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
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.
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
Lu Zhang from the University of Michigan is giving a VGSF research seminar
on "Regularities" on FRIDAY, April 27th, 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 and
this term's entire schedule of seminars.
Please find the paper's abstract below. Lu is going to be in Vienna for the
ENTIRE WEEK. 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
The neoclassical q-theory provides a good start to understanding the cross
section of returns. Under constant return to scale stock returns equal
levered investment returns, which are tied directly to firm characteristics.
This equation predicts the empirical relations of average returns with
book-to-market, investment, and earnings surprises. We estimate the model
via GMM by minimizing the differences between average stock returns and
average levered investment returns. Our model captures the average return
patterns in portfolios sorted on capital investment and double-sorted on
size and book-to-market, including the small-stock value premium. The model
also partially captures post-earnings-announcement drift and its higher
magnitude in small firms.
---------- Forwarded message ----------
Date: Wed, 18 Apr 2007 16:30:32 +0200
From: Margit Wegleitner <...(a)wu-wien.ac.at>
Subject: Re: Ausschreibung Professuren im Bereich Finance
Position Announcement [reference 79990]:
Full Professor of Finance: Asset Management
Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien)
The Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien, WU) invites applications for the
position of Full Professor of Finance (Asset Management), Department
of Finance and Accounting.
(...) [same text as below removed by admin]
Position Announcement[reference 80090]:
Full Professor of Finance: Corporate Finance
Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien)
The Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien, WU) invites applications for the
position of Full Professor of Finance (Corporate Finance), Department
of Finance and Accounting. Wirtschaftsuniversität Wien is the largest
university of its kind in the European Union and well positioned in
the heart of Europe. The University maintains an excellent position as
a centre for research and teaching and draws an international group of
students and faculty. It offers a broad range of subjects in all areas
of economics and business administration. Resources and facilities are
internationally comparable. The University is EQUIS accredited. For
details see http://www.wu-wien.ac.at
Applicants should have (a) a solid academic qualification (e.g. PhD,
Habilitation); (b) an outstanding international reputation in high
quality scholarship and research in the area of finance; (c) a strong
record in attracting research funding; (d) a demonstrated commitment
to excellence in teaching; and (e) proven qualities of leadership.
We stress high research achievement in all areas of finance with
particular emphasis on corporate finance and an interest in teaching
finance on bachelor, master, and PhD levels as well as in executive
programs. Teaching experience in English is required; teaching
experience in German is not necessary. Non German-speaking candidates
are expected to acquire proficiency in German over a certain period of
time.
For details of the position, please contact Professor Stefan Bogner,
Chairman, Department of Finance and Accounting, phone:
++43-1-31336-4242, E-Mail: stefan.bogner(a)wu-wien.ac.at
Candidates should send their applications (curriculum vitae, list of
publications, list of classes held as well as copies of the five major
publications) to the Rector of Wirtschaftsuniversität Wien, Professor
Christoph Badelt, Augasse 2-6, A-1090 Vienna. Electronic applications
can be sent to brigitte.parnigoni(a)wu-wien.ac.at . Applications,
quoting reference 80090 [80090 for "Full Professor of Finance:
Corporate Finance", 79990 for "Full Professor of Finance: Asset
Management"], need to reach WU by May 18, 2007.
The Vienna University of Economics and Business Administration is an
Equal Opportunity Employer and seeks to increase the number of its
female faculty members. Therefore qualified women are strongly
encouraged to apply. In case of equal qualification, female candidates
will be given preference.
Massimo Massa from INSEAD is giving a VGSF research seminar on "Cosmetic
Mergers: The Effect of Style Investing on the Market for Corporate Control"
on FRIDAY, April 20th, 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 and this
term's entire schedule of seminars.
Please find the paper's abstract below. Massimo is going to be in Vienna on
Friday. 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 study the impact of style investing on the market for corporate control.
