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[VFN] VGSF Research Seminars Summer 2009
by VFN-L admin * Andreas Schamanek 09 Mar '09

09 Mar '09

Dear VFN-L, The VGSF <http://www.vgsf.ac.at/> now has a preliminary list of their seminar talks online at http://www.vgsf.ac.at/activities/seminars.htm > Research Seminars Summer Term 2009 Fri, Mar 13th, 3:30-5:00, H46, SR 1 Andrew Yim (Tilburg University) Cost of Capital, Hurdle Rate, and Default Risk: A Robust Model of Internal Capital Markets http://www.vgsf.ac.at/activities/Yim08.pdf Fri, Mar 20th, 3:30-5:00, H46, SR 1 Wolfgang Bühler (Universität Mannheim) Fri, Mar 27th, 3:30-5:00, H46, SR 1 TBA Fri, Apr 3rd, 3:30-5:00, H46, SR 1 TBA Wed, Apr 24th, 3:30-5:00, H46, SR 1 TBA Fri, May 8th, 3:30-5:00, H46, SR 1 Effi Benmelech (Harvard University) Fri, May 15th, 3:30-5:00, H46, SR 1 Toni Whited (University of Wisconsin) Fri, May 22nd, 3:00-4:30 & 4:30-6:00, H46, SR 1 Marti G. Subrahmanyam (New York University) Jacob Sagi (Vanderbilt University) Fri, May 29th, 3:30-5:00, H46, SR 2 TBA Fri, Jun 5th, 3:30-5:00, H46, SR 2 Harris Schlesinger (University of Alabama) Fri, Jun 12th, 3:30-5:00, H46, SR 1 David Lando (Copenhagen Business School) Fri, Jun 19th, 3:00-4:30 & 4:30-6:00, H46, SR 2 Stijn van Nieuwerburgh (New York University) Laura Veldkamp (New York University) Fri, Jun 26th, 3:30-5:00, H46, SR 2 TBA The seminars in the summer term 2009 usually take place at the Wirtschaftsuniversität Wien - H46 (1190, Heiligenstädter Str. 46-48), seminar room 1 or 2 (ground floor). For further information, please contact Markus Hochradl <http://www.vgsf.ac.at/activities/seminars.htm> Note that the VGSF decided not to announce these talks on VFN. For individual announcements, one has to subscribe the vgsf-newsletter e.g. at https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter Yours sincerely, -- -- Andreas Schamanek

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[VFN] Professur im Bereich Finanzmathematik und Risikomanagement (Nachfolge Schachermayer) an der TU Wien
by Uwe Schmock 20 Feb '09

20 Feb '09

Sehr geehrte Damen und Herren, unten finden Sie die Ausschreibung für die Nachbesetzung der Professur von Walter Schachermayer in der Forschungsgruppe Finanz- und Versicherungsmathematik der TU Wien. Bei Rückfragen können Sie sich gerne an mich wenden. Mit freundlichen Grüßen, Uwe Schmock Offizieller Ausschreibungstext im Mitteilungsblatt der TU Wien: http://tuwis.tuwien.ac.at/zope/_ZopeId/26032764A3wK04LT-RE/tpp/mb/mbl?n=609… PDF-Datei für den Aushang: http://info.tuwien.ac.at/dekzent/Download/Ausschreibung%20StochastMeth.pdf Englische Version: http://info.tuwien.ac.at/dekzent/Download/Announcment%20Stoch_Methods_Econo… Siehe auch FAM-jobs: http://www.fam.tuwien.ac.at/jobs/20090219.php ------------------------------------------------------------------------------ An der Fakultät für Mathematik und Geoinformation der Technischen Universität Wien ist am Institut für Wirtschaftsmathematik eine unbefristete Stelle für eine/n Universitätsprofessor/in für Stochastische Methoden in den Wirtschaftswissenschaften ab 1.1.2010 zu besetzen. Der/Die Stelleninhaber/in soll das Fach in Forschung und Lehre vertreten und am Scientific Management des Instituts für Wirtschaftsmathematik mitarbeiten. Schwerpunkt der zukünftigen Professur sollen wirtschaftliche Anwendungen sein, wobei Fragen der Finanzmathematik und des Risikomanagements im Vordergrund stehen. Von den Bewerberinnen und Bewerbern wird vorausgesetzt, dass sie auf dem Gebiet der stochastischen Methoden in den Wirtschaftswissenschaften (stochastische Prozesse, stochastische Analysis, Methoden zur empirischen Validierung und datengetriebenen Modellierung) international hervorragend ausgewiesen sind. Erwartet wird ferner Erfahrung im Einwerben und der Durchführung von Forschungsprojekten. Den Schwerpunkt der auszuübenden Lehrtätigkeit bildet die Mitarbeit bei der Ausbildung von Studierenden der Finanz- und Versicherungsmathematik sowie der Wirtschaftsmathematik. Für die Stelle bestehen folgende Anstellungserfordernisse: * eine entsprechende abgeschlossene Hochschulausbildung, * hervorragende wissenschaftliche Qualifikation in Forschung und Lehre für das zu besetzende Fach "Stochastischen Methoden in den Wirtschaftswissenschaften" * die pädagogische und didaktische Eignung, * Qualifikation zur Führungskraft, * facheinschlägige internationale Erfahrung. Erwünscht sind ferner auch facheinschlägige außeruniversitäre Erfahrungen. Die Technische Universität Wien strebt eine Erhöhung des Frauenanteils insbesondere in Leitungsfunktionen und beim wissenschaftlichen Personal an und lädt deshalb qualifizierte Frauen ausdrücklich zur Bewerbung ein. Bewerberinnen, die gleich geeignet sind wie der bestqualifizierte Mitbewerber, werden vorrangig aufgenommen, sofern nicht in der Person eines Mitbewerbers liegende Gründe überwiegen. Behinderte Menschen mit entsprechender Qualifikation werden ebenfalls ausdrücklich zur Bewerbung aufgefordert. Bewerbungen mit ausführlichem Lebenslauf, Publikationsliste, Vortragsliste, sowie Exemplare der fünf wichtigsten Veröffentlichungen sind bis bis 31. März 2009 (Datum des Poststempels) an den Dekan der Fakultät für Mathematik und Geoinformation der Technischen Universität Wien, Getreidemarkt 9, A-1060 Wien, zu richten. Der schriftlichen Bewerbung sollte eine CD-ROM beigelegt werden, welche die kompletten Bewerbungsunterlagen enthält. --------------------------------------------------------------------- English Translation: Full Professorship in the area of Mathematical Finance and Risk Management (succeeding Walter Schachermayer) Announcement of an open permanent position at the Institute of Mathematical Methods in Economics, Faculty of Mathematics and Geoinformation, Vienna University of Technology Full Professorship in "Stochastic Methods in Economics" The applicant is expected to have outstanding academic credentials and an excellent track record of scientific accomplishments in the field of stochastic methods in economics (stochastic processes, stochastic analysis, methods for empirical validation and data-driven modelling) focusing on problems in mathematical finance and risk management. The successful candidate will be expected to make a significant contribution to the institute's research output, to provide leadership for researchers and postgraduate students and to undertake an appropriate teaching and administrative load. Special consideration will be given to the applicant's ability and willingness to establish collaborations with colleagues working in related fields of research and the demonstrated ability to attract external project funding. Knowledge of German is not a precondition; however we expect a successful candidate to acquire a working knowledge of German. The applicant must meet the following requirements: * an Austrian or equivalent foreign terminal academic degree in the field under consideration, * an outstanding academic track record in research and teaching, * pedagogic and didactic skills, * leadership abilities, * international working experience in the field of research. The Vienna University of Technology is committed to increase female employment in leading scientist positions. Qualified female applicants are encouraged to apply and will be given preference when equally qualified. Handicapped persons with appropriate qualifications are also expressly encouraged to apply. Applications including a detailed curriculum vitae, description of scientific objectives, list of publications and copies of the five most outstanding publications of the applicant should be sent to the Dean of the Faculty of Mathematics and Geoinformation, Getreidemarkt 9, 1060 Vienna, Austria. In addition, a CD-ROM with the complete application records should be attached. The closing date for applications is March 31, 2009. -- Univ.-Prof. Dr. Uwe Schmock Finanz- und Versicherungsmathematik Institut für Wirtschaftsmathematik Technische Universität Wien Wiedner Hauptstraße 8-10/105-1 A-1040 Wien Österreich DVR: 0005886 Personal Home Page: <http://www.fam.tuwien.ac.at/~schmock/> Financial and Actuarial Mathematics (FAM) at TU Vienna <http://www.fam.tuwien.ac.at/> CD-Laboratory for Portfolio Risk Management (PRisMa Lab) <http://www.prismalab.at/>

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[VFN] International Conference in Venice - CALL FOR PAPERS (fwd)
by VFN-L admin * Andreas Schamanek 20 Feb '09

20 Feb '09

---------- Forwarded message ---------- Date: Fri, 20 Feb 2009 09:13:40 +0100 From: GRETA Associati <credit(a)greta.it> Subject: International Conference in Venice - CALL FOR PAPERS INTERNATIONAL CONFERENCE C. R. E. D. I. T. 2009 Credit Risk, Financial Crises, and the Macroeconomy Venice, Italy 24 - 25 September 2009 GRETA Associati (Venice, Italy) and Intesa Sanpaolo (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 24-25, 2009. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modeling to discuss credit risk at a time of financial crisis and the impact of macroeconomic factors on pricing risky debt, financial distress, recovery rates, and banking stability. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University Ca' Foscari of Venice and ABI - Italian Banking Association, is the eighth of a series dedicated to various aspects of credit risk. The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: * Impact of the financial crisis and banking instability on credit markets; * Credit risk and business cycles; * The interplay between the real and financial sides of the macroeconomy; * Modeling the economics of financial crises. The Scientific Committee for the Conference consists of: Ilya Strebulaev, Graduate School of Business, Stanford University, Programme Chair Viral Acharya, New York University, London Business School & CEPR Monica Billio, University of Venice and GRETA Darrell Duffie, Graduate School of Business, Stanford University Robert Goldstein, Carlson School of Management, University of Minnesota David Lando, Copenhagen Business School Stephen Schaefer, London Business School Allan Timmermann, Rady School of Management, University of California San Diego The final program will include both submitted and invited papers. Acceptances received from invited speakers include Martin Hellwig (Max Planck Institute), Francesco Garzarelli (Goldman Sachs), Christopher Mayer (Columbia Business School), and Ken Singleton (Graduate School of Business, Stanford University). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems. FIRST ANNOUNCEMENT AND CALL FOR PAPERS Those wishing to present a paper at the Conference should submit completed versions or extended abstracts by May 15, 2009 to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by June 15, 2009. The final version of accepted papers must be received by July 31, 2009. Please send papers or extended abstracts to: GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: <mailto:credit@greta.it>credit(a)greta.it More detailed information on the Conference will be available shortly at the following website: http://www.greta.it/credit/credit2009/credit2009.htm (...)

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[VFN] Financial E'trics Conferences 2009 in Berlin (fwd)
by VFN-L admin * Andreas Schamanek 19 Feb '09

19 Feb '09

---------- Forwarded message ---------- Date: Thu, 19 Feb 2009 21:11:49 +0100 From: Oliver Blaskowitz <blaskowitz(a)wiwi.hu-berlin.de> Subject: Financial E'trics Conferences 2009 in Berlin Dear all, please note that the preliminary program for the Humboldt-Copenhagen Conference 2009 is now online available: http://www.hu-ku-conference.de/download/HUKU_Program.pdf . We approach our capacity limit, though there are still some places available! March 19, 2009: CASE-QPL Distinguished Lecture Series Tim Bollerslev and Torben Andersen: "Recent Developments in Measuring and Modeling Financial Market Volatility" For further information please see on http://www.case.hu-berlin.de/events/events/Archive/DLS2009/ . March 20/21, 2009: Humboldt-Copenhagen Conference 2009: "Recent Developments in Financial Econometrics" Keynote speakers: Neil Shephard and Joel Hasbrouck For further information please see on http://www.hu-ku-conference.de/ It would be a great pleasure meeting you in Berlin! Sincerely yours Oliver Blaskowitz -- Oliver Blaskowitz Humboldt-Universität zu Berlin Wirtschaftswissenschaftliche Fakultät Institut für Statistik und Ökonometrie Spandauer Str. 1 10178 Berlin Raum 309 Tel : +49 - (0)30 - 2093 - 5705 Fax : +49 - (0)30 - 2093 - 5712 Homepage: http://amor.cms.hu-berlin.de/~blaskowo/ (...)

