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/>
---------- 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
(...)
---------- 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/
(...)
---------- 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
***
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).
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.
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
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
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)
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
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
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.
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
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/
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/
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/
---------- 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
> 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
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
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.
-------------------------------------------------------------------------------
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).
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
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
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
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
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
---------- 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
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
---------- 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
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.
-------- 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/>
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.
---------- 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/
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.
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.
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.
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
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/>
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)
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
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!
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
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.
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
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.
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.
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
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.
GARP SPONSORS RISK MANAGEMENT RESEARCH
GARP advances practitioner-oriented research in risk management
Contact:
Greg Winsper
Global Association of Risk Professionals
Phone 201.719.7240
Fax 201.222.5022
111 Town Square
Suite 1215
Jersey City, NJ 07310
New York, London; December 17, 2007: The Global Association of Risk
Professionals (GARP: www.garp.com ( http://www.garp.com/ )), a leading
professional Association dedicated to the advancement of the financial
risk profession, announced today a Call for Research Proposals for the
2nd Annual GARP Risk Management Research Program.
The GARP Risk Management Research Program seeks to fund research
projects that offer unique approaches for current global risk management
issues that ultimately bridge the gap between theory and practice. Areas
of particular interest for 2008 include credit risk measurement and
management (particularly focused on mortgages, securitization or
liquidity), risk management in emerging markets and energy risk
management.
A Research Committee made up of risk management practitioners,
academics and researchers will select at least 5 research proposals to
fund in 2008. The Research Committee is co-chaired by Professors René
Stulz of The Ohio State University and Peter Tufano of Harvard
University. Selected research proposals will be notified in May 2008,
and recipients will receive a grant of USD $12,000.
*As a thought-leader in risk management, GARP seeks to support the *new
and noteworthy* in risk management research. Last year we received
proposals from researchers in 13 countries representing the best
research institutions globally, and we expect even greater and broader
participation this year.* states Chris Donohue, PhD, Managing Director
of the GARP Research Center.
GARP will accept research proposals through the end of March 2008.
Additional information on the GARP Risk Management Research Program is
available on the GARP website
at www.garp.com/university/Research.asp.
GARP recently launched other initiatives to advance financial risk
management research. GARP now sponsors the GARP Risk Management Research
Award, presented at the annual meeting of the European Financial
Management Association (EFMA) to an outstanding paper in the field of
financial risk management, and the Best Dissertation in Risk Management
Award, presented at the annual meeting of the Financial Management
Association (FMA).
Recep Bildik, PhD, Senior Researcher in the GARP Research Center,
notes, *These initiatives demonstrate GARP*s commitment to keeping the
academic community engaged in the most relevant topics to risk
management practitioners.*
About GARP Research Center
The GARP Research Center serves as the driving force for
practitioner-oriented research by illuminating future trends and
opportunities, supporting and conducting research, and sharing these
activities with the risk management community around the world. The
Research Center focuses on thought leadership and aims to be a
recognized bridge between the academic research and practitioner
communities. For more information about the GARP Research Center and its
sponsorship of risk management research, please visit
www.garp.com/university/research.asp.
About GARP
The Global Association of Risk Professionals (GARP) is a not-for-profit
independent association of over 67,000 risk mana gement practitioners
and researchers representing banks, investment management firms,
government agencies, academic institutions, and corporations from more
than 167 countries worldwide. It also administers the Financial Risk
Manager (FRM*), the world*s premier certification for the financial risk
professional. GARP*s mission is to be the leading professional
association for risk managers, managed by and for its members dedicated
to the advancement of the risk profession through education, training
and the promotion of best practices globally. www.garp.org (
http://www.garp.org/ )
---------- Forwarded message ----------
Date: Fri, 21 Dec 2007 15:09:36 +0100 (CET)
From: Marianne Baumgart @oeaw.ac.at
Subject: Einladung Embrechts
---------------
EINLADUNG
---------------
zum nächsten Vortrag im Rahmen der Johann Radon Lectures 2007/08
der Österreichischen Akademie der Wissenschaften (ÖAW)
Mittwoch, 9. Jänner 2008, 18:15 Uhr
Österreichische Akademie der Wissenschaften, Festsaal
1010 Wien, Dr. Ignaz Seipel-Platz 2
Paul EMBRECHTS, ETH Zürich
spricht zum Thema
Quantitative Risk Management (QRM) <<
Über Mathematik und Risiko bei Banken und Versicherungen: Auch in der
Welt der Banken und Versicherungen findet sich eine Vielzahl von
Beispielen für den heutigen Drang nach Akronymen. Relevant für diesen
Vortrag sind die folgenden: QRM (Quantitative Risk Management), ERM
(Enterprise Risk Management), GRM (Global Risk Management).