We argue that a firm may choose to boost its market value by merging with a
firm that belongs to a style that is more favored by the market. By using
data on the flows in mutual funds, we construct a measure of neglectedness,
which relies directly on the identification of sentiment-induced investor
demand, rather than being a direct transformation of stock market data. We
show that bidders tend to pair with targets that are relatively less
neglected. The merger with a less neglected target generates a halo effect
from the target to the bidder that induces the market to evaluate the assets
of the more neglected bidder at the (inflated) market value of the less
neglected target. Both bidder and target premia are positively related to
the difference in neglectedness between bidder and target. However, the
targets ability to appropriate the gain is reduced by the fact that its
bargaining position is weaker when the bidders potential for asset
appreciation is higher. We document a better medium-term performance of more
neglected firms taking over less neglected firms. The bidder managers
engaging in these cosmetic mergers take advantage of the window of
opportunity created by the higher stock price induced by the M&A deal to
reduce their stake in the firm under convenient conditions.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 26 Mar 2007 18:16:35 +0300
From: IME2007 University of Piraeus <ime2007(a)unipi.gr>
Subject: IME2007 2nd CALL FOR PAPER
ANNOUNCEMENT AND CALL FOR PAPERS
UNIVERSITY OF PIRAEUS
DEPARTMENT OF STATISTICS & INSURANCE SCIENCE
ELEVENTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS
July 10-12, 2007
The Department of Statistics and Insurance Science of the University
of Piraeus is pleased to host the 11th International Congress on
Insurance: Mathematics and Economics, on July 10-12, 2007. Information
about the Congress can be found on http://www.unipi.gr/ime2007
The Congress gives researchers (both actuaries and non-actuaries) the
opportunity to present their latest works in the general area of
Actuarial Science. It also allows practicing actuaries, who are
interested in the implementation of results, to make direct contact
with recent developments.
Papers for presentation should be relevant to the aims and scope of
the international journal Insurance: Mathematics and Economics. Topics
of interest include without being limited: models and computational
methods of life insurance (including pension plans, social insurance
and health insurance), of non-life insurance and of reinsurance. It
also includes, innovative insurance applications of results from other
fields, such as probability and statistics, numerical analysis,
economics, operations research and risk management. There is also
particular interest on the interactions of insurance mathematics with
finance.
The papers presented can be submitted for publication in a special
issue of Insurance: Mathematics and Economics, dedicated to the
Congress.
Abstracts should be submitted online by March 31, 2007, on the IME
2007 website http://www.unipi.gr/ime2007/
Prior to the congress on July 8th - 9th there will be a course on
" Dependence in Risk Theory " by Hansjoerg Albrecher
Organizing Committee:
Georgios Pitselis (chair), Konstadinos Politis (vice-chair), Michael
Boutsikas, George Iliopoulos, Maria Kateri, Jan Dhaene.
Scientific Committee:
Hans Gerber (chair), Stathis Chadjikonstantinidis (vice-chair), Michel
Denuit, Jan Dhaene, Jose Garrido, Marc Goovaerts, Rob Kaas, Nikolai Kolev,
Takis Papaioannou, Georgios Pitselis, Susan Pitts.
Georgios Pitselis
President of the Organizing Committee
---------------------------------
IME 2007 July 10-12, 2007
11th International Congress on Insurance: Mathematics and Economics
University of Piraeus
Athens, Greece
e-mail: <mailto:ime2007@unipi.gr> ime2007(a)unipi.gr
web: www.unipi.gr/ime2007
Christopher Hennessy from UC Berkeley is giving a VGSF research seminar on
"A dynamic theory of corporate finance based upon repeated signaling" on
FRIDAY, March 30th, 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 and this term's
entire schedule of seminars.
Please find the paper's abstract below. Christopher is going to be in Vienna
for the entire week (March 26th to March 30th). 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 examine the effect of Markovian hidden information about the marginal
product of capital on the dynamics of financing and investment. The model
features endogenous investment, debt, default, dividends, equity flotations
and share repurchases. Since deadweight signaling costs are necessarily high
when net worth is low, forward-looking risk-neutral shareholders behave as
if risk-averse. Consequently, in each period's least-cost separating
equilibrium, firms can signal positive information with high leverage and
investment. Firms with negative information have no debt and raise external
funds with equity. Pareto dominant pooling equilibria also exist, but only
if net worth is sufficiently low. In the pooling equilibria, firms issue
positive amounts of debt and investment is between respective first-best
levels. The model is rich in testable predictions and consistent with a
broad set of established stylized facts regarding leverage ratios and
announcement effects, and can also explain observed violations of the
pecking-order hypothesis.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
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
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
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