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[VFN] Second European summer school in Financial Mathematics (fwd)
by VFN-L admin * Andreas Schamanek 18 Feb '09

18 Feb '09

---------- Forwarded message ---------- Date: Tue, 17 Feb 2009 16:30:47 +0100 From: Euroschoolmathfi09 <euroschoolmathfi09(a)cmapx.polytechnique.fr> Subject: Second European summer school in Financial Mathematics Dear Colleagues, Please find attached an announcement for the second European summer school in Financial Mathematics. [Attachment removed by admin. Please see the web site below.] The summer school will take place from August 24 to 29, in Paris. All the details can be found on the web site http://www.cmap.polytechnique.fr/~euroschoolmathfi09/ We would appreciate if you could circulate this announcement. Yours sincerely, The organizing commitee Bruno Bouchard, Monique Jeanblanc, Bernard Lapeyre, Gilles Pagès, Huyên Pham, Mathieu Rosenbaum, Nizar Touzi ***

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[VFN] Talks on Friday: H.J. Albrecher and P.L. Lions (Fields medal)
by Walter Schachermayer 17 Dec '08

17 Dec '08

We are happy to announce a talk from Fields Medal Winner P.L. Lions (College de France) organized by Wolfgang Pauli Institute as well as a talk from H.-J. Albrecher (JKU Linz) organized by VGSF. Best regards, W. Schachermayer and N.J. Mauser ------------------ Friday, December 19th, 15:45 - 17:30, 1090, Nordbergstr. 15 /Althanstr., Uni Wien, UZA 2, lecture room HS 3 "7th Pauli Colloquium" http://www.wpi.ac.at/documents/WPI-7PauliColl-programme-final.doc Pierre-Louis LIONS (College de France) "Financial mathematics and/after the crash" Opening: 15.45 - 16.00 Coffee, Cake & Come Together 16.00 - 16.15 Introduction: Norbert J. Mauser 16.15 - 17.10 Talk of Pierre-Louis Lions 17.10 - 17.30 Public Discussion moderated by Walter Schachermayer ----------------- Friday, December 19th, 14:00 - 15:30, 1190, Heiligenstädter Strasse 46-48, Seminar Room 1 "VGSF Seminar" http://www.vgsf.ac.at/activities/seminars.htm Hansjörg ALBRECHER (Johannes Kepler University Linz) "Tax and Dividend Payments in Collective Risk Theory" ------------------ Short Biography from Pierre-Louis LIONS Pierre-Louis Lions received his doctorate from the Université Paris 6 "Pierre and Marie Curie" in 1979, directed by H. Brezis. His large field of research interests around the theory of nonlinear partial differential equations ranges from (quantum) physics, fluid mechanics to mathematics of economy and finance. Lions, together with R. DiPerna, was the first to prove global (renormalized) solutions to the Boltzmann equation. In 1994 he received the Fields Medal. Other awards Lions received include the IBM Prize in 1987 and the Philip Morris Prize in 1991. He is a doctor honoris causa of Heriot-Watt University (Edinburgh) and of the City University of Hong-Kong. He is member of the Académie de sciences and Officier de la Légion d'Honneur. Currently, he holds the chair of Partial differential equations and their applications at the prestigious Collège de France in Paris as well as a position at the CEREMADE at Université Paris 9 "Dauphine" and at Ecole Polytechnique. In the paper "viscosity solutions of Hamilton-Jacobi equations", with M. Crandall, he introduced the notion of viscosity solutions. Another key technique developped by Lions is "concentration compactness"; he introduced certain measures to handle the concentrations, including the Wigner measure. Currently he is interested e.g. in "mean field games" in mathematical finance. He is on the editorial board of around 25 international journals. His enormous impact on mathematics is enhanced by the school of his PhD students, starting from M. Esteban and B. Perthame, his participation in European projects (like the HYKE network) and his activity in boards both in industry and academic research (including the board of the WPI).

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[VFN] Symposium "Die internationale Finanzkrise" am 19.11.2008 [Scanned]
by Cech, Christian 13 Nov '08

13 Nov '08

Einladung zum Symposium "DIE INTERNATIONALE FINANZKRISE" am Mittwoch, 19. November 2008 in der Fachhochschule des bfi Wien A-1020 Wien, Wohlmutstraße 22 In Kooperation mit zeb/rolfes.schierenbeck.associates Um Anmeldung wird gebeten: www.fh-vie.ac.at =========================================================== Programm 14.00 Uhr Begrüßung Prof. (FH) Dkfm. Dr. Rudolf Stickler Fachvorträge mit Referaten und Diskussion: 14.15 Uhr 1. Fachvortrag Ursachen der aktuellen Finanzkrise Prof. Dr. Albrecht F. Michler 15.00 Uhr 2. Fachvortrag Die Finanzkrise und ihre Auswirkungen auf die österreichischen Banken Priv. Doz. Dr. Markus Schwaiger 15.45 Uhr Pause 16.15 Uhr 3. Fachvortrag Künftige Herausforderungen für das Risiko- und Liquiditätsmanagement der österreichischen Banken Mag. Peter Madritsch 17.00 Uhr 4. Fachvortrag Die aktuelle Finanzkrise im Lichte bisheriger Krisen Priv. Doz.in Dr.in Özlem Onaran Moderation der Fachvorträge: Prof. (FH) Dipl. Vw. Michael Jeckle 17.45 Uhr Pause 18.00 Uhr Podiumsdiskussion Osteuropa im Kontext der internationalen Finanzkrise - Sicherer Hafen oder nächster Krisenherd? Direktor Mag. Andreas Ittner Prof. Dr. Albrecht F. Michler Priv. Doz.in Dr.in Özlem Onaran Dr.in Michaela Schneider Mag. Wolfgang Wainig Moderation: Mag. Andreas Schnauder 19.15 Uhr Abschlussworte Prof. (FH) Dkfm. Dr. Rudolf Stickler 19.30 Uhr Abschluss der Veranstaltung und Gelegenheit zum Gespräch mit den ReferentInnen beim Buffet =========================================================== ReferentInnen/Moderatoren: Direktor Mag. Andreas Ittner Mitglied des Direktoriums der OeNB Prof. (FH) Dipl. Vw. Michael Jeckle Lektor und Fachbereichsleiter Finanzwirtschaft an der FH des bfi Wien Mag. Peter Madritsch Senior Manager zeb/rolfes.schierenbeck, Wien Prof. Dr. Albrecht F. Michler Uni Düsseldorf, wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Volkswirtschaftslehre Priv. Doz.in Dr.in Özlem Onaran WU-Wien, Institut f. Arbeitsmarkttheorie und -politik Mag. Andreas Schnauder Der Standard, Ressortleiter Wirtschaft Dr.in Michaela Schneider Geschäftsführende Partnerin zeb/rolfes.schierenbeck, Wien Priv. Doz. Dr. Markus Schwaiger Senior Consultant OeNB Prof. (FH) Dkfm. Dr. Rudolf Stickler Rektor der FH des bfi Wien Mag. Wolfgang Wainig Leiter Credit Portfolio Management, Raiffeisenzentralbank =========================================================== Auskünfte und weitere Informationen: Fachhochschule des bfi Wien GmbH A-1020 Wien Wohlmutstraße 22 Tel.: +43/1/720 12 86 Fax: +43/1/720 12 86-19 E-Mail: info(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] Habilitationskolloquium Dr. Rainer Jankowitsch
by De Silva, Hannelore 05 Nov '08

05 Nov '08

Sehr geehrte Damen und Herren, im Namen von Herrn Prof. Stefan Pichler lade ich Sie herzlich zum Habilitationskolloquium von Herrn Dr. Rainer Jankowitsch zum Thema "Liquidity Risk in Bond Markets" ein. Termin: Dienstag, 11.11.2008, 18.30 Uhr im Seminarraum 1 Heiligenstädter Straße 46-48 (H46), Erdgeschoß. Anschließend daran laden wir Sie zu einem Sektempfang in die Cafeteria ein! Mit freundlichen Grüßen, Hannelore De Silva Dr. Hannelore De Silva WU Wien - Institute for Banking and Finance Heiligenstädter Str. 46-48, 1190 Vienna, Austria TEL +43 1 31336 5017 FAX +43 1 31336 90 5017 MAIL Hannelore.DeSilva(a)wu-wien.ac.at WEB http://www.wu-wien.ac.at/banking

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[VFN] address - The 2008 UniCredit Conference on Banking and Finance - Nov. 6, 7
by Schlichting, Martina 03 Nov '08

03 Nov '08

Dear all, unfortunately I added the wrong address to the advertisement before. Please note the right address of Oktogon/Bank Austria: 1010 Wien, Schottengasse 6, 1st floor. Registration: at the registration desk on 6th November from 1 to 1:30 pm. Sincerely, Martina Schlichting

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[VFN] The 2008 UniCredit Conference on Banking and Finance; Nov. 6,7
by Schlichting, Martina 03 Nov '08

03 Nov '08

The 2008 UniCredit Conference on Banking and Finance Beyond the Illusion of Risk Diffusion Vienna, 6-7 November 2008 Octagon room of Bank Austria, 1010 Vienna, Am Hof 2 Program Thursday, 6 November 13:00 - 13:30 Registration 13:30 - 14:00 Welcome Speech Alessandro Profumo (CEO, UniCredit Group) 14:00 - 16:00 SESSION 1 Chair: Marcello De Cecco (Scuola Normale Superiore di Pisa and Unicredit Re search Board) Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market Giovanni Dell'Ariccia (International Monetary Fund ) Deniz Igan (International Monetary Fund) *Luc Laven (International Monetary Fund) Discussant: Thorsten Beck (Tilburg University) The Effect of CEO Stock Options on Bank Investment Choice, Borrowing, and C apital *Hamid Mehran (Federal Reserve Bank of New York) Joshua Rosenberg (Federal Reserve Bank of New York) Discussant: Joerg Rocholl (European School of Management and Technology) 16:00-16:30 Break 16:30 - 18:30 SESSION 2 Chair: Josef Zechner (Vienna University of Economics and Business Administr ation) Stochastic House Appreciation and Optimal Mortage Lending *Tomasz Piskorski (Columbia University) Alexei Tchistyi (New York University) Discussant: Joao Cocco (London Business School) Manipulation of Collateral Values by Borrowers and Intermediaries Itzhak Ben-David (Ohio State University) Discussant: Loriana Pelizzon (University of Venice) 19:00 Conference dinner Friday, 7 November 9:00- 11:00 SESSION 3 Chair: Fabrizio Onida (Bocconi University and UniCredit Research Board) Laying off Credit Risk: Loan Sales versus Credit Default Swaps Christine A. Parlour (University of California, Berkeley) *Andrew Winton (University of Minnesota) Discussant: Alan Morrison (Oxford Said Business School) Information asymmetries in the interbank market: theory and policy responses *Florian Heider (European Central Bank) *Marie Hoerova (European Central Bank) Cornelia Holthausen (European Central Bank) Discussant: Ana Babus (University of Cambridge) 11:00 - 11:30 Break 11:30 - 12:30 Keynote lecture Chair: Marco Pagano (University of Neaples and UniCredit Research Board) Doug Diamond (University of Chicago) 12:30 - 14:00 Lunch 14:00 - 16:00 SESSION 4 Chair: Elena Carletti (European University Institute) Does Monetary Policy Affect Bank Credit Standards? *Angela Maddaloni (European Central Bank) *Jose Luis Peydro (European Central Bank) Silvia Scopel (European Central Bank) Discussant: Martin Summer (Austrian Central Bank) Financial Crises and Bank Liquidity Creation Allen Berger (University of South Carolina) *Christa Bouwman (Case Western Reserve University) Discussant: Steven Ongena (Tilburg University)

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[VFN] Call for Papers: EMNet 2009 (Economics and Management of Networks), SARAJEVO
by Josef Windsperger 31 Oct '08

31 Oct '08

Call for papers – EMNet 2009 - SARAJEVO The fourth international conference on ECONOMICS AND MANAGEMENT OF NETWORKS will be held at the School of Economics and Business, University of Sarajevo, from SEPTEMBER 3 to SEPTEMBER 5, 2009, in SARAJEVO, Bosnia and Herzegovina. The purpose of the conference is to provide an international discussion forum for research in economics and management of networks. Theoretical, conceptual and empirical papers from all areas in economics and management of franchising, cooperatives, joint ventures, licensing, strategic alliances, venture capital relations, virtual networks and other hybrids are invited. Call for papers and conference information can be found at: http://www.univie.ac.at/EMNET Best regards, Josef Windsperger

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[VFN] Call for papers / Workshop Risikomanagement
by Michael Hanke 31 Oct '08

31 Oct '08

Dear all, the following link leads you to information on our workshop on risk management in April 2009 in Obergurgl (Tyrol), including the call for papers. The deadline for papers is Jan. 15, 2009. http://www.uibk.ac.at/ibf/sonstiges/obergurgl/oghome.html Best wishes, Michael Hanke

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[VFN] ÖVFA Kapitalmarktpreis 2009
by office＠ovfa.at 30 Sep '08

30 Sep '08

ÖVFA Kapitalmarktpreis 2009 Zur Förderung des Wissenstransfers von der kapitalmarktorientierten Forschung in die Praxis schreibt die Österreichische Vereinigung für Finanzanalyse und Asset Management in Zusammenarbeit mit der Austrian Working Group on Banking and Finance (AWG) den ÖVFA-Kapitalmarktpreis aus, der mit insgesamt EUR 10.000,-- dotiert ist. Prämiert werden ausgezeichnete anwendungs- und umsetzungsbezogene Arbeiten (Habilitationen, Dissertationen und Publikationen in referierten Zeitschriften) über kapitalmarktrelevante Themen mit den Schwerpunkten: Volkswirtschaftlehre, Corporate Finance, Equity and Derivatives Analysis and Valuation, Risk Management, und Kapitalmarktrecht. Als Sonderkategorie zeichnet die ÖVFA auch Diplomarbeiten aus den oben genannten Gebieten (max. EUR 2.500,--) aus. Teilnahmebedingungen: 1. Die Bewerber sind entweder bei einer österreichischen Universität / Fachhochschule beschäftigt bzw. studieren dort, oder sind bei einem in Österreich tätigen Kreditinstitut / Finanzdienstleister / Versicherung beschäftigt. Sie haben das 40. Lebensjahr noch nicht vollendet. 2. Die Arbeit muß in elektronischer Form sowie in einer gebundenen Fassung eingereicht werden. Falls sie bereits publiziert ist, darf die Veröffentlichung nicht länger als 1 Jahr zurückliegen; dieser Umstand muß bei der Einreichung bekanntgegeben werden. Die Arbeit muß bis spätestens 31. Jänner 2009 bei der Geschäftsstelle der ÖVFA, Eßlingggase 17/5, 1010 Wien ( office(a)ovfa.at) einlangen. Der Arbeit ist ein kurzer Lebenslauf beizulegen. Die Einreichung wird vertraulich behandelt. 3. Falls eingereichte Arbeiten auch bei anderen Institutionen für einen Preis eingereicht worden sind, haben die Bewerber dies im Bewerbungsschreiben offenzulegen. Pro Einreicher wird nur eine Arbeit akzeptiert. 4. Über die Zuerkennung entscheidet eine Jury der ÖVFA, der neben Praktikern auch anerkannte Wissenschafter aus den betreffenden Disziplinen angehören. Bei gleichwertigen Arbeiten ist der praxisbezogenen der Vorzug zu geben. 5. Die Jury kann den Preis auf mehrere Einreicher verteilen. Sie kann auch von der Verleihung eines Preises absehen, wenn sie zu der Auffassung gelangt, daß keine preiswürdige Arbeit vorliegt. 6. Die Jury entscheidet mit einfacher Stimmenmehrheit. Ihre Entscheidung ist endgültig und kann in keiner Weise, insbesondere auch nicht vor Gericht, angefochten werden. 7. Die ÖVFA ist berechtigt, Arbeiten von Preisträgern ganz oder teilweise zu veröffentlichen und Preisträger einzuladen, über das Thema ihrer Arbeit einen Vortrag zu halten. Im Sinne des Gleichbehandlungsgrundsatzes wendet sich diese Ausschreibung an Damen und Herren gleicherweise.

