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[VFN] December 13th: Public Lecture with Michael Brandt: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT: CREDIT QUALITY OR LIQUIDITY?
by Gutmann Center-D.Grimm 23 Nov '07

23 Nov '07

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

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[VFN] VGSF research workshop: prof. Loriana Pelizzon
by Youchang Wu 20 Nov '07

20 Nov '07

Professor Loriana Pelizzon from University of Venice is giving a VGSF research seminar on "Credit Derivatives, Capital Requirements and Opaque OTC Markets" on November 23 (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. Loriana will visit BWZ on Nov 23. If you would like to meet her at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Abstract In this paper we study the optimal design of credit derivative contracts when banks have private information over their loan portfolios and are subject to minimum regulatory capital requirements. We show that bank regulation affects the form of the optimal signalling contracts. Moreover we show that the use of signalling contracts is more costly when OTC credit derivative markets are opaque.

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[VFN] Scholarships 2008 VGSF PhD Program in Finance
by VGSF-D.Grimm 19 Nov '07

19 Nov '07

VIENNA GRADUATE SCHOOL OF FINANCE (VGSF) www.vgsf.ac.at offers PhD SCHOLARSHIPS IN FINANCE INVITATION TO APPLY The Vienna Graduate School of Finance - a joint initiative of the Institute for Advanced Studies, Vienna, the University of Vienna, and the Wirtschaftsuniversität Wien - invites applications for its PhD Program in Finance for the class starting in September 2008. The VGSF offers a stimulating learning and research environment plus financial support to outstanding students from around the world. VGSF graduates can look forward to a rewarding career at leading academic institutions. FACULTY The local VGSF faculty has an excellent track record of producing high quality research and is very well connected in the academic finance community. Local faculty members are complemented in teaching by leading international scholars in financial economics. For example, 2007/08 courses will be taught by Tomas Björk, Christopher Hennessy, Gordon Phillips, and Toni Whited. In addition, international scholars are regularly invited to present their current research in the VGSF finance research seminar. PROGRAM The VGSF PhD-program in Finance consists of two parts: rigorous coursework and work on the PhD-thesis. All courses are taught in English and appropriate language skills are required. Good skills in mathematics and statistics are advantageous to successfully complete the program. APPLICATION The program is open for students from all countries with all academic specializations, provided they hold a Master degree or equivalent. Applicants should take a GRE and/or GMAT and a TOEFL test, and provide proof of basic proficiency in finance and/or economics (based on either the degree they hold or a sample of original written work). The application package must contain a statement of purpose, as well as copies of any certificates and diplomas obtained during prior studies, along with certified translations into English. Finally, each applicant should arrange for two letters of reference to be sent directly to the address below. SCHOLARSHIP Successful applicants will receive financial support. Approximately 4-6 scholarships are offered for the class starting in September 2008. Please send your application package no later than February 1st, 2008, to the following address: VGSF - Prof. Dr. Josef Zechner, University of Vienna, Department of Finance, Brünnerstrasse 72, 1210 Vienna (Wien), Austria. FOR FURTHER DETAILS ON THE VGSF AND THE APPLICATION PLEASE SEE: http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at

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[VFN] VGSF research seminar: Jason Chen
by Youchang Wu 13 Nov '07

13 Nov '07

Professor Huafeng (Jason) Chen from University of British Columbia is giving a VGSF research seminar on "Return Comovement" on November 16 (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. Jason will visit BWZ on Nov 16. If you would like to meet him at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Abstract We study the pairwise stock return correlations. We find that 90% of the variation in correlations is not explained by the explanatory variables. We also conduct an APT test based on the idea that stocks with high correlations should have similar expected returns. We find evidence consistent with this implication of the APT. Finally, trading stocks that deviate from their comovers is highly profitable.

