeschäftigt zu besetzen. Notwendige Kenntnisse und Qualifikationen: abgeschlossenes Studium der Wirtschafts- und Sozialwissenschaften Zusätzlich erwünschte Kenntnisse und Qualifikationen: gute analytische Fähigkeiten, sehr gute Kenntnisse in Finanzwirtschaft und quantitativen Methoden, gute EDV-Kenntnisse, Programmierkenntnisse von Vorteil, hervorragende Kenntnisse in Englisch. Kennzahl: 102648 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopie) sind unter Angabe der angeführten Kennzahl an die Personalabteilung der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien ( <mailto:sekretariatpersabt@wu-wien.ac.at> sekretariatpersabt(a)wu-wien.ac.at) zu richten. Ende der Bewerbungsfrist: 2. April 2008 Bitte die Kennzahl unbedingt anführen! Nähere Auskünfte erteilt Prof. Dr. Stefan Bogner ( <mailto:stefan.bogner@wu-wien.ac.at> stefan.bogner(a)wu-wien.ac.at) Online: http://www.wu-wien.ac.at/portal/dl/personal/jobs/ausschrwisspers#w120

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