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[VFN] Habilitation colloquium of Dr. Gerhard Winkler (OeNB)
by Tanja Veza 29 Sep '08

29 Sep '08

Dear Vienna finance community: On behalf of Prof. Stefan Pichler (WU Wien) I cordially invite you to attend the habilitation colloquium of Dr. Gerhard Winkler (OeNB) with the title "Discriminatory Power --- An Obsolete Validation Criterion?". The talk will take place on Monday, October 6, 2008 at 5 p.m. at Heiligenstaedter Str. 46-48, 1190 Vienna, in seminar room 4. Participants are invited to join a small reception after the colloquium. Kind regards, Tanja Veza -- 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] Talk: Prof. Ph. Dybvig, 1.10.2008, SEM 107, 16:30
by Tamara Wille 26 Sep '08

26 Sep '08

Dear colleagues, On behalf of Walter Schachermayer, I would like to invite you to a talk of Walter's guest, Prof. Philip Dybvig, Professor of Banking and Finance at Olin School of Business, Washington University, Saint Louis, USA As announced today on our event site, http://www.fam.tuwien.ac.at/events/index.php Prof. Dybvig will be speaking about the following topic: "High Hopes and Disappointments: Preference for Timing of Information without the Recursive Structure" Abstract: Recursive Utility models generalize von Neumann-Morgenstern preferences by giving agents preference over the timing of resolution of uncertainty. These preferences have been given an axiomatic foundation by Kreps and Porteus [1978, 1979] and additional theoretical and empirical development by L. Seldon [1978], Epstein and Zin [1989, 1991], and others. We provide a generalization of these models which does not have the recursive structure. In recursive models, preferences looking forward do not depend on past consumption or beliefs. In our model, preferences looking forward also do not depend on past consumption, but they can depend on past beliefs, or perhaps more generally and more accurately on what was expected to happen on other branches of the tree. Preferences in our model are not defined recursively, which avoids the questions of existence that can be difficult in settings with continuousr time and/or an infinite horizon. We use our new model of preferences to derive optimal consumption and investment strategies, which can still be solved using dynamic programming but with an extra state variable. Best regards, Tamara -- Tamara Wille Financial & Actuarial Mathematics Group Vienna University of Technology Wiedner Hauptstrasse 8-10 A-1040 Vienna Austria mail: start(a)fam.tuwien.ac.at fon: +43-1 - 58801 - 10521 fax: +43-1 - 58801 - 10599 url: http://www.fam.tuwien.ac.at/

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[VFN] Workshop on Optimization and Optimal Control, October 20-24, Linz
by Hansjoerg Albrecher 16 Sep '08

16 Sep '08

Announcement: Workshop on Optimization and Optimal Control, October 20-24, 2008, Radon Institute, Austrian Academy of Sciences, Linz Speakers: Nicole Baeuerle (Karlsruhe) Bruno Bouchard (Paris-Dauphine) Romuald Elie (Paris-Dauphine) Hans U. Gerber (Lausanne) Fausto Gozzi (Rome) Christian Hipp (Karlsruhe) Damien Lamberton (Marne-la-Vallée) Bernt Oeksendal (Oslo) Jostein Paulsen (Bergen) Huyên Pham (Paris VII) Manfred Schael (Bonn) H.Schmidli (Cologne) Mogens Steffensen (Copenhagen) Agnes Sulem (INRIA) Nizar Touzi (Ecole Polytechnique) Mihail Zervos (London) Xunyu Zhou (Oxford) Gordan Zitkovic (Austin) There is no registration fee, but please register under http://www.ricam.oeaw.ac.at/specsem/sef/registration/ Organizers: Hansjörg Albrecher (Linz), Karl Kunisch (Graz), Hanna Pikkarainen (Linz), Wolfgang Runggaldier (Padova), Walter Schachermayer (Vienna) For further information, see http://www.ricam.oeaw.ac.at/specsem/sef/events/ooc/

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[VFN] Workshop on Advanced Modeling in Finance and Insurance, September 22-26, Linz
by Hansjoerg Albrecher 16 Sep '08

16 Sep '08

Announcement: Workshop on Advanced Modeling in Finance and Insurance, September 22-26, 2008, Radon Institute, Austrian Academy of Sciences, Linz Speakers: Ole E. Barndorff-Nielsen (Aarhus) Fred Espen Benth (Oslo) Angelos Dassios (London) Ernst Eberlein (Freiburg) Hans Föllmer (Berlin) David Hobson (Warwick) Saul Jacka (Warwick) Jan Kallsen (Kiel) Claudia Klüppelberg (Munich) Semyon Malamud (Zuerich) Georg Pflug (Vienna) Chris Rogers (Cambridge) Alexander Schied (Cornell) Hanspeter Schmidli (Cologne) Robert Stelzer (Munich) Jeannette Woerner (Goettingen) There is no registration fee, but please register under http://www.ricam.oeaw.ac.at/specsem/sef/registration/ Organizers: Hansjörg Albrecher (Linz), Karl Kunisch (Graz), Hanna Pikkarainen (Linz), Wolfgang Runggaldier (Padova), Walter Schachermayer (Vienna) For further information, see http://www.ricam.oeaw.ac.at/specsem/sef/events/amfi/

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[VFN] Conference at the University of Konstanz, October 2-4, 2008 (fwd)
by VFN-L admin * Andreas Schamanek 25 Aug '08

25 Aug '08

---------- Forwarded message ---------- Date: Mon, 25 Aug 2008 16:55:38 +0200 From: Guenter Franke <guenter.franke(a)uni-konstanz.de> Subject: Re: Conference at the University of Konstanz, October 2-4, 2008 Dear colleague, I would like to remind you of the International Conference on Price, Liquidity, and Credit Risk to be held at the University of Konstanz on October 2-4, 2008. The preliminary conference program is now available under http://cofe.uni-konstanz.de/?cont=activities&subcont=conference/program/ind… . The conference will offer you excellent papers and room for many discussions. Please let us know if you would like to discuss a paper and/or chair a session. If yes, please denote corresponding papers and/or sessions. The University of Konstanz is beautifully located at the Lake of Konstanz, in front of the Alps. So you will certainly enjoy the scenery as well. Please note that for academics the registration fee is 100 EUR until September 1 and 150 EUR thereafter. For registration please consult our website at http://cofe.uni-konstanz.de/cont/conference/registration/registration_form.… . Please use the conference website also for electronic booking of your accommodation. We are looking forward to seeing you here in Konstanz. Michael Brennan Luc Bauwens Ansgar Juengel Günter Franke Winfried Pohlmeier Walter Schachermayer Prof. Dr. Dr. h.c. Guenter Franke Universitaet Konstanz Fachbereich Wirtschaftswissenschaften Professur fuer Betriebswirtschaftslehre insbes. Internationales Finanzmanagement Fach 147 78457 Konstanz GERMANY Tel. +49 - 7531 - 88 2545 / 2543 Fax +49 - 7531 - 88 3559

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[VFN] Venture Capital Workshop / 5. September 2008
by Renate Lameraner 29 Jul '08

29 Jul '08

> Venture Capital Workshop | 5. September 2008 < Am 5. September 2008 veranstaltet das Zentrum für Finance der Donau-Universität Krems einen eintägigen Workshop zum Thema "Venture Capital" in Wien. Zunächst übermitteln ExpertInnen (u.a. Prof. Thomas Hellmann/University of British Columbia) theoretische Grundlagen im Plenum, anschließend finden Paneldiskussionen mit hohem Praxisbezug in Kleingruppen statt. Zur Auswahl stehen folgende Panels: Panel I: *Erfolgreiche Start up Finanzierungen am Beispiel Biotech* (Dr. Alexandra Gruber, MBA, MSc/Baxter Bioscience) Panel II: *Expansions- und Nachfolgefinanzierungen* (Dr. Gerald Horvath, MBA, MSc/Mezzanin Finanzierungs AG) sowie Panel III: *Chancen und Risiken von Venture Capital Finanzierungen* (Prof. Dr. Helmut Aigner/M.P.I. MergersProjectsInvestConsult GmbH) Ermäßigte Teilnahmegebühr für Studierende sowie günstige Frühbucherpreise bei Anmeldung bis 5. August 2008! Information und Anmeldung http://www.donau-uni.ac.at/venturecapital Mag. (FH) Renate Lameraner Wissenschaftliche Mitarbeiterin Donau-Universität Krems Department für Wirtschafts- und Managementwissenschaften / Zentrum für Finance Dr.-Karl-Dorrek-Straße 30 3500 Krems Austria Tel.: +43 2732 893 2116 Fax: +43 2732 893 4110 renate.lameraner(a)donau-uni.ac.at http://www.donau-uni.ac.at ***********MBA Info Sessions*********** 7.8.2008 in Krems, 20.8.2008 in Wien Bitte anmelden: www.mba-krems.at/mba/veranstaltungen

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[VFN] Visiting Professorship in Finance
by Andrea Gaunersdorfer 28 Jul '08

28 Jul '08

Dear colleagues, the Faculty of Faculty of Business, Economics and Statistics at the University of Vienna invites applications for a Visiting Professorship in Finance. For further information please visit http://personalabteilung.univie.ac.at/index.php?id=13683&tx_ttnews[tt_news]… or (in German) http://personalabteilung.univie.ac.at/index.php?id=13483&tx_ttnews[tt_news]… If these links do not work please try http://personalabteilung.univie.ac.at/index.php?id=10905 (Faculty of Business, Economics and Statistics) http://personalabteilung.univie.ac.at/index.php?id=prof (Fakultät für Wirtschaftswissenschaften) Sincerely, Andrea Gaunersdorfer

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[VFN] Offene Stelle am Institut for Corporate Finance
by Fuchs, Daniela 23 Jul '08

23 Jul '08

Wir bitten um Veröffentlichung/weiterleitung folgender Email: Mit freundlichen Grüßen, Daniela Fuchs Dear Vienna Finance Newsletter-Subscribers, We want to draw your attention to the job-announcement below. Wissenschaftliche/r Mitarbeiter/in Im Institute for Corporate Finance ist voraussichtlich ab 1. August 2008 bis 31. Juli 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 Sozial- und Wirtschaftswissenschaften Erwünschte Kenntnisse und Qualifikationen: sehr gute analytische Fähigkeiten, sehr gute Kenntnisse in Finanzwirtschaft und quantitativen Methoden, Interesse an finanzwirtschaftlicher Forschung, gute EDV- Kenntnisse, Programmierkenntnisse von Vorteil, hervorragende Kenntnisse in Englisch, Erfahrung in der Lehre mit elektronischer Lehrunterstützung Kennzahl: 110448 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: 30. Juli 2008 Bitte die Kennzahl unbedingt anführen! Mag. Anna Jaschek Leiterin der Personalabteilung

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[VFN] 23. Workshop der AWG
by office＠bwg.at 14 Jul '08

14 Jul '08

INSTITUT FÜR MANAGEMENTWISSENSCHAFTEN Bereich Finanzwirtschaft und Controlling Prof. Dr. Wolfgang Aussenegg Prof. Dr. Walter S. A. Schwaiger, MBA Technische Universität Wien 23. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 12. und 13. Dezember 2008, Wien First CALL for PAPERS Der Workshop findet am Freitag, dem 12. Dezember 2008, nachmittags, und am Samstag, dem 13. Dezember 2008, vormittags, an der Technischen Universität Wien statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 13. Oktober 2008 bei Prof. Dr. Wolfgang Aussenegg und Prof. Dr. Walter S. A. Schwaiger, MBA, Technische Universität Wien, Institut für Managementwissenschaften, Bereich Finanzwirtschaft und Controlling, A-1040 Wien, Favoritenstraße 11 oder e-mail: fischer(a)imw.tuwien.ac.at eingereicht werden. Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 1. Oktober 2008 einzureichen. AUSTRIAN WORKING GROUP ON BANKING AND FINANCE Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte:Arbitrage Pricing – Capital Market Theory – Capital Requirements of Financial (Auswahl) Intermediaries – Commercial Banking – Contingent Claims Analysis – Corporate Finance – Financial Innovations – Financial Markets Research – International Banking and Finance – Investment Banking – Options and Futures – Performance Measurement – Portfolio Management – Risk Management – Security Analysis.