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[VFN] Symposium "Solvency II und die Lebensversicherung" am 22.11.2007 [Scanned]
by Cech, Christian 08 Nov '07

08 Nov '07

Sehr geehrte Damen und Herren, die Fachhochschule des bfi Wien lädt Sie herzlich zum Symposium "Solvency II und die Lebensversicherung" am 22. November 2007 ein. Ort: Fachhochschule des bfi Wien, Wohlmutstraße 22, 1020 Wien Zeit: Donnerstag, 22. November 2007, 14.00 bis 19.30 Uhr Das Symposium findet in Kooperation mit dem österreichischen Versicherungsverband und dem Europäischen Wirtschaftsforum e.V. München statt. Programmübersicht: Mag. Karin Harreither, "Wozu Solvency II? Solvency II - der Paradigmenwechsel" Mag. Katarina Heigl, "Modelle, QIS Studien und Eigenmittelunterlegung (Säule 1)" Mag. Günter Fellner, "Integration von Solvency II in die Geschäftsprozesse eines Lebensversicherers (Säule 2) - Erste Erfahrungsberichte" Mag. Thomas Smrekar, "Offenlegungsvorschriften nach IFRS für Versicherungsunternehmen - Ausgangsbasis für Säule 3 von Solvency II?" Podiumsdiskussion "Auswirkungen von Solvency II auf den Lebensversicherungsmarkt" mit Mag. Werner Müller, Mag. Andreas Rauter, Mag. Oskar Ulreich und Mag. Dr. Klaus Wegenkittl Moderation: Mag. Erwin Frasl Abschluss der Veranstaltung und Gelegenheit zum Gespräch mit den ReferentInnen beim Buffet. Ein detailliertes Programm finden Sie unter http://www.fh-vie.ac.at/article.aspx?ID=498&LN=DE Die Teilnahme am Symposium ist kostenlos. Um Anmeldung wird gebeten. Ich freue mich auf Ihr Kommen und verbleibe mit freundlichen Grüßen, -- Christian Cech ___________________________________________ Mag. Dr. Christian Cech, MBA Researcher Fachhochschule des bfi Wien Ges.m.b.H. Wohlmutstraße 22, A-1020 Wien Tel: ++43/1/720 12 86 - 71, Fax: ++43/1/720 12 86 - 19 christian.cech(a)fh-vie.ac.at, www.fh-vie.ac.at Firmenwortlaut: Fachhochschule des bfi Wien Gesellschaft m.b.H Firmenbuchnummer: 148597 a Firmenbuchgericht: Handelsgericht Wien Firmensitz: Wohlmutstraße 22, 1020 Wien This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail. Please notify the sender immediately by e-mail if you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message, which arise as a result of e-mail transmission. If verification is required please request a hard-copy version.

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[VFN] VGSF research workshop: Damir Filipovoc
by Youchang Wu 04 Nov '07

04 Nov '07

professor Damir Filipovic from Vienna Institute of Finance is giving a VGSF research seminar on "Non-Monotone Risk Measures and Monotone Hulls" on November 9 (Friday, 15:30-17:00), at the Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. The talk is based on two papers, which can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The titles and abstracts of these two papers are attached below. Kind regards, Youchang Wu Monotone and Cash-Invariant Convex Functions and Hulls (with Michael Kupper), Insurance: Mathematics and Economics 41, 1-16, 2007 This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to some numeraire (“cash”). As a main result, for any function f, we find the greatest closed convex monotone and cash-invariant function majorized by f. We then apply our results to some well-known risk measures and problems arising in connection with insurance regulation. A Note on the Swiss Solvency Test Risk Measure (with Nicolas Vogelpoth), forthcoming in Insurance: Mathematics and Economics In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [1, 2]. We provide a simple example which shows that it does not satisfy the axiom of monotonicity. We then find, as a monotonic alternative, the greatest coherent risk measure which is majorized by the Swiss Solvency Test risk measure.