QRM befasst sich mit der Fragestellung der quantitativen Analyse von
Risiken. Aufsichtsrechtliche Gremien sind ein starker Antrieb für
Banken und Versicherungen diese Quantifizierung voran zu treiben. Auf
Basis dieser Analyse wird Risikokapital berechnet um mit hoher
Wahrscheinlichkeit unerwartete Marktereignisse abfangen zu können.
Im Vortrag werden folgende Themen aus dem Bereich des QRM
herausgegriffen: Value-at-Risk, Extremalereignisse,
Abhängigkeitsmodellierung, Risikoaggregation, Operationelles Risiko.
Eine entscheidende Frage für die Praxis ist die Differenzierung
zwischen Finanzrisiken, die sich sinnvoll quantitativ erfassen lassen
und solchen, bei denen ausschließlich eine qualitative Beschreibung
Sinn macht. Neben der quantitativen Messung von Risikozahlen ist auch
ihre Aggregation eine wichtige Aufgabe der QRM, deren Lösung
anspruchsvolle Mathematik erfordert.
Die fundamentale Rolle der Mathematik in den Bereichen der
Preisbestimmung und Absicherung von Finanzderivaten (Optionen,
Kreditderivate, Swops...) ist unbestritten. Die Hauptthese ist, dass
auch bei regulatorischen Fragestellungen aus den Bereichen der Finanz-
und Versicherungsaufsicht die Mathematik nicht weg zu denken ist.
Anhand mehrerer Beispiele wird versucht diese These zu belegen. Ein
wichtiges Korollar ist die Tatsache, dass die Bedeutung von gut
ausgebildeten Studenten aus der angewandten Mathematik für die
Wirtschaft groß bleiben wird. Schlussendlich bieten Fragestellungen
des QRM eine Fülle von äußerst interessanten und anspruchsvollen
Forschungsproblemen.
Moderator:
Walter Schachermayer (TU Wien, ÖAW)
Veranstalter:
ÖAW und Industriellenvereinigung Wien
Weitere Informationen zu den Johann Radon Lectures finden Sie unter:
http://www.oeaw.ac.at/shared/news/2007/info_johann_radon_lectures.html
Folder & Plakat:
http://www.oeaw.ac.at/shared/news/2007/pdf/radon_folder.pdfhttp://www.oeaw.ac.at/shared/news/2007/pdf/radon_plakat.pdf
----------------------------------------------
Dr. Marianne Baumgart
Österreichische Akademie der Wissenschaften
Austrian Academy of Sciences
Öffentlichkeitsarbeit
Public Relations
A-1010 Wien, Dr. Ignaz Seipel-Platz 2
Tel: ++43-1-51581-1219
Fax: ++43-1-51581-1227
http://www.oeaw.ac.at/pr
Sheridan Titman from University of Texas at Austin is giving a VGSF research seminar on "Financial Structure, Liquidity, and Firm Locations" on December 12, Wednesday, from 11:00 to 12:30, at HS 12, BWZ, Bruennerstrasse 72, A-1210 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Please note the special time and location of this seminar!!!
Professor Titman is visiting BWZ on December 10-12. If you would like to talk to him at BWZ, please let me know as soon as possible.
Best,
Youchang
This paper investigates the relation between a firm’s location and its corporate finance
decisions. We develop a simple model where being located within an industry cluster
increases opportunities to make acquisitions, and to facilitate those acquisitions, firms
within clusters maintain more financial slack. Consistent with our model we find that
firms that are located within industry clusters tend to make more acquisitions, and have
lower debt ratios and larger cash balances than their industry peers located outside
clusters. In addition, we document that firms in growing cities and technology centers
also maintain more financial slack. Overall, these findings, which reveal systematic
patterns between geography and corporate finance choices, suggest the importance of
growth opportunities in firms’ financial decisions.