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Re: [VFN] Stellenausschreibung fur VFN
by Dirk Becherer 13 Jun '08

13 Jun '08

------------------------------------------------------------------------------- Summary: Please help to bring the following position to the attention of suitable candidates: W1 Junior Professorship in Probability Theory and its Applications, Humboldt Universität zu Berlin, Deadline September 6. ------------------------------------------------------------------------------- Humboldt Universität zu Berlin, Faculty of Mathematics and Natural Sciences II, Institute of Mathematics, invites applications for the Junior Professorship in Probability Theory and its Applications starting in 2009. The successful candidate will provide leadership in research and teaching in probability theory, ideally with a research area in stochastic analysis. Willingness for interdisciplinary cooperation and connections to application areas, e.g. in mathematical finance and stochastic optimal control theory, is desired. The research group provides an excellent environment for research and teaching. It offers rich possibilies to participate in research and doctoral programs that it is involved in (e.g. the application area Finance at the DFG Research Center MATHEON, the DFG International Research Training Group „Stochastic Models of Complex Processes“, Berlin Mathematical School, and the Quantitative Products Laboratory). Candidates must fulfill the requirements for junior professorship appointments according to §102a of the Berliner Hochschulgesetz (BerlHG). To apply, please send the usual documents (CV, list of publications, teaching experience, research statement, copies of certificates) both in paper and in electronic form (pdf-file) to Humboldt Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik, Geschäftsführender Institutsdirektor, Unter den Linden 6, D-10099 Berlin, Germany, and to bergmann(at)math.hu-berlin.de; quoting code number JP/015/08. Deadline for applications is Sept. 6, 2008. The Humboldt Universität zu Berlin seeks to increase the number of women in research and teaching. Therefore applications from female candidates with the qualifications advertised are explicitly solicited. Applications from abroad are welcome. Severely disabled applicants with equivalent qualifications will be given preference. For more detailed infomation, please contact Professor Dr. Dirk Becherer (becherer(at)math.hu-berlin.de).

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[VFN] Workshop on Incomplete Market Economies with Production
by Marion Kelemen 10 Jun '08

10 Jun '08

Dear All, Following the invitation to the "Workshop on Incomplete Market Economies with Production" on July 1-2, 2008, at the Institute for Advanced Studies I'm attaching the preliminary program for there have been some minor changes. [PDF attachment removed by admin since it is available on-line at http://www.ihs.ac.at/index.php3?id=1100 -- specifically at http://www.ihs.ac.at/publications/eco/conferences/2008/july1-2-2008-program… ] Thank you and kind regards, Marion Kelemen -- Marion Kelemen Department of Economics and Finance Institute for Advanced Studies A-1060 Vienna Stumpergasse 56 Austria Tel: +43/1/59 991-145 Fax: +43/1/59 991-163 Mail: mkelemen(a)ihs.ac.at http://www.ihs.ac.at

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[VFN] Special Issue of JR and EMNet 2009 in Sarajevo
by Josef Windsperger 05 Jun '08

05 Jun '08

Dear colleague, attached you will find the CALL for papers for the SPECIAL ISSUE of JOURNAL of RETAILING to the theme of FRANCHISING. Rajiv Dant, Marko Grunhagen and I are jointly co-editing this issue. > Announcement of EMNet 2009: September 3 - 5, 2009 The forth international conference on Economics and Management of Networks (EMNet) will take place at the School of Economics and Business, University of Sarajevo, Bosnia and Herzegovina (www.efsa.unsa.ba). The call for papers will be sent out in October. Conference information will be found at: http://www.univie.ac.at/EMNET > Best regards, Josef Windsperger CALL FOR PAPERS Journal of Retailing Special Issue: Franchising and Retailing Rajiv P. Dant, University of Oklahoma Marko Grünhagen, Eastern Illinois University Josef Windsperger, University of Vienna Special Issue Co-Editors Franchising is the world’s fastest growing form of retailing. The Journal of Retailing is proud to announce a Special Issue focused on the broad-based theme of franchising in retail settings. In this issue, we hope to feature multidisciplinary franchising research so long as the authors can relate the manuscript to the context of retailing. Manuscripts that significantly advance the boundaries of our current knowledge of franchising, in both single-country and multi-cultural settings, are equally encouraged. The Special Issue is seeking submissions that provide new insights into franchising as a vehicle to deliver value to all retail aspects of a franchise system in the broader sense, such as retail customers, franchisees, or the broader franchisee-franchisor relationship. Topics for this Special Issue could include (but are not limited to): • Examination of relationships critical to the retailer-franchisee beyond the common fast-food setting • The role of franchising in shattering the glass ceilings for women and minorities • Plural forms theory of franchising • Cross cultural examination of the ownership redirection thesis • Consumer research perspectives on franchise service delivery • Incorporating personality variables into traditionally B2B oriented franchising research • Reexamination of franchising research topics using longitudinal data • Investigation of consolidation pressures and downsizing effects in franchise systems • Integration and synthesis of traditional franchise theories in retail settings • Cross cultural examination of theoretical frameworks commonly used in explaining the franchising phenomenon in the North American context (e.g., agency theory, resource dependence theory, signaling theory, transaction cost analysis, property rights theory, etc.) • Cross country examination of the legal aspects of franchising and its impact on the evolution of franchising • Research into the evolution and outcomes of franchise contracts and their impact on the governance of retail franchise systems Papers should be submitted to the Journal of Retailing by September 30, 2009, with a cover letter indicating that the paper is intended for the Special Issue. See http://ees.elsevier.com/retail/ for details of submission guidelines. However, submit the manuscript to the co-editors via email. Do not use the electronic submission process of the Journal. Special Issue Co-Editors: Professor Rajiv P. Dant Professor Marko Grünhagen Professor Josef Windsperger University of Oklahoma Eastern Illinois University University of Vienna Price College of Business Lumpkin College of Business & Applied Sciences Center for Business Studies 307 West Brooks 4012 Lumpkin Hall Bruenner Str. 72 Norman, OK 73019-4001 Charleston, IL 61920 1210 Vienna U.S.A. U.S.A. AUSTRIA Phone: +1-405-325-4675 Phone: +1-217-581-6906 Phone: +431-4277-38180 Email : rdant(a)ou.edu Email : mgrunhagen(a)eiu.edu Email : josef.windsperger(a)univie.ac.at

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[VFN] 5. GARP-Treffen
by Eugen Puschkarski 05 Jun '08

05 Jun '08

Sehr geehrte Damen, sehr geehrte Herren! Wir möchten Sie über unser 5. GARP-Treffen, welches wir freundlicherweise bei der Volksbank Wien, Filiale Schottenring 1 (1090 Wien) abhalten dürfen, informieren. Es findet am 26.6.2008 (18:00 - 21:00 Uhr) statt. Agenda: 18:00 Registration 18:15 Welcome note by Mag. Franz Reif, Head of Strategic Risk Management, Volksbank AG 18:30 Präsentation: "Behavioral ratings - Verhaltensratings", Mag. Alexander Tscherteu, Head of Group Credit Risk Management, Volksbank AG 19:30 Präsentation: "Interest Rate Risk Stress-Testing for the Banking Book", Dr. Franz Jakob, Head of Risk Controlling, RLB NÖ-W AG 20:00 Buffet und Networking Wir ersuchen Sie, wie gewohnt um Anmeldung unter folgendem Link: http://www.garp.com/login.aspx?URL=%2fmembership%2fOnlineRegistration.aspx%3 Je nach gewünschter Inanspruchnahme der GARP-Leistungen, gibt es verschiedene Mitgliedskategorien, welche mit jährlichen Kosten von 0 bis 150 USD verbunden sind (die Teilnahme an den Local Chapter Meetings ist als *Affiliate Membership* kostenlos). http://www.garp.com/membership/benefits.aspx Zur rechtzeitigen Planung erlauben wir uns Ihnen vorweg unsere voraussichtlichen Veranstaltungstermine für das 3. und 4. Quartal 2008 bekanntzugeben: 22.09.2008 10.11.2008 01.12.2008 Beste Grüße Harald Hauer Österreichische Elektrizitätswirtschafts-AG (Verbund) Am Hof 6a; 1011 Wien Sitz: Wien; Firmenbuch: FN 76023 z; HG Wien e-mail: Harald.Hauer(a)verbund.at http://www.verbund.at Eugen Puschkarski Oesterreichische Nationalbank 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

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Re: [VFN] Einladung zum Workshop "The Economics of CG and Mergers"
by heide.marie.wurm＠univie.ac.at 04 Jun '08

04 Jun '08

Information and Invitation to the Workshop and Presentation of the Festschrift "The Economics of Corporate Governance and Mergers" June 20 and 21, 2008 Please find the detailed program at: http://www.univie.ac.at/vwl/Research/Workshop%20Mueller/einladung.pdf Sorry for possible cross-postings. H.M.Wurm

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[VFN] Invitation June 3rd talk Dr. Marc Faber (alias "Dr. Doom") at WU Wien
by Grimm, Dorothea 30 May '08

30 May '08

DAS DEPARTMENT FÜR FINANZWIRTSCHAFT UND RECHNUNGSWESEN DER WIRTSCHAFTSUNIVERSITÄT WIEN UND DIE ZZ-VERMÖGENSVERWALTUNG laden Sie ein zum Vortrag von DR MARC FABER (alias "DR. DOOM) WILL THE FIRST SYNCHRONIZED GLOBAL ECONOMIC BOOM IN THE 200-YEAR OLD HISTORY OF CAPITALISM ALSO LEAD TO A SYNCHRONIZED BUST? DATUM: 3. Juni 2008, 12.00 Uhr Ort: Wirtschaftsuniversität Wien Hörsaal 04, UZA 1, Zone B, blau

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[VFN] Workshop on Numerics and Stochastics (fwd)
by VFN-L admin * Andreas Schamanek 28 May '08

28 May '08

---------- Forwarded message ---------- Date: Wed, 28 May 2008 13:27:12 +0300 From: Stefan Geiss <geiss(a)maths.jyu.fi> Subject: Workshop on Numerics and Stochastics (...) Second Announcement ------------------- Workshop on Numerics and Stochastics August 25-29, 2008 Helsinki University of Technology Institute of Mathematics as part of the * Special Year in Numerics 2008-2009 * European Science Foundation through the European Scientific Network Advanced Mathematical Methods for Finance (AMaMeF) The workshop is devoted to the various connections between Numerics and Stochastics from the theoretical point of view and from the view point of applications, for example in finance. Among the speakers are: Vlad Bally (University of Marne-la-Vallée, Paris) Bruno Bouchard (University Paris-Dauphine) Pierre Del Moral (INRIA, Bordeaux) François Delarue (University Paris VII) Steffen Dereich (Technical University Berlin) Emmanuel Gobet (InP Grenoble) Stefan Heinrich (University Kaiserslautern) Arturo Kohatsu-Higa (University Pompeu Fabra) Damien Lamberton (University of Marne-la-Vallée, Paris) Antoine Lejay (INRIA, Nancy) Stéphane Menozzi (University Paris VII) Thomas Müller-Gronbach (University Magdeburg) Klaus Ritter (Technical University Darmstadt) Anders Szepessy (KTH, Stockholm) Aleksander Veretennikov (University of Leeds) * Deadline for registration: 1st of August 2008. In case you propose a talk, we recommend registering as early as possible. * Conference fee: there will be no fee, but small charges for optional social events * http: //math.tkk.fi/numericsyear/numstoch/ * Contact: numstoch(a)lists.jyu.fi * Organizers: Timo Eirola Dario Gasbarra Stefan Geiss Damien Lamberton Teemu Pennanen

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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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[VFN] Ausschreibung WU-Professur Finance
by Nicole Reinecke 20 Mar '08

20 Mar '08

Call for Applications: Full Professor of Finance Vienna University of Economics and Business Administration (Wirtschaftsuniversität Wien); Ref.No. 103290 Vienna University of Economics and Business Administration (Wirtschaftsuniversität Wien, WU) is now inviting applications for the position of Full Professor of Finance. The Vienna University of Economics and Business Administration is the largest business university in the European Union and is centrally located at the heart of Europe. The University maintains an excellent position as a center for research and teaching and attracts an international group of students and faculty. It offers a broad range of subjects in all areas of economics and business administration. The finance group at the Vienna University of Economics and Business Administration is one of the largest in the German-speaking world. Resources and facilities are comparable to those of internationally leading institutions. The University is EQUIS accredited and is striving to achieve a top position among the leading European business universities. For details, please see www.wu-wien.ac.at <http://www.wu-wien.ac.at/> . Applicants should have: a) a solid academic qualification (e.g. PhD, Habilitation) in Finance or a related area; b) an outstanding international reputation in high quality scholarship in the area of finance; c) a strong record in attracting research funding; d) a demonstrated commitment to excellence in executive teaching; and e) proven leadership qualities. The successful candidate is expected to have established an international reputation as a researcher in his/her field and have an outstanding publication record. All fields of finance will be considered, but preference will be given to the fields of derivatives, asset pricing, securities design, empirical finance and risk management. We expect a strong interest in teaching finance at bachelor, master, and PhD levels as well as in executive education programs. Teaching experience in English is required; teaching experience in German is not necessary. Non-German-speaking candidates will be expected to acquire proficiency in German over a certain period of time. For details of the position, please contact Professor Stefan Pichler, Department of Finance and Accounting, by phone: ++43-1-31336-5685, or email: stefan.pichler(a)wu-wien.ac.at. Candidates should send their applications (curriculum vitae, list of publications, list of classes held as well as copies of five major journal publications) to the Rector of Wirtschaftsuniversität Wien, Professor Christoph Badelt, Augasse 2-6, A-1090 Vienna. Electronic applications are preferred and can be sent to nicole.reinecke(a)wu-wien.ac.at <mailto:brigitte.parnigoni@wu-wien.ac.at> . Please quote reference no. 103290 when submitting your application. Applications must be submitted by April 30th, 2008. 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. <http://www.wu-wien.ac.at/>