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[VFN] Stellenausschreibung am Institut fuer Quantitative BWL und Operations Research, WU Wien
by Michaela Nettekoven 29 Oct '07

29 Oct '07

Im Institut für Quantitative BWL und Operations Research ist voraussichtlich ab 3. Dezember 2007 bis 2. Dezember 2011 die Stelle eines wissenschaftlichen Mitarbeiters/einer wissenschaftlichen Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt, zu besetzen. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan 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 Sozial- und Wirtschaftswissenschaften bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: Studium der Wirtschaftspädagogik, Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung) und Forschung des Institutes; Mitbetreuung der Telematik-Plattform learn@wu; Mitarbeit im organisatorisch-administrativen Bereich; Betreuung der Institutshomepage Kennzahl: 93105 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 <mailto:sekretariatpersabt@wu-wien.ac.at>) zu richten. Ende der Bewerbungsfrist: 14. November 2007 Bitte die Kennzahl unbedingt anfÃŒhren! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt -- ------------------------------------------------------------- Univ.-Ass. Dr. Michaela Nettekoven Wirtschaftsuniversitaet Wien Institut für Quantitative Betriebswirtschaftslehre und Operations Research UZA 4, 4. Stock, Bauteil D Nordbergstraße 15, A - 1090 Wien Tel.: +43-1-31336-4561, Fax: +43-1-31336-708 Email: michaela.nettekoven(a)wu-wien.ac.at Web: <http://www.wu-wien.ac.at/or/>

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[VFN] Position Berlin: TU / Research Center Matheon Head of the junior research group for AppliedAnalysis, Stochastic Analysis or Numerical Mathematics
by Becherer, Dirk 26 Oct '07

26 Oct '07

Liebe Kollegen, ich bitte um die Veroeffentlichung folgender Position im VFN. Mit Dank und freundlichen Gruessen, Dirk Becherer ---------------------------------------------------------------------------------- The following position could be well suited for a young researcher working at the interface between Stochastic Analysis and Applied or Numerical Analysis, Numerical Stochastics or Computational Finance. We would be grateful if you could help to bring it to the attention of suitable candidates ----------------------------------------------------------------------------------- * Position: Head of the junior research group / postdoctoral position (german payscale BAT IB)/ guest professorship * Place: Berlin University of Technology / DFG research Center Matheon * Closing date for applications: 08.11.2007 * For further details, please see: http://www.matheon.de/about_us/jobs.asp The DFG Research center Matheon "Mathematics for key technologies: Modelling, simulation and optimization of real-world processes", and the Institute of Mathematics of the Berlin University of Technology are inviting applications for the position of the Head of the junior research group for Applied Mathematics postdoctoral research fellow (BAT Ib) or guest professorship with equivalent qualification For the position of the head of junior research group, the DFG research center Matheon is looking for Junior scientists who have proven their scientific independence and are building up their own research program. The position will have funds to hire a research assistant, plus money for travel and visitors. The initial contract duration will be until May 31, 2010. After a positive evaluation an extension of the contract for a total of 6 years is possible. Salary will be on the BAT Ib level. Assuming the appropriate qualification to § 113, § 100 Abs. 1-4 BerlHG the position can be upgraded to a guest professorship. The head of the junior research group should be an expert in an area of Applied Mathematics such as Applied Analysis, Stochastic Analysis or Numerical Mathematics and should also have expertise in at least one of the application areas of the DFG Research Center MATHEON, which comprises several fields of Applied Mathematics. Those include finance and the modeling of risk in financial markets. [please see www.matheon.de for more details]

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[VFN] VGSF workshop: Eckhard Platen
by Youchang Wu 22 Oct '07

