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[VFN] CCEFM-IHS seminar
by Alfred Lehar 30 Mar '05

30 Mar '05

CCEFM Workshop The next CCEFM workshop is by Thomas Steinberger Defined Benefit Plans: Risk Sharing, Default and Regulation Friday, April 1st, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien --------------------- The next CCEFM workshop is by Jun Liu TBA Friday, April 8th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Gutmann Center Public Lecture April 13th Suleyman Basak
by Gutmann Center-D. Grimm 30 Mar '05

30 Mar '05

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: - Apologies for any cross-listings!! - Date: April 13th, 2005 - 5.00 p.m. Speaker: Prof. Dr. Suleyman BASAK London Business School http://faculty.london.edu/sbasak/ Title: "IMPLICIT INCENTIVES AND BENCHMARKING IN MONEY MANAGEMENT" Abstract: Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, this presentation will argue that as the year-end approaches, the ensuing convexities in the manager's objective induce her to closely mimic the index, relative to which her performance is evaluated, when the fund's year-to-date return is sufficiently high. As her relative performance falls behind, she chooses to deviate from the index by either increasing or decreasing the volatility of her portfolio. The maximum deviation is achieved at a critical level of underperformance. It may be optimal for the manager to reach such deviation via selling the risky asset despite its positive risk premium. Costs of misaligned incentives to investors resulting from the manager's policy are economically significant. The presentation then will demonstrate how a simple risk management practice that accounts for benchmarking can ameliorate the adverse effects of managerial incentives. Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Please REGISTER: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information about the Gutmann Center: Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-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] CCEFM-IHS seminar
by Alfred Lehar 15 Mar '05

15 Mar '05

CCEFM Workshop Doron Avramov, University of Maryland Investing in Mutual Funds when Returns are Predictable Friday, March 18th, 3.30-5.00 pm !****** different location *******! HS 2,Institute for advanced studies, Stumpergasse 56, 1060 Wien !****** different location *******! The paper is downloadable from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Thomas Steinberger, Defined Benefit Plans: Risk Sharing, Default and Regulation Friday, April 1st, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM-IHS seminar
by Alfred Lehar 04 Mar '05

04 Mar '05

CCEFM Workshop Christine Parlour, Carnegie Mellon University "Credit Risk Transfer" Friday, March 11th, 3.30-5.00 pm, !****** different location *******! HS 2,Institute for advanced studies, Stumpergasse 56, 1060 Wien !****** different location *******! The paper will be downloadable within the next few days from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Doron Avramov, University of Maryland Title: TBA Friday, March 18th, 3.30-5.00 pm, Location: TBA ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Stellenausschreibung: WU-Wien Finanzwirtschaft (fwd)
by VFN-L admin * Andreas Schamanek 22 Feb '05

22 Feb '05

---------- Forwarded message ---------- Date: Wed, 16 Feb 2005 11:15:27 +0100 From: christine.neumeyer(a)univie.ac.at To: vfn-l(a)fam.tuwien.ac.at Subject: Stellenausschreibung Anbei übermitteln wir Ihnen ein Infoblatt über eine Stellenausschreibung am Institut für Finanzwirtschaft der Universität Wien. [attachment converted to plain text by vfn-l-admin, see below] mfG Christine Neumeyer University of Vienna Department of Finance Bruenner Strasse 72 1210 Vienna Austria Tel: + 43 (01) 4277-38262 Fax: + 43 (01) 4277-38264 E-Mail: christine.neumeyer(a)univie.ac.at www.univie.ac.at/bwl/fidi GESUCHT: Assistentin / Assistent in Ausbildung Der Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft des Institutes für Finanzwirtschaft der Fakultät für Wirtschaftswissenschaften stellt mit ehestmöglichem Datum eine/n Assistent/in ein. Voraussetzungen: Abgeschlossenes Studium der Wirtschaftswissenschaften (Diplom- oder Magistergrad) Beschaeftigungsausmaß: 100 % Gewünschte Zusatzqualifikationen: Kenntnisse in der Regulierungstheorie- und praxis sowie die Bereitschaft, eine Dissertation zu einem Thema im Bereich der Regulierung von Kapitalmärkten und Finanzinstituten oder Infrastrukturunternehmen zu verfassen. Beschäftigungsdauer: 4 Jahre Gehalt: ca. 1800,- Bewerbung bis spät. 8. März 2005 an: Bewerbungsformulare ( http://www.univie.ac.at/Personalabteilung ) mit unterschriebenem Lebenslauf an: Universität Wien - Zentrale Verwalung, Personalabteilung / 1010 Wien, Dr. Karl Lueger Ring 1, bitte KENNZAHL 37551/BM unbedingt anführen. ***