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[VFN] Special Semester on Stochastics with Emphasis on Finance, RICAM, Linz, Austria, Sep-Dec 2008
by Hansjoerg Albrecher 18 Mar '08

18 Mar '08

From September 2008 to December 2008, there will be a Special Semester on Stochastics with Emphasis on Finance at the Johann Radon Institute for Computational and Applied Mathematics (RICAM) of the Austrian Academy of Sciences in Linz. The goal of this Special Semester is to provide a stimulating environment for mathematicians, quantitative economists and, in particular, researchers in the areas of applied probability and analysis, computational methods and finance to jointly address emerging challenges in the interface between stochastics and finance. There will be a series of thematic workshops with leading experts in the field. Experienced researchers, post-docs and doctoral students will have the opportunity to collaborate at RICAM in an interdisciplinary atmosphere in order to gain new perspectives and to develop novel approaches. Funding is available for longer stays during the semester. We particularly encourage young researchers to apply. For more details on the activities planned for the Special Semester as well as for application forms, see the webpage http://www.ricam.oeaw.ac.at/specsem/sef/ Scientific Committee: Hansjörg Albrecher (University of Linz & RICAM, Austria), Karl Kunisch (University of Graz & RICAM, Austria), Hanna Pikkarainen (RICAM, Austria), Wolfgang Runggaldier (University of Padova, Italy (Chair)), Walter Schachermayer (TU Vienna & RICAM, Austria)

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[VFN] VGSF research seminar: Engelbert Dockner
by Youchang Wu 06 Mar '08

06 Mar '08

Professor Engelbert Dockner from Vienna University of Economics and Business Administration is giving a VGSF research seminar on "Choice of Rating Technology and Price Formation in Imperfect Credit Markets" on March 7 (Friday, 13:15-14:45) at Wirtschaftsuniversität Wien - H46 (1190, Heiligenstädter Strasse 46-48), seminar room 2 (ground floor). The paper to be presented will be posted on the VGSF website soon (http://www.vgsf.ac.at/activities/seminars.htm). Please kindly note the new location and the special time of this seminar. Best regards, Youchang

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[VFN] Stellenausschreibung Institut für Risikomanagement und Versicherung
by Alexander Mürmann 28 Feb '08

28 Feb '08

Liebe Kolleginnen und Kollegen, ich bitte auch die weitere Stellenausschreibung am Institut für Risikomamangement und Versicherung zu beachten. Mit besten Grüßen, Alexander Mürmann. __________________________________________________ Alexander Mürmann, Ph.D. Professor of Risk Management and Insurance Institute of Risk Management and Insurance Vienna University of Economics and Business Administration Heiligenstädter Str. 46-48, A-1190 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 Institute for Risk Management and Insurance sind 2 Stellen für Wissenschaftliche MitarbeiterInnen oder 1 Stelle für einen Assistenten/eine Assistentin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen. Vertragsdauer: Wissenschaftliche/r Mitarbeiter/in: 1. Mai 2008 bis 30. April 2012 Assistent/in: 1. Mai 2008 bis 30. April 2014 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. Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan 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 Wissenschaftliche/n Mitarbeiter/in: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften, Mathematik oder Physik bzw. gleichzuhaltende Qualifikation für Assistent/in: abgeschlossenes oder kurz vor Abschluss stehendes Doktoratsstudium der Sozial- und Wirtschaftswissenschaften oder Mathematik/Statistik mit wirtschaftswissenschaftlicher Ausrichtung bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: für Wissenschaftliche/n Mitarbeiter/in: starkes 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, gute EDV-Kenntnisse, sehr gute Englischkenntnisse für Assistent/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 Kennzahl: 101995 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) 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: 19. März 2008 Bitte die Kennzahl unbedingt anführen!

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[VFN] Stellenausschreibung Institut für Risikomanagement und Versicherung
by Alexander Mürmann 20 Feb '08

20 Feb '08

Liebe Kolleginnen und Kollegen, am Institut für Versicherung und Risikomanagement an der WU Wien suche ich die Stelle eines/r wissenschaftlichen MitarbeiterIn 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, Ph.D. Professor of Risk Management and Insurance Institute of Risk Management and Insurance Vienna University of Economics and Business Administration Heiligenstädter Str. 46-48, A-1190 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 ist voraussichtlich ab 1. April 2008 bis 31. März 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 Sozial- und Wirtschaftswissenschaften, Mathematik oder Physik bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: starkes 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, gute EDV-Kenntnisse, sehr gute Englischkenntnisse Kennzahl: 100295 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: 5. März 2008 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt

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[VFN] conference on Corporate Governance
by Andrea Gaunersdorfer 29 Jan '08

29 Jan '08

The European Corporate Governance Institute (ECGI) is organizing a conference on Corporate Governance in Oxford on 10-11 June 2008. The conference is part of the ECGI Corporate Governance Best Paper Competition. Papers included in the conference will be automatically eligible for inclusion in the Competition. They will also be eligible for fast track reviewing for inclusion in the /Review of Finance/ (RoF) free of charge. You are invited to submit a paper for inclusion in the conference and for consideration by the competition. Details of the competition, the conference, the fast track submission and the procedure by which papers will be selected are available at http://www.ecgi.org/competitions/rof/index.php Papers should be submitted by February 15th.

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[VFN] Reminder: Invitation January 31st: Public Lecture with Mark Seasholes "Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues"
by Gutmann Center-D.Grimm 28 Jan '08

28 Jan '08

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: January 31st, 2008 (Thursday) - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London Business School and INSEAD http://www.seasholes.com/ Title: TIME VARIATION IN LIQUIDITY: THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES Abstract: We use an 11-year panel of NYSE specialist inventory positions and revenues to study two aspects of financial markets: stock price reversals (temporary mispricings) and liquidity. Understanding when stocks are mispriced and when liquidity is drying up is of key importance to asset managers. We show that as stock prices go up, market-makers sell. As stock prices fall, market-makers buy. Market-makers are compensated for taking on risky positions via stock price reversals. Sorting stocks based on inventory positions predict reversals of 33 basis points over the following week and 45 basis points over the following two weeks. Sorting stocks by current returns and inventory positions can predict reversals of over 85 basis points per week. Combining inventory positions with NYSE specialist revenues allows us to predict liquidity (at the market-level) at a daily frequency. As prices fall, market-makers lose money on current positions. They also increase positions and thus risk. The net result is that market-makers are less willing to provide liquidity. Our tests are done at both the market-level and at the specialist firm level. Our results suggest an important role for market makers' financial positions in explaining the time variation of liquidity. About Mark Seasholes: Mark Seasholes is an Assistant Professor of Finance. He received his BA from Wesleyan University and his AM and PhD degrees from Harvard University. Mark's research focuses on investor behavior around the world. He has written on cross-border equity investments, herding behavior of individual investors, and loss aversion. Current work focuses on the role and pricing of liquidity. One project looks at the systematic liquidity demands of individual investors. A second project studies NYSE specialist inventories (a measure of liquidity provided to the market). Mark studied physics at Wesleyan University. After graduating from college, he spent a number of years working on Wall Street and in the emerging markets of East/Central Europe. He has completed a valuation project in Honduras, helped with the Lloyds of London restructuring, and given a series of lectures in the People's Republic of China. Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to 2007 where he won teaching awards in three programs: Daytime MBA, Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to teach in Executive Education programs where he receives top ratings. 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. Susan Christoffersen
by Youchang Wu 23 Jan '08

23 Jan '08

Professor Susan Christoffersen from McGill University is giving a VGSF research seminar on "Fund Flows vs. Family Flows: Evidence from the Cross Section of Brokers" on January 25 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Christoffersen is going to visit BWZ on Jan 25. If you would like to meet her at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Evidence that brokers influence the mutual-fund flows they intermediate suggests that funds’ families make important choices about their use of brokerage. We address these choices by relating the flows in and out of funds to, on one hand, the involvement of brokers who are or aren’t affiliated with the fund, and their revenue-sharing with the family, and on the other hand, the simultaneous flows of other funds in the same family. Among our findings are that affiliated brokers increase recapture of outflows but also cannibalization of inflows, and that consumer sentiment increases the market power of unaffiliated brokers.

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[VFN] VGSF research workshop: Rohit Rahi
by Youchang Wu 14 Jan '08

14 Jan '08

Professor Rohit Rahi from London School of Economics is giving a VGSF research seminar on "Arbitrage Networks" on January 18 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Rahi is going to visit Vienna from Jan 16 to 21. If you would like to meet him, please let me know as soon as possible. Kind regards, Youchang Wu This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit clientele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs. The optimal network for arbitrageurs is of the hub-spoke kind. The equilibrium network, in contrast, is never optimal for arbitrageurs and is never hub-spoke. The reason is that equilibrium networks suffer from a Prisoner’s Dilemma problem that prevents network externalities from being internalized. We show that, as the number of intermediaries grows, equilibrium allocations converge to those of the frictionless complete-markets Arrow-Debreu economy.

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[VFN] Invitation January 31st: Public Lecture with Mark Seasholes "Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues"
by Gutmann Center-D.Grimm 14 Jan '08

14 Jan '08

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: January 31st, 2008 (Thursday) - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London Business School and INSEAD http://www.seasholes.com/ Title: TIME VARIATION IN LIQUIDITY: THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES Abstract: We use an 11-year panel of NYSE specialist inventory positions and revenues to study two aspects of financial markets: stock price reversals (temporary mispricings) and liquidity. Understanding when stocks are mispriced and when liquidity is drying up is of key importance to asset managers. We show that as stock prices go up, market-makers sell. As stock prices fall, market-makers buy. Market-makers are compensated for taking on risky positions via stock price reversals. Sorting stocks based on inventory positions predict reversals of 33 basis points over the following week and 45 basis points over the following two weeks. Sorting stocks by current returns and inventory positions can predict reversals of over 85 basis points per week. Combining inventory positions with NYSE specialist revenues allows us to predict liquidity (at the market-level) at a daily frequency. As prices fall, market-makers lose money on current positions. They also increase positions and thus risk. The net result is that market-makers are less willing to provide liquidity. Our tests are done at both the market-level and at the specialist firm level. Our results suggest an important role for market makers' financial positions in explaining the time variation of liquidity. About Mark Seasholes: Mark Seasholes is an Assistant Professor of Finance. He received his BA from Wesleyan University and his AM and PhD degrees from Harvard University. Mark's research focuses on investor behavior around the world. He has written on cross-border equity investments, herding behavior of individual investors, and loss aversion. Current work focuses on the role and pricing of liquidity. One project looks at the systematic liquidity demands of individual investors. A second project studies NYSE specialist inventories (a measure of liquidity provided to the market). Mark studied physics at Wesleyan University. After graduating from college, he spent a number of years working on Wall Street and in the emerging markets of East/Central Europe. He has completed a valuation project in Honduras, helped with the Lloyds of London restructuring, and given a series of lectures in the People's Republic of China. Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to 2007 where he won teaching awards in three programs: Daytime MBA, Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to teach in Executive Education programs where he receives top ratings. 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 seminar: Alexander Wagner and Jeffrey Zwiebel
by Youchang Wu 08 Jan '08

08 Jan '08

There will be two VGSF research seminars on January 11 at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna: Seminar 1 (14:00-15:30) Speaker: Alexander Wagner (University of Zurich) Topic: The Executive Turnover Risk Premium Seminar 2 (16:00-17:30) Speaker: Jeffrey Zwiebel (Stanford University) Topic: Executive Pay, Hidden Compensation, and Managerial Entrenchment Both papers can be downloaded from the VGSF homepage (Activities & Events--> Research Seminars). The abstracts are attached below. Alexander and Jeff will visit VGSF on Friday (Jan 11) morning. If you would like to meet them at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Abstract 1: Executive compensation has increased dramatically over the past 15 years, but so has forced CEO turnover. Previous research shows that fired CEOs do poorly later on in their careers and some forfeit their previous compensation. We argue that these adverse consequences of forced turnover explain part of the secular rise and cross-sectional variation of CEO pay. We fnd a large premium for exogenous turnover risk for the CEOs of the largest US corporations for the years 1993-2001: a one-percentage point increase in the probability of involuntary turnover is associated with about 10 percent more in terms of risk-neutral compensation. We show that this relation is unlikely to be driven by reverse causation or a general tendency towards stronger performance sensitivity of both pay and turnover. Abstract 2: We consider a "managerial optimal" framework for top executive compensation, where top management sets their own compensation subject to limited entrenchment, instead of the conventional setting where such compensation is set by a board that maximizes firm value. Top management would like to pay themselves as much as possible, but are constrained by the need to ensure sucient effciency to avoid a replacement. Shareholders can remove a manager, but only at a cost, and will therefore only do so if the anticipated future value of the manager (given by anticipated future performance net of future compensation) falls short of that of a replacement by this replacement cost. In this setting, observable compensation (salary) and hidden compensation (perks, pet projects, pensions, etc.) serve different roles for management and have different costs, and both are used in equilibrium. We examine the relationship between observable and hidden compensation and other variables in a dynamic model, and derive a number of unique predictions regarding these two types of pay. We then test these implications and find results that generally support the predictions of our model.

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[VFN] Call for Research Proposals for the 2nd Annual GARP Risk Management Research Program
by Eugen Puschkarski 27 Dec '07

27 Dec '07

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/ )

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[VFN] OeAW: Paul Embrechts: Quantitative Risk Management
by Andreas Schamanek * VFN-L admin 21 Dec '07

21 Dec '07

---------- 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.pdf http://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

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[VFN] VGSF research seminar:prof. Sheridan Titman
by Youchang Wu 10 Dec '07

10 Dec '07

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.