Liebe Kolleginnen und Kollegen!
In meiner Eigenschaft als Vorsitzender der
Habilitationskommission von Herrn Dr. Markus
Schwaiger lade ich Sie sehr herzlich zum
öffentlichen Habilitationsvortrag und Habilitationskolloquium ein.
Der Habilitationsvortrag von Dr. Markus Schwaiger
zum Thema Determinanten der Zinsmargenreduktion
in der europäischen Bankenlandschaft am Beispiel von Lokalbanken findet am
Dienstag, 18. Dezember 2007, um 9.00 Uhr,
im UZA 1, großer Sitzungssaal, Kern D, 2. OG.,
statt.
Das öffentliche Habilitationskolloquium wird im
Anschluss an den Habilitationsvortrag am selben Ort abgehalten.
Mit herzlichen Grüßen
Stefan Bogner eh.
===================================================
Brigitte Krammer
Wirtschaftsuniversität Wien, Vienna University of
Economics and Business Administration
Büro des Senats, Senate Office
Augasse 2-6, A-1090 Wien
Tel: +43 1 31336-5322
Fax: +43 1 31336-792
E-Mail: brigitte.krammer(a)wu-wien.ac.at
===================================================
Professor Kristian Miltersen from Norwegian School of Economics and Business Administration is giving a VGSF research seminar on "REAL OPTIONS WITH UNCERTAIN MATURITY AND COMPETITION" on December 7 (Friday, 15:30-17:00), at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Kristian will visit BWZ on Dec 5-7. If you would like to meet him at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract. We develop a new approach to dealing with real options problems with uncertain maturity. This approach is highly applicable to analyze R&D investments and mine or oil exploration projects. These projects are characterized by signi.cant on-going investment costs until completion. Since time to completion is uncertain, the total investment costs will also be uncertain. Despite the fact that these projects include complicated American abandonment/switching options until completion and European options at completion (because of .xed .nal investment costs) we obtain simple closed form solutions. We apply the framework to situations in which the owner of the project has monopoly rights to the outcome of the project, and to situations in which there are two owners who simultaneously invest, but where only one of them may obtain the rights to the outcome. We expand the real options framework to incorporate game theoretic considerations, including a generalization of mixed strategies to continuous-time models in the form of abandonment intensities.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
The Global Association of Risk Professionals (GARP) is pleased to
announce an Austrian chapter meeting
Monday, December 17th, 2007
Time: 6:00 p.m. * 8:30 p.m.
Vienna University of Technology
Wiedner Hauptstraße 8-10
Green Area, 7th floor, Zeichensaal 3
1040 Vienna
Refreshments
Please invite colleagues who you think would be interested in
attending.
We ask only that they register to attend.
Registration is desired so that we can plan accordingly. Please
register at www.garp.com
Topics:
I. Ex post risk attribution in a value-at-risk framework
Speaker: Eugen Puschkarski (Oesterreichische Nationalbank)
Abstract:
We will first describe a general procedure to decompose time-variation
in Value-at-Risk from one reporting period to the next. Then, using
standard methodology from the field of performance attribution, we
analytically show how the new VaR Risk Attribution Model (RAM) ascribes
these changes to an active trading factor, a market risk changes factor,
a passive time decay factor and a resulting cross-product. With a
slightly simplified version of the RAM, we subsequently demonstrate how
behavioural risk-taking patterns can be detected in practice. We
highlight the relevance of using a RAM for central banks and
subsequently set the presented RAM into the context of existing risk
attribution methods.
Eugen Puschkarski is currently a Risk Manager in the Treasury Division
at Oesterreichische Nationalbank, Vienna, Austria, where he has worked
since 1999. His areas of specialization are Market Risk Measurement,
Quantitative Research on Asset Allocation, Pricing Models and
Econometric Research. Prior to that, he was in charge of Sales and
Support of the Risk Management programs SAILFISH and KONDOR+ in the Risk
Management Division at REUTERS America Inc. He earned his Postgraduate
in Finance at the Center for Central European Financial Markets and
studied International Business Administration at the University of
Vienna, Austria. In 2007 Eugen Puschkarski was appointed as co-director
of GARP chapter Austria.
