GARP SPONSORS RISK MANAGEMENT RESEARCH
GARP advances practitioner-oriented research in risk management
Contact:
Greg Winsper
Global Association of Risk Professionals
Phone 201.719.7240
Fax 201.222.5022
111 Town Square
Suite 1215
Jersey City, NJ 07310
New York, London; December 17, 2007: The Global Association of Risk
Professionals (GARP: www.garp.com ( http://www.garp.com/ )), a leading
professional Association dedicated to the advancement of the financial
risk profession, announced today a Call for Research Proposals for the
2nd Annual GARP Risk Management Research Program.
The GARP Risk Management Research Program seeks to fund research
projects that offer unique approaches for current global risk management
issues that ultimately bridge the gap between theory and practice. Areas
of particular interest for 2008 include credit risk measurement and
management (particularly focused on mortgages, securitization or
liquidity), risk management in emerging markets and energy risk
management.
A Research Committee made up of risk management practitioners,
academics and researchers will select at least 5 research proposals to
fund in 2008. The Research Committee is co-chaired by Professors René
Stulz of The Ohio State University and Peter Tufano of Harvard
University. Selected research proposals will be notified in May 2008,
and recipients will receive a grant of USD $12,000.
*As a thought-leader in risk management, GARP seeks to support the *new
and noteworthy* in risk management research. Last year we received
proposals from researchers in 13 countries representing the best
research institutions globally, and we expect even greater and broader
participation this year.* states Chris Donohue, PhD, Managing Director
of the GARP Research Center.
GARP will accept research proposals through the end of March 2008.
Additional information on the GARP Risk Management Research Program is
available on the GARP website
at www.garp.com/university/Research.asp.
GARP recently launched other initiatives to advance financial risk
management research. GARP now sponsors the GARP Risk Management Research
Award, presented at the annual meeting of the European Financial
Management Association (EFMA) to an outstanding paper in the field of
financial risk management, and the Best Dissertation in Risk Management
Award, presented at the annual meeting of the Financial Management
Association (FMA).
Recep Bildik, PhD, Senior Researcher in the GARP Research Center,
notes, *These initiatives demonstrate GARP*s commitment to keeping the
academic community engaged in the most relevant topics to risk
management practitioners.*
About GARP Research Center
The GARP Research Center serves as the driving force for
practitioner-oriented research by illuminating future trends and
opportunities, supporting and conducting research, and sharing these
activities with the risk management community around the world. The
Research Center focuses on thought leadership and aims to be a
recognized bridge between the academic research and practitioner
communities. For more information about the GARP Research Center and its
sponsorship of risk management research, please visit
www.garp.com/university/research.asp.
About GARP
The Global Association of Risk Professionals (GARP) is a not-for-profit
independent association of over 67,000 risk mana gement practitioners
and researchers representing banks, investment management firms,
government agencies, academic institutions, and corporations from more
than 167 countries worldwide. It also administers the Financial Risk
Manager (FRM*), the world*s premier certification for the financial risk
professional. GARP*s mission is to be the leading professional
association for risk managers, managed by and for its members dedicated
to the advancement of the risk profession through education, training
and the promotion of best practices globally. www.garp.org (
http://www.garp.org/ )
---------- Forwarded message ----------
Date: Fri, 21 Dec 2007 15:09:36 +0100 (CET)
From: Marianne Baumgart @oeaw.ac.at
Subject: Einladung Embrechts
---------------
EINLADUNG
---------------
zum nächsten Vortrag im Rahmen der Johann Radon Lectures 2007/08
der Österreichischen Akademie der Wissenschaften (ÖAW)
Mittwoch, 9. Jänner 2008, 18:15 Uhr
Österreichische Akademie der Wissenschaften, Festsaal
1010 Wien, Dr. Ignaz Seipel-Platz 2
Paul EMBRECHTS, ETH Zürich
spricht zum Thema
Quantitative Risk Management (QRM) <<
Über Mathematik und Risiko bei Banken und Versicherungen: Auch in der
Welt der Banken und Versicherungen findet sich eine Vielzahl von
Beispielen für den heutigen Drang nach Akronymen. Relevant für diesen
Vortrag sind die folgenden: QRM (Quantitative Risk Management), ERM
(Enterprise Risk Management), GRM (Global Risk Management).
QRM befasst sich mit der Fragestellung der quantitativen Analyse von
Risiken. Aufsichtsrechtliche Gremien sind ein starker Antrieb für
Banken und Versicherungen diese Quantifizierung voran zu treiben. Auf
Basis dieser Analyse wird Risikokapital berechnet um mit hoher
Wahrscheinlichkeit unerwartete Marktereignisse abfangen zu können.
Im Vortrag werden folgende Themen aus dem Bereich des QRM
herausgegriffen: Value-at-Risk, Extremalereignisse,
Abhängigkeitsmodellierung, Risikoaggregation, Operationelles Risiko.