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[VFN] Habilitationskolloquium Dr. Markus SCHWAIGER
by Brigitte Krammer 10 Dec '07

10 Dec '07

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 ===================================================

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[VFN] Visiting Professorship in Finance
by Andrea Gaunersdorfer 07 Dec '07

07 Dec '07

Dear colleagues, the Faculty of Faculty of Business, Economics and Statistics at the University of Vienna invites applications for a Visiting Professorship in Finance. For further information please visit http://personalabteilung.univie.ac.at/index.php?id=11879&no_cache=1 (German) or http://personalabteilung.univie.ac.at/index.php?id=11960 (English) Sincerely, Andrea Gaunersdorfer

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[VFN] VGSF research seminar: prof. Kristian Miltersen
by Youchang Wu 05 Dec '07

05 Dec '07

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.

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[VFN] Reminder:Dec. 13th: Public Lecture with Michael Brandt: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT: CREDIT QUALITY OR LIQUIDITY?
by Gutmann Center-D.Grimm 04 Dec '07

04 Dec '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] GARP Austrian chapter meeting Monday, December 17th, 2007
by Eugen Puschkarski 29 Nov '07

29 Nov '07

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 ______________________________________________________________

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[VFN] VGSF reasearch workshop: Vikram Nanda
by Youchang Wu 28 Nov '07

28 Nov '07

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.

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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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[VFN] Stellenausschreibungen FH des bfi Wien
by Cech, Christian 16 Oct '07

16 Oct '07

Sehr geehrte Damen und Herren, an der Fachhochschule des bfi Wien sind folgende beiden Stellen ausgeschrieben: - StudiengangsleiterIn FH Studiengang "Bank- und Finanzwirtschaft" - FH-Lektor/in für Corporate Finance Details untenstehend. StudiengangsleiterIn FH Studiengang "Bank- und Finanzwirtschaft", ================================================================ Vollzeitdienstverhältnis ab 1. Februar 2008 Ihre Aufgaben: - Leitung des Studiengangs - Funktionswahrnehmung in Beachtung des FHStG - Lehrtätigkeit - Durchführung von anwendungsbezogener Forschung - Auswahl und Koordination des Lehrpersonals - Qualitative Weiterentwicklung des Studiengangs - Internationalisierungsaktivitäten - Wahrnehmung von Firmenkontakten Ihr Profil: - Abgeschlossenes Hochschulstudium (Diplom/Mag. oder Dr. ) in einem für den Studiengang relevanten Fachbereich - Pädagogisch-didaktische Fähigkeiten, mehrjährige Lehrtätigkeit im Hochschulbereich oder in der Erwachsenenbildung - Forschungskompetenz (Nachweis von Veröffentlichungen/Projekten) - Mehrjährige Berufserfahrung in Managementfunktionen - Sehr gute Kontakte zu Unternehmen des Geld- und Kreditsektors - Sehr gute Englischkenntnisse - Kenntnisse und Erfahrungen im Projektmanagement - Sozialkompetenz, Teamorientierung und Belastbarkeit Unser Angebot: - Verantwortungsvolle Führungsposition in expandierendem Unternehmen - Teamorientiertes Arbeitsumfeld - Verleihung des Titels Prof. (FH) nach zwei Jahren erfolgreicher Tätigkeit möglich Die Fachhochschule des bfi Wien strebt eine Erhöhung des Anteils von Frauen am wissenschaftlichen Personal und in Leitungsfunktionen an. Sie lädt daher qualifizierte Damen zur Bewerbung ein. Ihre schriftliche Bewerbung richten Sie bis 25. Oktober 2007 an: Fachhochschule des bfi Wien GmbH, Wohlmutstraße 22, 1020 Wien, Telefon-Nr. 720 12 86, Fax.-Nr. 720 12 86-19 E-Mail: info(a)fh-vie.ac.at, Homepage: www.fh-vie.ac.at **************************************************************************** FH-LektorIn für Corporate Finance ================================== in Fachhochschul-Studiengängen für Vollzeit- und berufsbegleitend Studierende Vollzeitdienstverhältnis ab 1. Februar 2008 Ihre Aufgaben: - Lehrtätigkeit in den Bereichen Corporate Finance und Finanzmarktlehre/Statistik unter Anwendung moderner Lehr- u. Lernformen - Leitung des studiengangsübergreifenden Fachbereichs "Corporate Finance" - Mitarbeit in anwendungsbezogenen Forschungsprojekten sowie einschlägige Publikationstätigkeit - Betreuung von Seminar-, Bachelor- und Diplom/Master-Arbeiten - Mitwirkung bei Entwicklungsprojekten und Ausbildungsprogrammen Ihr Profil: - Akademischer Abschluss (Mag., Master oder Dr.) - Teamfähigkeit, Belastbarkeit und Genderkompetenz - 3 - 5 -jährige Berufserfahrung erwünscht (davon 2 Jahre mit außeruniversitärer Tätigkeit) - Lehrerfahrung an Universität, Fachhochschule oder sonstiger Erwachsenenbildung - Sehr gute Englischkenntnisse in Wort und Schrift - Sehr gute Kenntnisse in MS-Office (Word, Excel, Powerpoint) Unser Angebot: - Verantwortungsvolle Position in expandierendem Unternehmen - Teamorientiertes Arbeitsumfeld - Verleihung des Titels Prof. (FH) nach zwei Jahren erfolgreicher Tätigkeit möglich Die Fachhochschule des bfi Wien strebt eine Erhöhung des Anteils von Frauen am wissenschaftlichen Personal und in Leitungsfunktionen an. Sie lädt daher qualifizierte Damen zur Bewerbung ein. Ihre schriftliche Bewerbung richten Sie bis 16. November 2007 an: Fachhochschule des bfi Wien GmbH, Wohlmutstraße 22, 1020 Wien, Telefon-Nr. 720 12 86, Fax.-Nr. 720 12 86-19 E-Mail: info(a)fh-vie.ac.at, Homepage: www.fh-vie.ac.at **************************************************************************** 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

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[VFN] research workshop: Andrea Eisfeldt
by Youchang Wu 14 Oct '07

14 Oct '07

Professor Andrea Eisfeldt from Northwestern University is giving a VGSF research seminar on "Financing Shortfalls and the Value of Aggregate Liquidity " on October 19 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Eisfeldt is going to visit BWZ from October 15 to 19. If you would like to meet him at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu This paper studies the level and dynamics of the value of aggregate liquidity induced by firms’ financing shortfalls. We model liquidity and cash flows as internal funds available for investment in an economy where external funds are costly. We study whether the use of liquidity to hedge investment opportunities can generate substantial liquidity premia with empirically observed countercyclical properties, and show how firms’ financial positions affect the value of aggregate liquidity. Cash flows affect the “natural supply” of liquidity and are procyclical. Thus, we argue that shortfalls between firms’ financing needs and available liquid funds are more likely to occur in bad times when current cash flows are low, rendering liquidity premia countercyclical. We investigate the relationship between such shortfalls and the value of aggregate liquidity empirically using US Flow of Funds and Compustat data.

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[VFN] Stellen fuer wissenschaftliche Mitarbeiter (fwd)
by VFN-L admin * Andreas Schamanek 09 Oct '07

09 Oct '07

---------- Forwarded message ---------- Date: Tue, 09 Oct 2007 10:19:23 +0200 From: Gertrude Seidelmann <gertrude.seidelmann(a)wu-wien.ac.at> To: vfn-l(a)fam.tuwien.ac.at Subject: Stellen für wissenschaftliche Mitarbeiter Sehr geehrte Damen und Herren, am Institut für Betriebswirtschaftslehre des Außenhandels der Wirtschaftsuniversität Wien sind zwei Assistentenstellen ausgeschrieben. Ich ersuche Sie, die Veröffentlichung aus dem Mitteilungsblatt der Wirtschaftsuniversität auch über Ihren Newsletter zu verschicken: Im Institut für Betriebswirtschaft des Außenhandels sind voraussichtlich ab 5. November 2007 bis 4. November 2011 zwei Stellen für wissenschaftliche MitarbeiterInnen (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 Erwünschte Kenntnisse und Qualifikationen: Fundierte Kenntnisse im Bereich der BWL des Außenhandels (facheinschlägige wissenschaftliche Arbeiten (Diplomarbeit) und/oder praktische Erfahrungen) mit dem Fokus ?Finanzierung und Risikoabsicherung im Auslandsgeschäft?, überdurchschnittlicher Studienerfolg, Fremdsprachenkenntnisse, pädagogische Eignung, Bereitschaft zur Mitarbeit in der Lehre in den neuen Studienangeboten sowie in der Institutsadministration, Stressresistenz, Flexibilität und hohe Selbstmotivation Kennzahl: 91848 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) 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: 24. Oktober 2007 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt Herzlichen Dank im Voraus! Mit freundlichen Grüßen Gertrude Seidelmann Gertrude Seidelmann Institut für BWL des Außenhandels Wirtschaftsuniversität Wien Althanstraße 51 A 1090 Wien P +43 1 31336-4371 F +43 1 31336-751 http://www.wu-wien.ac.at/auha

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[VFN] VGSF research workshop: Felix Meschke
by Youchang Wu 08 Oct '07

08 Oct '07

Professor Felix Meschke from University of Minnesota is giving a VGSF research seminar on "The Rise and Fall of Portfolio Pumping Among U.S. Mutual Funds" on October 12 (Friday, 15:30-17:00), at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Meschke is going to visit BWZ in the morning of Oct 12. If you would like to meet him at BWZ on Oct 12, please let me know as soon as possible. Kind regards, Youchang Wu We construct a new measure that tightens the link between stock return patterns around quarter- ends and the likelihood that these patterns result from mutual fund portfolio pumping. Both the level and the concentration of mutual fund ownership explain temporary stock price increases at the end of the quarter. We show that pumping is particularly pronounced among the best- and worst-performing funds and document a distinctive increase in this activity during the 1997-2001 period. The sharp decrease in portfolio pumping after 2001 is most likely due to academic and media attention that spawned investor activism and SEC enforcement actions. These changes in regulatory attention and scrutiny markedly affected the behavior of mutual fund managers.

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[VFN] VGSF research seminar: Gordon Phillips
by Youchang Wu 01 Oct '07

01 Oct '07

Professor Gordon Phillips from University of Maryland is giving a VGSF research seminar on "Real and Financial Industry Booms and Busts" on October 5 (Friday, 15:30-17:00), at Institute for Advanced Studies(SZ VI),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Phillips is going to visit BWZ in the afternoon of Oct 10. If you would like to meet him at BWZ on Oct 10, please let me know as soon as possible. Kind regards, Youchang Wu We examine how industry valuation and product market competition affect firm cash flows and stock returns. In competitive industries we find that operating cash flows and stock returns decrease with industry-level stock-market valuation, investment and new financing. We find weak and generally insignificant results in concentrated industries. In competitive industries, firms in the most highly valued industry quintile have abnormal stock returns that are four percentage points lower than those in the least valuable industry quintile. Overall our results are consistent with a small probability of a new era of very high subsequent growth, or high competition among firms that affects both industry cash flows and stock prices in competitive industries.

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[VFN] VGSF research seminar: adlai Fisher
by Youchang Wu 03 Sep '07

03 Sep '07

Adlai Fisher from University of British Columbia is giving a VGSF research seminar on "Conditional Risk, Overconditioning, and the Performance of Momentum Strategies" on September 7, Friday, from 15:30 to 17:00, at HS 3, BWZ, Bruennerstrasse 72, A-1210 Vienna. See the VGSF webpage (Activities & Events--> Research Seminars) for a map of the location, and the paper to be presented. The abstract of the paper is attached below. Best, Youchang Abstract: Recent empirical studies evaluate the performance of investment strategies using contemporaneously measured loadings to proxy for conditional risk. We demonstrate that such procedures lead to potentially large biases in alpha when payoffs are nonlinear. We combine lagged portfolio and component realized betas with standard instruments to improve performance analysis, and .nd that conditioning information reduces momentum alphas by 20-40% relative to unconditional estimates. Overconditioned alphas are up to 2:5 times larger than appropriately conditioned measures.