II. Overview of and personal experience with the FRM exam
III. Discussion
Mag. Eugen Puschkarski
______________________________________________________________
Oesterreichische Nationalbank (Austria's Central Bank)
Treasury - Strategy Division
Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria
Phone (+43-1) 40420-4419
Fax (+43-1) 40420-4499
e-mail: Eugen.Puschkarski(a)oenb.at
http://www.oenb.at
______________________________________________________________
Professor Vikram Nanda from Arizona State University is giving a VGSF
research seminar on "Are Incentive Contracts Rigged by Powerful CEOs?"
on November 30 (Friday, 15:30-17:00), at the Institute for Advanced
Studies(SZ VI), Stumpergasse 56, 1060 Vienna. The paper to be presented
can be downloaded at the VGSF webpage (Activities & Events--> Research
Seminars). The abstract of the paper is attached below.
Vikram will visit BWZ on Nov 30. If you would like to meet him at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
We argue that powerful CEOs extract rents by rigging the incentive part
of their pay. In particular, we
contend that CEOs induce their boards to shift the weight on performance
measures towards the better
performing measures. The intuition is developed in a simple model in
which some powerful CEOs exploit
superior information and lack of transparency in compensation contracts
to extract rents. Our model
delivers several testable implications: (1) powerful CEOs are more
likely to rig their incentive pay; (2)
rigging is expected to increase with CEO human capital intensity and
uncertainty about a firm’s future
prospects; and (3) firm performance is expected be negatively affected
by rigging. Using measures of
CEO power and board independence on a large panel of firms in the U.S.,
we find support for all our
predictions. Rigging accounts for 57% of the sensitivity of compensation
to performance measures and
is increasing in CEO human capital and volatility of a firm’s future
prospects. Moreover, the portion
of incentive pay that is predicted by power is associated with negative
subsequent future profitability
of the order of 1.7% per year (a drop of 39% from the sample mean).
Overall, our empirical evidence
rejects the theory that incentives serve as a substitute for low
monitoring in firms with powerful CEOs,
supporting instead the theory that CEOs with power can skim rents at the
expense of shareholders.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
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.
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
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.
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.
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.
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/>
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]
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.
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
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
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.
---------- 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
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.
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.
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.
---------- 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
********************************************
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.
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
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
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
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/>
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.
*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>.
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.
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
{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
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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.
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
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.
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
The Gutmann Center for Portfolio Management
at the University of Vienna
www.gutmann-center.at
invites to the first
GUTMANN CENTER PRACTITIONERS' SEMINAR
"THE STRUCTURAL APPROACH TO CREDIT RISK"
with: Prof. Dr. Stephen SCHAEFER, London Business School
Date: May 31st (Thursday), 14.00 - 17.30
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(Invitation available as pdf on www.gutmann-center.at!)
On occasion of its 5th annual symposium, the Gutmann Center extends its
bridging activities, bringing together academia and industry, and offers
for the first time a "Gutmann Center Symposium Practitioners' Seminar".
In this half-day workshop designed especially for participants from the
portfolio management industry, Stephen Schaefer from London Business
School provides an introduction to the problem of modeling credit risk,
describes the "structural approach", explains how it works, what its
successes and failures have been and what it has to offer to
practitioners who have to deal with credit risk.
About Stephen Schaefer:
Stephen Schaefer is Professor of Finance at London Business School.
Formerly on the faculty of the Graduate School of Business at Stanford
University, he has also been a visiting professor at the Universities of
British Columbia, California (Berkeley), Cape Town, Chicago and Venice.
He has published widely on fixed income markets, risk management, credit
risk and financial regulation. At London Business School he has been at
various times Research Dean, Chairman of the finance area, Director of
the Institute of Finance and Accounting and a member of the School's
Governing Body.
In his outside academic life, Stephen Schaefer is a Senior Research
Advisor to Moody's KMV, a member of Moody's Academic Research and
Advisory Committee and a Non-Executive Director of Leo Fund Management.
He was formerly an Independent Board Member of the Securities and
Futures Authority and a Trustee-Director of Smith Breeden Mutual Funds.
Program:
14.00-14.15 Welcome
Rudolf Stahl, CEO Bank Gutmann AG
Josef Zechner, University of Vienna and Gutmann Center
14.15-15.30 Introduction to Credit Risk
- What is default?