22 Oct '07

Professor Eckhard Platen from University of Technology Sydney is giving a VGSF research seminar on "A Benchmark Approach to Finance" on Thursday, October 25, from 15:30 to 17:00 at Wirtschaftsuniversität Wien, HS D204 (UZA4, Nordbergstraße 15, 1090 Vienna). See the VGSF webpage (Activities & Events --> Research Seminars) for the paper to download. Please note the change of the time and location for this seminar!!! The paper's abstract is attached below. Best, Youchang Wu This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling, and risk measurement. It is based on the natural assumption that investors prefer more rather than less, in the sense that given two portfolios with the same diffusion coefficient value, the one with the higher drift is preferred. Each such investor is shown to hold an efficient portfolio in the sense of Markowitz with units in the market portfolio and the savings account. The market portfolio of investable wealth is shown to equal a combination of the growth optimal portfolio (GOP) and the savings account. In this setup the capital asset pricing model follows without the use of expected utility functions, Markovianity, or equilibrium assumptions. The expected increase of the discounted value of the GOP is shown to coincide with the expected increase of its discounted underlying value. The discounted GOP has the dynamics of a time transformed squared Bessel process of dimension four. The time transformation is given by the discounted underlying value of the GOP. The squared volatility of the GOP equals the discounted GOP drift, when expressed in units of the discounted GOP. Risk-neutral derivative pricing and actuarial pricing are generalized by the fair pricing concept, which uses the GOP as numeraire and the real-world probability measure as pricing measure. An equivalent risk-neutral martingale measure does not exist under the derived minimal market model.

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[VFN] Stellenausschreibung Institut für Risikomanagement und Versicherung
by Alexander Mürmann 22 Oct '07

22 Oct '07

Liebe Kolleginnen und Kollegen, als neuer Institutsvorstand für Versicherung und Risikomanagement an der WU Wien suche ich Stellen für eine/n Assistenten/in und wissenschaftliche MitarbeiterInnen zu besetzen. Das Institut ist Teil des Departments für Finanzierung und Rechnungswesen. Ich bitte Sie, untenstehende Ausschreibung zu beachten und an potentielle Kandidaten/Innen weiterzuleiten. Mit bestem Dank und Grüßen, Alexander Mürmann. __________________________________________________ Alexander Mürmann Professor of Risk Management and Insurance Institute of Risk Management and Insurance Vienna University of Economics and Business Administration Nordbergstraße 15, A-1090 Wien, AUSTRIA Phone + 43-1-31336 4948 Fax + 43-1-31336 712 E-Mail <mailto:alexander.muermann@wu-wien.ac.at> alexander.muermann(a)wu-wien.ac.at Im Institut für Versicherungswirtschaft sind 1 Stelle für einen Assistenten/eine Assistentin und 2 Stellen für wissenschaftliche MitarbeiterInnen oder 4 Stellen für wissenschaftliche MitarbeiterInnen (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen. Vertragsdauer: Assistent/in: 1. Dezember 2007 bis 30. November 2013 wissenschaftliche/r Mitarbeiter/in: 15. November 2007 bis 14. November 2011 Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan 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. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits einen Assistent/inn/enposten Säule 2 inne hatten, aus rechtlichen Gründen nicht möglich ist. Notwendige Kenntnisse und Qualifikationen: für Assistent/in: abgeschlossenes oder kurz vor Abschluss stehendes Doktoratsstudium der Sozial- und Wirtschaftswissenschaften oder Mathematik/Statistik mit wirtschaftswissenschaftlicher Ausrichtung bzw. gleichzuhaltende Qualifikation für wissenschaftliche/n Mitarbeiter/in: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder Mathematik/Statistik bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: für Assitent/in: selbständige Forschungsorientierung mit Interessen im Bereich Risikomanagement und/oder Versicherungswirtschaft mit dem Ziel der Publikation in internationalen Fachzeitschriften, Bereitschaft zur Mitarbeit in der Lehre, sehr gute Englischkenntnisse für wissenschaftlichen Mitarbeiter/in: Interesse am wissenschaftlichen Arbeiten mit Anwendungen im Bereich des Risikomanagements und/oder Versicherungswirtschaft mit dem Ziel der Promotion in Sozial- und Wirtschaftswissenschaften, Bereitschaft zur Unterstützung und Mitarbeit in der Lehre, EDV-Kenntnisse, gute Englischkenntnisse Kennzahl: 91795 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: 2. November 2007 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt

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