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[VFN] CfP: Conference on Finance, Stochastics and Insurance, Bonn, 2008 (fwd)
by VFN-L admin * Andreas Schamanek 21 Jul '07

21 Jul '07

---------- Forwarded message ---------- Date: Fri, 20 Jul 2007 08:01:17 +0200 (CEST) From: kraft(a)mathematik.uni-kl.de CALL FOR PAPERS CONFERENCE ON FINANCE, STOCHASTICS AND INSURANCE FEBRUARY 25TH - 29TH 2008 HAUSDORFF RESEARCH INSTITUTE FOR MATHEMATICS (HIM) UNIVERSITY OF BONN, GERMANY TOPIC: The conference will bring together current research in mathematical finance namely on the development of a new generation of risk measures (e.g. "coherent risk measures", "theory of no good deals"), on the arbitrage pricing theory including pricing and hedging of complex financial derivative and on the risk management of long term insurance contracts. Related topics are the discussion of reforms of solvency requirements for financial institutions, the development of asset pricing theory in incomplete financial markets and new approaches to financial regulation. ORGANIZERS: Holger Kraft (University of Kaiserslautern, Germany), Kristian R. Miltersen (NHH, Bergen) J. Aase Nielsen (University of Aarhus, Denmark), Klaus Sandmann (University of Bonn, Germany) INVITED SPEAKERS: Fred Espen Benth (University of Oslo, Norway), Freddy Delbean (ETH, Zürich, Switzerland), Ralf Korn (University of Kaiserslautern, Germany), David Lando (Business School Copenhagen, Denmark), Mogens Steffensen (University of Copenhagen, Denmark), Rudi Zagst (University of Munich, Germany) PAPERS: Authors wishing to present a paper should send two copies of the paper with a short abstract (to be included in the program) to Klaus Sandmann ELECTRONIC SUBMISSION TO: k.sandmann(a)uni-bonn.de Submission of pdf format is required. Accepted papers will be made available to download from the conference page. DEADLINE FOR SUBMISSIONS: November 1. 2007 Acceptance: December 1. 2007 -- ******************************************** Dr. Holger Kraft Assistant Professor for Mathematical Finance Department of Mathematics Mathematical Finance Group University of Kaiserslautern www.mathematik.uni-kl.de/~kraft ********************************************

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[VFN] SHORT-TERM REMINDER: DOUBLE VGSF Research Seminar on Wednesday, June 27th, by David Hirshleifer and Siew Hong Teoh
by Michael Halling 27 Jun '07

27 Jun '07

David Hirshleifer and Siew Hong Teoh from UC Irvine are giving two VGSF research seminars on "Stock Market Misvaluation and Corporate Investment" and "Driven to Distraction: Extraneous Events and Underreaction to Earnings News" on WEDNESDAY, June 27th, from 14:00 to 15:30 and 15:45 to 17:15 in SR 2 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research Seminars) for a map of the location and the papers to download. Please find the papers' abstracts below. Best, Michael Halling Abstract:"Stock Market Misvaluation and Corporate Investment" This paper explores whether and why misvaluation affects corporate investment by comparing tangible and intangible investments; and by using a price-based misevaluation proxy that filters out scale and earnings growth prospects. Capital, and especially R&D expenditures increase with overpricing; but only among overvalued firms. Misvaluation affects investment both directly (catering) and through equity issuance. The sensitivity of capital expenditures to misvaluation is stronger among financially constrained firms; for R&D this differential is strong and in the opposite direction. We identify several other factors that influence the strength of misvaluation effects on investment. Generally the equity channel reinforces direct catering, suggesting that the two are complementary. Overall, our evidence supports several implications of the misvaluation hypothesis for the tangible and intangible components of investment. Abstract: "Driven to Distraction: Extraneous Events and Underreaction to Earnings News" Psychological evidence indicates that it is hard to process multiple stimuli and perform multiple tasks at the same time. This paper tests the investor distraction hypothesis, which holds that the arrival of extraneous news causes trading and market prices to react sluggishly to relevant news about a firm. Our test focuses on the competition for investor attention between a firm's earnings announcements and the earnings announcements of other firms. We find that the immediate stock price and volume reaction to a firm's earnings surprise is weaker, and post-earnings announcement drift is stronger, when a greater number of earnings announcements by other firms are made on the same day. Distracting news has a stronger effect on firms that receive positive than negative earnings surprises. Industry-unrelated news has a stronger distracting effect than related news. A trading strategy that exploits post-earnings announcement drift is unprofitable for announcements made on days with little competing news.

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[VFN] EMNet 2007 - Rotterdam, June 28 - 30
by Josef Windsperger 25 Jun '07

25 Jun '07

Dear colleague, you will find the final program for the EMNet 2007 at the RSM, Erasmus University Rotterdam, under the following link: http://www.univie.ac.at/EMNET/2007/index2007.html Best regards, George Hendrikse (RSM) Josef Windsperger

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[VFN] Reminder: June 26th Public Lecture with David Hirshleifer "A Tour of Behavioral Finance"
by Gutmann Center-D.Grimm 22 Jun '07

22 Jun '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: June 26th, 2007, 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine http://web.merage.uci.edu/~Hirshleifer/ Title: A TOUR OF BEHAVIORAL FINANCE Abstract: Using classical tools, the behavioral revolution in finance has laid the groundwork for a new asset pricing paradigm based upon the psychology of investors. In this approach, security expected returns are determined by both risk and mispricing. In this overview of psychology and asset pricing, I describe how psychological bias affects investor decisions and market prices. I illustrate with examples of how feelings, limited attention, and overconfidence affect financial markets. About David Hirshleifer: David Hirshleifer is Professor of Finance and Merage Chair in Business Growth at the Merage School of Business, University of California-Irvine, which he joined after serving as the Kurtz Chair in Finance at Ohio State University, the Waterman Professor of Finance at the University of Michigan, and as a tenured faculty member at UCLA. Some of his recent research has explored psychology and securities markets, how emotions affect stock prices and managerial decision biases, and how firms exploit market inefficiency. He has also conducted research on risk management, corporate finance, futures pricing, and the role of social learning in the spread of fads and fashions. His research has been profiled in international news media, and has won several awards, including the Smith-Breeden Award for outstanding paper in the Journal of Finance. Professor Hirshleifer has served as a consultant for securities and money management firms; as editor of the Review of Financial Studies; as associate editor of the Journal of Finance; in editorial positions at several other finance, economics, and strategy journals; and as director of the American Finance Association and the Western Finance Association. 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] Ausschreibung Professur Empirische Finanzmarktforschung
by Michael Hanke 21 Jun '07

21 Jun '07

Am Institut für Banken und Finanzen ist die neu eingerichtete Professur für Empirische Finanzmarktforschung zur Besetzung ausgeschrieben: http://www.uibk.ac.at/ibf/aktuelles/ausschreibungek.pdf Bitte auch um Weiterleitung an möglicherweise interessierte Kollegen! Beste Grüße aus Innsbruck, Michael Hanke -- Prof. Dr. Michael Hanke University of Innsbruck Department of Banking and Finance Universitaetsstrasse 15 6020 Innsbruck, Austria Phone: +43 512 5077552, Fax: +43 512 5072846

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[VFN] Conference Adv. Math. Methods for Finance, Sept. 17-22, 2007, Vienna
by Uwe Schmock 19 Jun '07

19 Jun '07

Second Announcement +-----------------------------------------------+ | Workshop and Mid-Term Conference on | | Advanced Mathematical Methods for Finance | | (AMaMeF), September 17-22, 2007 | | <http://www.fam.tuwien.ac.at/amamef2007/> | +-----------------------------------------------+ organized by PRisMa Lab and FAM @ TU Vienna Location: Vienna University of Technology Wiedner Hauptstr. 8-10 1040 Vienna, Austria (travel grants available!) Scientific Program: Mo, Sep. 17th: Educational workshop (Speakers: Ernst Eberlein, Lane P. Hughston, Michèle Vanmaele) Tu, Sep. 18th: Scientific conference We, Sep. 19th: Scientific conference Tu, Sep. 20th: Scientific conference Fr, Sep. 21st: Practitioner's day Sa, Sep. 22nd: Scientific conference (half day) Invited Speakers (confirmed): - Ole E. Barndorff-Nielsen (University of Aarhus) "Noise, jumps and other annoyances - or delights" - Tomas Björk (Stockholm School of Economics) "Optimal investments under partial information" - Freddy Delbaen (ETH Zürich) "Monetary time consistent utility functions and the viscous Hamilton-Jacobi quasi-linear PDE" - Giulia Di Nunno (University of Oslo) "Events of small but positive probability and a version of the fundamental theorem of asset pricing" - Ernst Eberlein (Universität Freiburg) "Lévy driven equity, FX- and interest rate models" - Damir Filipovic (LMU München) - "tba" - Lane P. Hughston (King's College London) "Information-based asset pricing" - Ioannis Karatzas (Columbia University) "Stochastic portfolio theory: a survey" - Claudia Klüppelberg (TU München) "The continuous-time GARCH model" - Dmitry Kramkov (Carnegie Mellon University) - "tba" - Damien Lamberton (Université de Marne-la-Vallée) "Optimal stopping problems with irregular payoff functions" - Marek Musiela (BNP Paribas, London) - "tba" - Bernt Øksendal (University of Oslo) "Optimal portfolio for an insider in a strategic market equilibrium" - Chris Rogers (University of Cambridge) - "tba" - Wolfgang Runggaldier (Università degli Studi di Padova) "Contagious default: application of methods of statistical mechanics in finance" - Peter Schaller (Bank Austria Creditanstalt) "Consistent incorporation of statistical uncertainties into quantile estimates" - Christoph Schwab (ETH Zürich) "Numerical derivative pricing in non-BS markets" - Martin Schweizer (ETH Zürich) "Modelling option prices" - Mete Soner (Koc University Istanbul) - "tba" - Lukasz Stettner (Polish Academy of Sciences) "Portfolio selection with transaction costs, decision lag and execution delay" - Eva Strasser (JP Morgan) "Correlation modelling in equity derivatives" - Esko Valkeila (Helsinki University of Technology) "Approximation of geometric fractional Brownian motion" - Michèle Vanmaele (Universiteit Gent) "Comonotonicity applied in finance" - Constantin Varsan (Romanian Academy, Bucharest) "Asymptotic behaviour of piece-wise continuous solutions of S.D.E." - Thaleia Zariphopoulou (University of Texas) "Investment performance measurement, risk tolerance and optimal portfolio choice" Some Contributed Talks: - Giovanni Barone-Adesi (University of Lugano) "Barrier option pricing using adjusted transition probabilities" - Pavel Grigoriev (University of Leicester) "Kusuoka's formula for dynamic risk measures" - Laszlo Gyorfi (Budapest University) "Growth-optimal portfolio selection strategies with transaction costs" - Ludger Overbeck (Universität Giessen) "Risk measures for structured credit products" - Georg Pflug (Universität Wien) "Pricing of swing options and stochastic games" - Robert Stelzer (TU München) "Multivariate continuous time Lévy-driven GARCH processes" - Uwe Wystup (Mathfinance AG) "Closed-form exotic option pricing in the Heston model" For abstracts and updates see http://www.fam.tuwien.ac.at/amamef2007/abstracts.php Contributed Talks: You may apply to give a talk by sending an email to the conference secretary (see below). Please include the title and an abstract. The deadline to apply is June, 30th. The organizing committee tries to answer as soon as possible, but please understand that they can't immediately decide whether your talk is accepted or not. Poster Presentations: There is the possibility of poster presentations. Please apply the same way as for contributed talks. The deadline for applications is June, 30th. Grants for Ph.D. students and young PostDocs: Thanks to the AMaMeF program, we have several travel grants available covering the conference fee and up to ¤ 400,- for travel and accommodation. These are available for Ph.D. students and young postdocs. To apply for one of these grants, please send a current curriculum vitae (including a short description of your current research) to the conference secretary. The deadline for applications is June, 30th. There is a strong preference for applicants who give a talk or a poster presentation. Conference Secretary: Mr. Christian Gawrilowicz (FAM @ TU Vienna) Phone: +43-1-58801-10511 E-mail: secr(a)fam.tuwien.ac.at Organizing Committee: - Peter Grandits - Friedrich Hubalek - Reinhold Kainhofer - Johannes Leitner - Walter Schachermayer - Uwe Schmock For registration details, conference fees, etc., please visit the conference web site at <http://www.fam.tuwien.ac.at/amamef2007/>, which will be updated continuously. We are looking forward to welcome you in Vienna! On behalf of the Organizing Committee, Uwe Schmock Prof. Dr. Uwe Schmock Institute for Mathematical Methods in Economics Research Unit: Financial and Actuarial Mathematics Vienna University of Technology Wiedner Hauptstrasse 8-10/105-1 A-1040 Vienna Austria Financial and Actuarial Mathematics (FAM) at TU Vienna <http://www.fam.tuwien.ac.at/> CD-Laboratory for Portfolio Risk Management (PRisMa Lab) <http://www.prismalab.at/>

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[VFN] VGSF Research Seminar on Friday, June 22nd, by Richard Stanton
by Michael Halling 18 Jun '07

18 Jun '07

Richard Stanton from UC Berkeley is giving a VGSF research seminar on "Optimal Exercise of Executive Stock Options and Implications for Firm Cost" on FRIDAY, June 22nd, 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. Please contact Youchang Wu if you would like to meet and discuss your research with Richard. Best, Michael Halling Abstract The cost of executive stock options has become a focus of investor attention. The difficulty is that option cost depends on the exercise policies of executives. This paper analyzes the optimal policy for a general utility-maximizing executive holding a nontransferable option. We show analytically how the policy varies with risk aversion, wealth, and dividend rate, and when the policy is characterized by a single stock price boundary. We also provide an example with a split continuation region. In CRRA examples, option value decreases with risk aversion, increases with wealth, increases with outside hedging opportunities, but can actually decline with volatility.

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[VFN] Assistant Professor Position, Kennzahl: 37573/MB
by Martina Schlichting 15 Jun '07

15 Jun '07

*The Finance Department of the University of Vienna invites Applications for an Assistant Professor Position* (Universitätsassistent) *Department of Finance,* Faculty of Economics and Business Administration (O. Univ.-Prof. Dr. Josef Zechner) *Location:* Vienna, Austria The position is available starting in July 2007. The duration of the employment contract is six years. Applicants should have high research potential and must have completed their doctoral degree. Applications are invited in all fields of Finance. The successful candidate is expected to take an active role in the department's research activities, engage in joint research projects, interact with seminar speakers and visiting faculty and contribute to the doctoral programme, the Vienna Graduated School of Finance. Teaching responsibilities are limited to 3 class room hours per week per semester. The teaching language will be English. Finance as one of our faculty's strategic areas of development for research and teaching activities. Through its successful track record in this area, the University of Vienna hopes to attract candidates with international exposure who are willing to contribute to its development as a strong centre for academic research in Finance. The University of Vienna is an Equal Opportunity Employer. Women are encouraged to apply. *Applications/Contact Details* Applicants should submit their application before June 24, 2007 to Universität Wien Personalabteilung Kennzahl: 37573/MB Dr.-Karl-Lueger-Ring 1 A-1010 Wien. Further informations are available at <http://personalabteilung.univie.ac.at/index.php?id=job>.