- How to model default - the main alternatives
- The data
The Structural Approach (Part I)
- The basic idea (Black-Scholes-Merton[BSM])
- Limitations of BSM
15.30-16.00 - Coffee Break -
16.00-17.15 The Structural Approach (Part II)
- Models with early default
- Evidence on using structural models for predicting credit spreads and
default probabilities
Some recent research: Using structural models to
understand
- Hedge ratios (against the issuing firm's equity)
- Duration
Summary and discussion
- Refreshments -
Please register no later than May 23rd, 2007!
Participation is free of charge, but the number of participants is limited.
Registration, contact and further information:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Strasse 72
1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Mail: gutmann.bwl(a)univie.ac.at
Homepage: www.gutmann-center.at
Michael Roberts from the University of Pennsylvania (the Wharton School) is
giving a VGSF research seminar on "Control Rights and Capital Structure:
An Empirical Investigation" on WEDNESDAY, May 9th, from 16:00 to 17:30 in SR
1 (Seminarraum 1) at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF
webpage (Activities & Events --> Research Seminars) for a map of the
location, the paper to download (soon) and this term's entire schedule of
seminars.
Please find the paper's abstract below. Michael Roberts is going to be in
Vienna until Friday morning. He would be very happy to discuss research with
the local faculty. Please contact Michael Halling if you are interested and
would like to take advantage of this opportunity.
Best,
Michael Halling
Abstract
We show that a large number of financing decisions of solvent firms are
dictated by creditors, who use the transfer of control rights accompanying
financial covenant violations to address incentive conflicts between
managers and investors. After showing that financial covenant violations
occur among almost one third of all publicly listed firms, we find that
creditors use the threat of accelerating the loan to reduce net debt issuing
activity by over 2% of assets per annum immediately following a covenant
violation. Further, this decline is persistent in that net debt issuing
activity fails to return to pre-violation levels even after two years,
resulting in a gradual decline in leverage of almost 3%. These findings
represent the first, of which we are aware, piece of empirical evidence
highlighting the role of control rights in shaping corporate financial
policies outside of bankruptcy.
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2007:
CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS
- apologies for any cross-postings!! -
June 1st, 2007; 9.00 am - 6.30 pm
University of Vienna, Aula Campus Altes AKH - Hof 1, Alser Str. 4, 1090 Wien
Fixed income products and credit derivatives represent booming markets
with predictable cash-flows and attractive return-risk profiles. Still,
the economic relationships underlying these products are very
sophisticated. Determinants of credit spreads, the price of default and
liquidity risk and models of default correlations are important
questions in academic research and have immediate implications for fixed
income fund management. At the Gutmann Symposium 2007 internationally
recognized experts will address these issues and present their most
current research results.
NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED
PLEASE REGISTER VIA E-MAIL NOT LATER THAN May 21st: gutmann.bwl(a)univie.ac.at
PROGRAM:
08.30-09.00 Registration
09.00-09.15 WELCOME
Josef Zechner, University of Vienna
09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS
"Cash Holdings and Credit Spreads"
Sergei Davydenko - University of Toronto
"Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle"
Alexander David - University of Calgary
"Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration"
Ashay Kadam - Cass Business School
10.45-11.15 - coffee break -
11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY
AND RECOVERY RISK
"Liquidity and Liquidity Risk Premia in the CDS Market"
Dion Bongaerts - University of Amsterdam
"Liquidity and Credit Default Swap Spreads"
Dragon Yongjun Tang - Kennesaw State University
"Separating the Components of Default Risk: A Derivative-Based Approach"
Anh Le - New York University
12.45-14.00 - lunch break -
14.00-15.30 PANEL DISCUSSION:
"Credit Risk Markets - Opportunities and Challenges"
Discussants:
- Joe Biernat - European Credit Management Limited (ECM)
- Pierre Collin-Dufresne - UC Berkeley and Goldman Sachs Asset Management
- Stephen Schaefer - London Business School
- Suresh Sundaresan - Columbia University
- Friedrich Strasser - Bank Gutmann AG
15.30-16.00 - coffee break -
16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS
"On the Relation between the Credit Spread Puzzle and the Equity Premium
Puzzle"
Pierre Collin-Dufresne -UC Berkeley/Goldman Sachs Asset Management
"Specification Analysis of Structural Credit Risk Models"