Eine entscheidende Frage für die Praxis ist die Differenzierung
zwischen Finanzrisiken, die sich sinnvoll quantitativ erfassen lassen
und solchen, bei denen ausschließlich eine qualitative Beschreibung
Sinn macht. Neben der quantitativen Messung von Risikozahlen ist auch
ihre Aggregation eine wichtige Aufgabe der QRM, deren Lösung
anspruchsvolle Mathematik erfordert.
Die fundamentale Rolle der Mathematik in den Bereichen der
Preisbestimmung und Absicherung von Finanzderivaten (Optionen,
Kreditderivate, Swops...) ist unbestritten. Die Hauptthese ist, dass
auch bei regulatorischen Fragestellungen aus den Bereichen der Finanz-
und Versicherungsaufsicht die Mathematik nicht weg zu denken ist.
Anhand mehrerer Beispiele wird versucht diese These zu belegen. Ein
wichtiges Korollar ist die Tatsache, dass die Bedeutung von gut
ausgebildeten Studenten aus der angewandten Mathematik für die
Wirtschaft groß bleiben wird. Schlussendlich bieten Fragestellungen
des QRM eine Fülle von äußerst interessanten und anspruchsvollen
Forschungsproblemen.
Moderator:
Walter Schachermayer (TU Wien, ÖAW)
Veranstalter:
ÖAW und Industriellenvereinigung Wien
Weitere Informationen zu den Johann Radon Lectures finden Sie unter:
http://www.oeaw.ac.at/shared/news/2007/info_johann_radon_lectures.html
Folder & Plakat:
http://www.oeaw.ac.at/shared/news/2007/pdf/radon_folder.pdfhttp://www.oeaw.ac.at/shared/news/2007/pdf/radon_plakat.pdf
----------------------------------------------
Dr. Marianne Baumgart
Österreichische Akademie der Wissenschaften
Austrian Academy of Sciences
Öffentlichkeitsarbeit
Public Relations
A-1010 Wien, Dr. Ignaz Seipel-Platz 2
Tel: ++43-1-51581-1219
Fax: ++43-1-51581-1227
http://www.oeaw.ac.at/pr
Sheridan Titman from University of Texas at Austin is giving a VGSF research seminar on "Financial Structure, Liquidity, and Firm Locations" on December 12, Wednesday, from 11:00 to 12:30, at HS 12, BWZ, Bruennerstrasse 72, A-1210 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Please note the special time and location of this seminar!!!
Professor Titman is visiting BWZ on December 10-12. If you would like to talk to him at BWZ, please let me know as soon as possible.
Best,
Youchang
This paper investigates the relation between a firm’s location and its corporate finance
decisions. We develop a simple model where being located within an industry cluster
increases opportunities to make acquisitions, and to facilitate those acquisitions, firms
within clusters maintain more financial slack. Consistent with our model we find that
firms that are located within industry clusters tend to make more acquisitions, and have
lower debt ratios and larger cash balances than their industry peers located outside
clusters. In addition, we document that firms in growing cities and technology centers
also maintain more financial slack. Overall, these findings, which reveal systematic
patterns between geography and corporate finance choices, suggest the importance of
growth opportunities in firms’ financial decisions.
Liebe Kolleginnen und Kollegen!
In meiner Eigenschaft als Vorsitzender der
Habilitationskommission von Herrn Dr. Markus
Schwaiger lade ich Sie sehr herzlich zum
öffentlichen Habilitationsvortrag und Habilitationskolloquium ein.
Der Habilitationsvortrag von Dr. Markus Schwaiger
zum Thema Determinanten der Zinsmargenreduktion
in der europäischen Bankenlandschaft am Beispiel von Lokalbanken findet am
Dienstag, 18. Dezember 2007, um 9.00 Uhr,
im UZA 1, großer Sitzungssaal, Kern D, 2. OG.,
statt.
Das öffentliche Habilitationskolloquium wird im
Anschluss an den Habilitationsvortrag am selben Ort abgehalten.
Mit herzlichen Grüßen
Stefan Bogner eh.