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[VFN] 22. Workshop der AWG in Innsbruck, 23. & 24. November 2007
by office＠bwg.at 12 Jun '07

12 Jun '07

22. Workshop der Austrian Working Group on Banking and Finance Das Institut für Banken und Finanzen (o. Univ.-Prof. Dr. M. Bank, CFA / a.o. Univ.-Prof. Dr. M. Hanke / o. Univ.-Prof. Dr. K. Schredelseker) an der Leopold-Franzens-Universität Innsbruck veranstaltet gemeinsam mit der Österreichischen Bankwissenschaftlichen Gesellschaft am 23. und 24. November 2007 in Innsbruck den 22. Workshop der Austrian Working Group on Banking and Finance Der Workshop findet am Freitag, dem 23. November 2007, nachmittags, und am Samstag, dem 24. November 2007, vormittags, an der Leopold-Franzens-Universität Innsbruck statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. First CALL for PAPERS Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 12. Oktober 2007 bei o. Univ.-Prof. Dr. M. Bank, CFA, Leopold-Franzens-Universität Innsbruck, Institut für betriebliche Finanzwirtschaft, Hypo Tirol Stiftungsprofessur für Banking & Finance, A-6020 Innsbruck, Universitätsstraße 15, oder e-mail: banken-finanzen(a)uibk.ac.at, eingereicht werden. Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 1. Oktober 2007 einzureichen. Der Call for Papers kann als pdf unter http://www.bwg.at/bwg2/bwg.nsf/Menue/1.4 abgerufen werden.

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[VFN] Invitation: June 26th - Public Lecture with David Hirshleifer "A Tour of Behavioral Finance"
by Gutmann Center-D.Grimm 11 Jun '07

11 Jun '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: June 26th, 2007, 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine http://web.merage.uci.edu/~Hirshleifer/ Title: A TOUR OF BEHAVIORAL FINANCE Abstract: Using classical tools, the behavioral revolution in finance has laid the groundwork for a new asset pricing paradigm based upon the psychology of investors. In this approach, security expected returns are determined by both risk and mispricing. In this overview of psychology and asset pricing, I describe how psychological bias affects investor decisions and market prices. I illustrate with examples of how feelings, limited attention, and overconfidence affect financial markets. About David Hirshleifer: David Hirshleifer is Professor of Finance and Merage Chair in Business Growth at the Merage School of Business, University of California-Irvine, which he joined after serving as the Kurtz Chair in Finance at Ohio State University, the Waterman Professor of Finance at the University of Michigan, and as a tenured faculty member at UCLA. Some of his recent research has explored psychology and securities markets, how emotions affect stock prices and managerial decision biases, and how firms exploit market inefficiency. He has also conducted research on risk management, corporate finance, futures pricing, and the role of social learning in the spread of fads and fashions. His research has been profiled in international news media, and has won several awards, including the Smith-Breeden Award for outstanding paper in the Journal of Finance. Professor Hirshleifer has served as a consultant for securities and money management firms; as editor of the Review of Financial Studies; as associate editor of the Journal of Finance; in editorial positions at several other finance, economics, and strategy journals; and as director of the American Finance Association and the Western Finance Association. 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] 3rd Annual CARISMA Seminar on Program Trading Techniques and Financial Models for Hedge Funds
by Xiaochen Sun 25 May '07

25 May '07

{Apologise for cross-sending.} Dear Colleagues, On behalf of Professor Gautam Mitra, CARISMA, we are pleased to announce the forthcoming events on Program Trading and Hedge Funds. Please find the details below (or request PDF brochures for both conference and workshops by email to mapgxcs(a)brunel.ac.uk / info(a)unicom.co.uk ). We are also delighted to announce that ALL STUDENTS and ACADEMIC RESEARCHERS WILL BENEFIT THE EARLY BIRD RATE, besides that there are some discounts for group booking. We would appreciate if you could distribute this message to those colleagues who are interested in this topic. Program Trading Techniques and Financial Models for Hedge Funds: 3rd Annual CARISMA Seminar <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> 26 - 27 June 2007, London Related workshops: * Robust Portfolio Optimisation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Daniel Bienstock, Columbia University, 25 June - Half Day * Structuring Step-up CDOs: an Optimization Approach (including models and software demonstration) <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Stanislav Uryasev, University of Florida, and Gautam Mitra, CARISMA & OptiRisk Systems 25 June - Half Day * Great investors and hedge fund managers:their methods and evaluation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - William T Ziemba, University of British Columbia, 25 June * Financial Innovation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Dilip Madan, University of Maryland, and Marek Musiela, BNP Paribas, 28 June 2007 * Algorithmic Decision Making Framework <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Roberto Malamut, SAC Capital Advisors, with guest presentation by Ekaterina Kochieva, CARISMA, 28 June Conference Programme * Day One Continuing Research on Optimal Trade Execution - Daniel Bienstock, Professor of Operations Research, Columbia University A Market Impact Model That Works - Dan diBartolomeo, Northfield Information Services, Inc., and Visiting Professor, CARISMA High Frequency Trading on Equity Market Micro Structure Evolution - M A H Dempster, Centre for Financial Research, Judge Business School University of Cambridge; V Leemans, Goldman Sachs, London Algorithmic Execution: Some future challenges - Gordon Baker, Head, Algorithmic Execution Services, Deutsche Bank Optimal Liquidation Against a Markovian Limit Order Book - Patrick Hewlett, OCIAM, University of Oxford Automated New Content and Algorithmic Trading - Philip Gagner, RavenPack International SL Algorithmic Trading of Hedge Funds - Nicos Christofides, Director, Centre for Quantitative Finance, Imperial College Invitation-only senior executive networking event on the first evening, which will be attended by an additional group of guests * Day Two Theory of Acceptability Indices Applied to Evaluating Hedge Fund Performance - Dilip Madan, University of Maryland Improving Hedge Fund Performance via Multi-Stage Stochastic Programs - John M. Mulvey, Professor of Operations Research, Princeton University Validation of Derivatives Pricing Models - Dario Cziraky, Insightful Independent Components Analysis of Hedge Fund Returns - Andrew Robinson, APT Detection of Momentum Effects Using an Index Out-performance Strategy - N. Meade, Imperial College & J.E. Beasley, CARISMA Portfolio Optimization with Drawdown Constraints - Stan Uryasev, University of Florida, USA, and American Optimal Decisions Algorithmic Decision Making Framework - Roberto Malamut, SAC Capital Advisors For further details please go to http://www.carisma.brunel.ac.uk/newsandinfo.html <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or www.unicom.co.uk/finance <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or email mapgxcs(a)brunel.ac.uk or info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF flier. We look forward to welcoming you to the conference and workshops, please also make your colleagues aware of it. With kind regards Michael Sun ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/> Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Uxbridge, UB8 3PH United Kingdom Email: xiaochen.sun (at) brunel.ac.uk http://optirisk.googlepages.com/ <http://optirisk.googlepages.com/> http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs> Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/> Tel: (+44) (0)1895 265625 Mobile: (+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] VGSF Research Seminar on Friday, May 25th, by Günter Strobl
by Michael Halling 23 May '07

23 May '07

Günter Strobl from the University of North Carolina, Chapel Hill, is giving a VGSF research seminar on "Time-Varying Information Asymmetry and the Disposition Effect" on FRIDAY, May 25th, 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 (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract Economists have long been puzzled by the tendency of investors to sell winning investments too soon and hold losing investments too long. Several behavioral explanations for this phenomenon, known as the disposition effect, have been advanced. This paper demonstrates that the disposition effect is not intrinsically at odds with rational behavior. We present a rational expectations model with asymmetrically informed investors and show that, for some parameterizations, trading strategies as predicted by the disposition effect are in fact an optimal response to dynamic changes in the information structure. We provide conditions under which the disposition effect holds and derive new empirical implications relating it to public news releases, trading volume, and stock price dynamics.

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[VFN] Reminder: Invitation Gutmann Center Symposium 2007 on June 1st
by Gutmann Center-D.Grimm 22 May '07

22 May '07

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 - With copious apologies for duplicated emails! - June 1st, 2007 - 9.00 am - 6.30 pm, University of Vienna (Austria) Aula 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. 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 Chair: Josef Zechner - University of Vienna "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto Discussant: Youchang Wu - University of Vienna "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary Discussant: Thomas Steinberger - University of Vienna "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School Discussant: Alexander David - University of Calgary 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK Chair: Klaus Spremann - University St. Gallen "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam Discussant: Holger Kraft - University of Kaiserslautern "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University Discussant: Stefan Pichler - Wirtschaftsuniversität Wien "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University Discussant: Ashay Kadam - Cass Business School 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: CREDIT RISK MARKETS - OPPORTUNITIES AND CHALLENGES Chair: Engelbert Dockner - University of Vienna Discussants: Joe Biernat - European Credit Management Limited (ECM) Pierre Collin-Dufresne - UC Berkeley/ 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 Chair: Stephen Schaefer - London Business School "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Discussant: Neal Stoughton - University of Calgary "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University Discussant: Thomas Dangl - Vienna University of Technology 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT Chair: Robert Korajczyk - Northwestern University "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft - University of Kaiserslautern Discussant: Helmut Elsinger - University of Vienna "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University Discussant: Otto Randl - Anaxo - refreshments - Participation fee: the participation is free, but all participants are required to register. Contact: Gutmann Center for Portfolio Management University of Vienna - Dorothea Grimm - gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Web: www.gutmann-center.at

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[VFN] VGSF Research Seminar on Friday, May 18th, by Toni M. Whited
by Michael Halling 16 May '07

16 May '07

Toni M. Whited from the University of Wisconsin, Madison, is giving a VGSF research seminar on "The Corporate Propensity to Save" on FRIDAY, May 18th, 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 (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract We study corporate saving in a stochastic, dynamic model of the firm with endogenous choices of external finance, distributions, cash, and investment. Intertemporal trade-offs between costly external finance and interest income taxation determine optimal savings. Unlike static models, our model produces negative propensities to save out of income because firms lower cash reserves to invest after receiving good productivity news, and vice versa. OLS regressions using international data replicate positive saving propensities found previously. However, treating measurement error in Tobin's q produces negative propensities, consistent with our model. Empirically, income uncertainty matters more for saving than the cost of external finance.

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[VFN] Ankündigung:Kolloquium Finanz- und Versicherungsmathematik
by Hermine Panzenböck 10 May '07

10 May '07

Kolloquium Finanz- und Versicherungsmathematik in Theorie und Praxis Ort: TU Graz, Steyrergasse 30, EG, HS AE01 Zeit: 1. Juni 2007 10:00: Eröffnung 10:15: Prof. Dr. Ralf Korn (Univ. Kaiserslautern) Vortragstitel: Dividenden, Inflation und dynamische Mortalität 11:15: Prof. Dr. Wim Schoutens (K.U.Leuven) Vortragstitel: Levy Processes jumping into Credit Risk Mittagspause 14:00: Dr. Jürgen Hartinger (Kärntner Landesversicherung Klagenfurt) Vortragstitel: Solvency II - Aktuarielle Herausforderungen im neuen Aufsichtssystem für Versicherungen 14:35: Mag. Peter Rohrer (Raiffeisen Landesbank Graz) Vortragstitel: Neue Märkte - Chancen und Herausforderungen im Geld- und Kapitalmarktgeschäft am Beispiel der RLB Steiermark 15:10: Dipl. Ing. Mario Kasper (Merkur Versicherung Graz) Vortragstitel: Auswirkungen aktueller rechtlicher Entwicklungen auf die Kalkulation in der Lebensversicherung Kaffeepause 16:15: Dr. Günther Puchtler (Grazer Wechselseitige Versicherung) Vortragstitel: Wirkungen der Lebensversicherung auf die Unternehmensbilanz Organisatoren: R. Tichy, H. Albrecher -- ------------------------------ Institut für Analysis und Computational Number Theory (Math A) Technische Universität Graz Steyrergasse 30 - A-8010

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[VFN] Invitation: May 31st: Gutmann Center Practitioners' Seminar - "The Structural Approach to Credit Risk"
by Gutmann Center-D.Grimm 08 May '07

08 May '07

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

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[VFN] VGSF Research Seminar on Wednesday, May 9th, by Michael Roberts
by Michael Halling 07 May '07

07 May '07

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.

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[VFN] Invitation June 1st: Gutmann Center Symposium on Credit Risk and the Management of Fixed Income Portfolios
by Gutmann Center-D.Grimm 02 May '07

02 May '07

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

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[VFN] VGSF Research Seminar on Friday, April 27th, by Lu Zhang
by Michael Halling 23 Apr '07

23 Apr '07

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.

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[VFN] 2 professorships in finance @ Vienna University of Economics and Business Administration
by VFN-L admin * Andreas Schamanek 18 Apr '07

18 Apr '07

---------- 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.

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[VFN] VGSF Research Seminar on Friday, April 20th, by Massimo Massa
by Michael Halling 18 Apr '07

18 Apr '07

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.

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[VFN] IME2007 2nd CALL FOR PAPER (fwd)
by Walter Schachermayer by way of Andreas Schamanek 27 Mar '07

27 Mar '07

---------- 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

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[VFN] VGSF Research Seminar on Friday, March 30th, by Christopher Hennessy
by Michael Halling 23 Mar '07

23 Mar '07

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.

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[VFN] Reminder: March 27th talk with Christopher Hennessy, Berkeley
by Gutmann Center-D.Grimm 23 Mar '07

23 Mar '07

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

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[VFN] March 27th - Invitation Gutmann Center Public Lecture with Christopher Hennessy, Berkeley
by Gutmann Center-D.Grimm 15 Mar '07

15 Mar '07

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

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