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS, EMNet 2005, Budapest, September 15-17 (fwd)
by VFN-L admin * Andreas Schamanek 16 Feb '05

16 Feb '05

---------- Forwarded message ---------- Date: Wed, 16 Feb 2005 08:58:58 +0100 From: Windsperger Josef <josef.windsperger(a)univie.ac.at> Subject: ECONOMICS and MANAGEMENT of NETWORKS, EMNet 2005, Budapest, September 15-17 Dear colleague, as organizing chair of the international conference on Economics and Management of Networks (EMNet 2005) in Budapest, September 15 - 17, 2005, I want to invite you to submit a paper for presentation. You will find the call for papers and the registration form under http://www.univie.ac.at/EMNET <http://www.univie.ac.at/EMNET>. Best regards, Josef Windsperger University of Vienna Center for Business Studies -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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[VFN] Workshop on the Interface between Quantitative Finance and Insurance (fwd)
by Andreas Schamanek 16 Feb '05

16 Feb '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 8 Feb 2005 08:06:37 -0500 From: IAA Secretariat AAI <secretariat(a)actuaries.org> To: AFIR Members List / Liste des membres d'AFIR <afir(a)lists.actuaries.org> Subject: Workshop on the Interface between Quantitative Finance and Insurance / Atelier sur l'interface entre la finance quantitative et l'assurance Workshop on the Interface between Quantitative Finance and Insurance A satellite workshop of the Quantitative Finance Programme of the Isaac Newton Institute and a 2005 Regional Seminar of the AFIR Section of the International Actuarial Association Edinburgh, 4 - 8 April 2005 Workshop Summary The Workshop starts with Registration (between 9.30 and 10.30am) on Monday 4 April and finishes on Friday 8 April at around 4pm. It is possible to register for the first two days only. This workshop aims to discuss leading-edge research on the interface between insurance, pensions and quantitative finance. The meeting will concentrate on two closely linked themes. First, all insurance companies and pension plans are subject to a degree of financial and economic risk as well as their traditional insurance risks. Considerable research in the international actuarial community is ongoing which attempts to model and manage these risks. Much of this research is building upon existing knowledge in financial mathematics. Equally, though, the specific problems being encountered are throwing back new challenges for financial mathematicians. This introduces us to the second theme: the issue of securitisation of insurance risks. This presents many new challenges that require a combination of actuarial mathematics, financial mathematics, mathematical economics and good contract design. The workshop will bring together leading international experts from both academia and practice to promote exchange of ideas and help make progress on research into current issues. Applications and payment must be received by Monday 21 March. Places will be confirmed on receipt of payment. You may apply online at the following address: http://www.ma.hw.ac.uk/icms/meetings/2005/quantfinance/reg_form.html ---------------------------------------------------------------------------- ---- Atelier sur l'interface entre la finance quantitative et l'assurance Un atelier satellite du Programme sur la finance quantitative du Isaac Newton Institute et un séminaire régional 2005 de la Section AFIR de l'Association Actuarielle Internationale Édinburgh, du 4 au 8 avril 2005 Sommaire de l'atelier L'atelier débute avec les inscriptions (entre 9 h 30 et 10 h 30), lundi 4 avril et se termine le vendredi 8 avril vers 16 h. Il est possible de s'inscrire pour les deux premiers jours seulement. Le but de l'atelier est de favoriser les discussions sur les recherches de pointe concernant l'interface entre l'assurance, les régimes de retraite et la finance quantitative. La réunion portera principalement sur deux thèmes en étroit rapport. Premièrement, toutes les compagnies d'assurance et les régimes de retraite sont sujets à un certain niveau de risque financier et économique, de même qu'aux risques d'assurance traditionnels. De nombreuses recherches au sein de la communauté actuarielle internationale sont en cours afin de tenter de modéliser et de gérer ces risques. Ces efforts sont principalement fondés sur les connaissances actuelles dans le domaine des mathématiques financières. Cependant, les problèmes particuliers rencontrés posent de nouveaux défis aux mathématiciens du secteur financier. Ceci nous amène au deuxième thème, soit la question de la titrisation des risques d'assurance. Ceci pose de nombreux défis nouveaux qui requièrent une combinaison de mathématiques actuarielles, de mathématiques financières, d'économie mathématique et de bonne conception de contrats. L'atelier permettra à des chefs de file internationaux du secteur académique et des domaines mettant ces connaissances en pratique de se rencontrer et d'échanger sur ces questions dans le but de faire progresser la recherche dans ces domaines. Les inscriptions et le paiement doivent être reçus au plus tard lundi le 21 mars . Les places seront confirmées sur réception du paiement. Vous pouvez vous inscrire en ligne à l'adresse suivante : http://www.ma.hw.ac.uk/icms/meetings/2005/quantfinance/reg_form.html