===================================================
Brigitte Krammer
Wirtschaftsuniversität Wien, Vienna University of
Economics and Business Administration
Büro des Senats, Senate Office
Augasse 2-6, A-1090 Wien
Tel: +43 1 31336-5322
Fax: +43 1 31336-792
E-Mail: brigitte.krammer(a)wu-wien.ac.at
===================================================
Professor Kristian Miltersen from Norwegian School of Economics and Business Administration is giving a VGSF research seminar on "REAL OPTIONS WITH UNCERTAIN MATURITY AND COMPETITION" on December 7 (Friday, 15:30-17:00), at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Kristian will visit BWZ on Dec 5-7. If you would like to meet him at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract. We develop a new approach to dealing with real options problems with uncertain maturity. This approach is highly applicable to analyze R&D investments and mine or oil exploration projects. These projects are characterized by signi.cant on-going investment costs until completion. Since time to completion is uncertain, the total investment costs will also be uncertain. Despite the fact that these projects include complicated American abandonment/switching options until completion and European options at completion (because of .xed .nal investment costs) we obtain simple closed form solutions. We apply the framework to situations in which the owner of the project has monopoly rights to the outcome of the project, and to situations in which there are two owners who simultaneously invest, but where only one of them may obtain the rights to the outcome. We expand the real options framework to incorporate game theoretic considerations, including a generalization of mixed strategies to continuous-time models in the form of abandonment intensities.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
The Global Association of Risk Professionals (GARP) is pleased to
announce an Austrian chapter meeting
Monday, December 17th, 2007
Time: 6:00 p.m. * 8:30 p.m.
Vienna University of Technology
Wiedner Hauptstraße 8-10
Green Area, 7th floor, Zeichensaal 3
1040 Vienna
Refreshments
Please invite colleagues who you think would be interested in
attending.
We ask only that they register to attend.
Registration is desired so that we can plan accordingly. Please
register at www.garp.com
Topics:
I. Ex post risk attribution in a value-at-risk framework
Speaker: Eugen Puschkarski (Oesterreichische Nationalbank)
Abstract:
We will first describe a general procedure to decompose time-variation
in Value-at-Risk from one reporting period to the next. Then, using
standard methodology from the field of performance attribution, we
analytically show how the new VaR Risk Attribution Model (RAM) ascribes
these changes to an active trading factor, a market risk changes factor,
a passive time decay factor and a resulting cross-product. With a
slightly simplified version of the RAM, we subsequently demonstrate how
behavioural risk-taking patterns can be detected in practice. We
highlight the relevance of using a RAM for central banks and
subsequently set the presented RAM into the context of existing risk
attribution methods.
Eugen Puschkarski is currently a Risk Manager in the Treasury Division
at Oesterreichische Nationalbank, Vienna, Austria, where he has worked
since 1999. His areas of specialization are Market Risk Measurement,
Quantitative Research on Asset Allocation, Pricing Models and
Econometric Research. Prior to that, he was in charge of Sales and
Support of the Risk Management programs SAILFISH and KONDOR+ in the Risk
Management Division at REUTERS America Inc. He earned his Postgraduate
in Finance at the Center for Central European Financial Markets and
studied International Business Administration at the University of
Vienna, Austria. In 2007 Eugen Puschkarski was appointed as co-director
of GARP chapter Austria.
II. Overview of and personal experience with the FRM exam
III. Discussion
Mag. Eugen Puschkarski
______________________________________________________________
Oesterreichische Nationalbank (Austria's Central Bank)
Treasury - Strategy Division
Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria
Phone (+43-1) 40420-4419
Fax (+43-1) 40420-4499
e-mail: Eugen.Puschkarski(a)oenb.at
http://www.oenb.at
______________________________________________________________
Professor Vikram Nanda from Arizona State University is giving a VGSF
research seminar on "Are Incentive Contracts Rigged by Powerful CEOs?"
on November 30 (Friday, 15:30-17:00), at the Institute for Advanced
Studies(SZ VI), Stumpergasse 56, 1060 Vienna. The paper to be presented
can be downloaded at the VGSF webpage (Activities & Events--> Research
Seminars). The abstract of the paper is attached below.
Vikram will visit BWZ on Nov 30. If you would like to meet him at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
We argue that powerful CEOs extract rents by rigging the incentive part
of their pay. In particular, we
contend that CEOs induce their boards to shift the weight on performance
measures towards the better
performing measures. The intuition is developed in a simple model in
which some powerful CEOs exploit
superior information and lack of transparency in compensation contracts
to extract rents. Our model
delivers several testable implications: (1) powerful CEOs are more
likely to rig their incentive pay; (2)
rigging is expected to increase with CEO human capital intensity and
uncertainty about a firm’s future
prospects; and (3) firm performance is expected be negatively affected
by rigging. Using measures of
CEO power and board independence on a large panel of firms in the U.S.,
we find support for all our
predictions. Rigging accounts for 57% of the sensitivity of compensation
to performance measures and
is increasing in CEO human capital and volatility of a firm’s future
prospects. Moreover, the portion
of incentive pay that is predicted by power is associated with negative
subsequent future profitability
of the order of 1.7% per year (a drop of 39% from the sample mean).
Overall, our empirical evidence
rejects the theory that incentives serve as a substitute for low
monitoring in firms with powerful CEOs,
supporting instead the theory that CEOs with power can skim rents at the
expense of shareholders.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at