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[VFN] Workshop "Risk Measures & Risk Management: General Aspects", EURANDOM, Eindhoven, May 9-11, 2005
by Hansjoerg Albrecher 15 Feb '05

15 Feb '05

Please distribute the following announcement via the newsletter. Thanks, Hansjoerg Albrecher -------------------------------------- FIRST ANNOUNCEMENT May 9-11, 2005, Workshop "Risk Measures & Risk Management: General Aspects", EURANDOM, Eindhoven, NL The workshop focuses on the theoretically interesting and practically important topic of risk measures and risk management. The workshop will bring together leading researchers from academia and from practice. Topics that will be included are: axiomatic aspects, performance of risk measures, computational and statistical aspects. Furthermore applications of risk measures in (re-)insurance, finance and portfolio optimization are treated. Special emphasis lies on interest rate models and on credit risk. For more information and registration please consult URL: http://www.eurandom.tue.nl/workshops/2005/RiskMeasures/RiskMeasures_main.htm

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[VFN] CCEFM/IHS Workshop
by Alfred Lehar 24 Jan '05

24 Jan '05

CCEFM/IHS Workshop Bernard Dumas, INSEAD What To Do About Excessive Volatility? Friday, January 28th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm ---------------------- The next workshop will be by Christine Parlour on March 11th. ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Developments in Quantitative Finance, 4-8 July 2005 (fwd)
by VFN-L admin * Andreas Schamanek 18 Jan '05

18 Jan '05

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Fri, 14 Jan 2005 15:28:02 -0500 From: Vicky Henderson <vhenders(a)Princeton.EDU> Subject: Developments in Quantitative Finance, 4-8 July 2005 Dear collegues, Please find below the announcement for the INI conference "Developments in Quantitative Finance" to be held in Cambridge this July. We have generous funding from the EC and Nomura for this event, so will be able to fund local expenses of students, young participants and Europeans working outside the EU. The official website for the conference can be found : http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html where there is an application form. The deadline is 28th February. There are also more details about funding categories and accomodation options on a second website : http://www.bath.ac.uk/~masdgh/INI/conference.html Please accept our apologies if you receive multiple announcements - we want to advertise widely. Best wishes, Vicky Henderson David Hobson Stan Pliska Chris Rogers ------------------------------------------------------------ Isaac Newton Institute for Mathematical Sciences, Cambridge, UK Quantitative Finance: Developments, Applications & Problems (4 - 8 July 2005) Supported by the European Commission, Sixth Framework Programme Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and NOMURA in association with the Newton Institute programme entitled Developments in Quantitative Finance (24 January to 22 July 2005) Organisers: V Henderson (Princeton), D Hobson (Bath), S Pliska (Illinois), C Rogers (Cambridge). Theme of Conference: The objective of this conference is to bring together academics from various fields, including mathematicians, but also researchers from economics and finance, together with industry practitioners, to discuss the latest developments in the theory of mathematical finance, the application of this theory to current issues facing the industry and to identify the substantive problems confronting academic researchers and finance professionals. Many individual themes within quantitative finance are covered elsewhere in the programme, and this conference will aim to promote the developments in those areas to a wider audience, whilst simultaneously providing a forum for the discussion of advances in other areas within the field. Invited Speakers: Y Ait-Sahalia (Princeton), P. Bank (Columbia), M. Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M. Davis (Imperial), D. Duffie* (Stanford), R Frey (Leipzig), S Hodges (Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini (Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M. Monoyios (Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet (Toulouse), S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar (Princeton) and M. Zervos (Kings). *to be confirmed Location & Cost: The Conference will take place at the Newton Institute and accommodation for participants will be provided in single study bedrooms with shared bathroom at Wolfson Court. The conference package, costing 440GBP, includes accommodation, breakfast and dinner from dinner on Sunday 3 July to breakfast on Saturday 9 July 2005, and lunch and refreshments during the days that lectures take place. Self-supporting participants are very welcome to apply. Further Information and Applications Forms are available from the WWW at: http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html Completed application forms should be sent to Tracey Andrew at the address below, or via email to: t.andrew(a)newton.cam.ac.uk Closing Date for the receipt of applications is 28 February 2005

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