Jing-zhi Huang - Penn State University
17.00-17.15 - coffee break -
17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT
"An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion"
Holger Kraft -University of Kaiserslautern
"Understanding Common Factors in Domestic and International Bond Spreads"
Rodolfo Martell - Purdue University
- cocktails -
Sessions will be chaired and discussed by members of the Academic
Advisory Board:
- Engelbert Dockner, University of Vienna
- Robert Korajczyk, Northwestern University
- Suresh Sundaresan, Columbia University
- Klaus Spremann, University St. Gallen
- Neal Stoughton, University of Calgary
- Josef Zechner, University of Vienna
Participation fee: the participation is free, but all participants are
required to register:
gutmann.bwl(a)univie.ac.at
CONTACT AND FURTHER INFORMATION:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Strasse 72
1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
E-mail: gutmann.bwl(a)univie.ac.at
Homepage: www.gutmann-center.at
Lu Zhang from the University of Michigan is giving a VGSF research seminar
on "Regularities" on FRIDAY, April 27th, from 15:30 to 17:00 in HS 7 at the
BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events
--> Research Seminars) for a map of the location, the paper to download and
this term's entire schedule of seminars.
Please find the paper's abstract below. Lu is going to be in Vienna for the
ENTIRE WEEK. He would be very happy to discuss research with the local
faculty. Please contact Michael Halling if you are interested and would like
to take advantage of this opportunity.
Best,
Michael Halling
Abstract
The neoclassical q-theory provides a good start to understanding the cross
section of returns. Under constant return to scale stock returns equal
levered investment returns, which are tied directly to firm characteristics.
This equation predicts the empirical relations of average returns with
book-to-market, investment, and earnings surprises. We estimate the model
via GMM by minimizing the differences between average stock returns and
average levered investment returns. Our model captures the average return
patterns in portfolios sorted on capital investment and double-sorted on
size and book-to-market, including the small-stock value premium. The model
also partially captures post-earnings-announcement drift and its higher
magnitude in small firms.
---------- Forwarded message ----------
Date: Wed, 18 Apr 2007 16:30:32 +0200
From: Margit Wegleitner <...(a)wu-wien.ac.at>
Subject: Re: Ausschreibung Professuren im Bereich Finance
Position Announcement [reference 79990]:
Full Professor of Finance: Asset Management
Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien)
The Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien, WU) invites applications for the
position of Full Professor of Finance (Asset Management), Department
of Finance and Accounting.
(...) [same text as below removed by admin]
Position Announcement[reference 80090]:
Full Professor of Finance: Corporate Finance
Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien)
The Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien, WU) invites applications for the
position of Full Professor of Finance (Corporate Finance), Department
of Finance and Accounting. Wirtschaftsuniversität Wien is the largest
university of its kind in the European Union and well positioned in
the heart of Europe. The University maintains an excellent position as
a centre for research and teaching and draws an international group of
students and faculty. It offers a broad range of subjects in all areas
of economics and business administration. Resources and facilities are
internationally comparable. The University is EQUIS accredited. For
details see http://www.wu-wien.ac.at
Applicants should have (a) a solid academic qualification (e.g. PhD,
Habilitation); (b) an outstanding international reputation in high
quality scholarship and research in the area of finance; (c) a strong
record in attracting research funding; (d) a demonstrated commitment
to excellence in teaching; and (e) proven qualities of leadership.
We stress high research achievement in all areas of finance with
particular emphasis on corporate finance and an interest in teaching
finance on bachelor, master, and PhD levels as well as in executive
programs. Teaching experience in English is required; teaching
experience in German is not necessary. Non German-speaking candidates
are expected to acquire proficiency in German over a certain period of
time.
For details of the position, please contact Professor Stefan Bogner,
Chairman, Department of Finance and Accounting, phone:
++43-1-31336-4242, E-Mail: stefan.bogner(a)wu-wien.ac.at
Candidates should send their applications (curriculum vitae, list of
publications, list of classes held as well as copies of the five major
publications) to the Rector of Wirtschaftsuniversität Wien, Professor
Christoph Badelt, Augasse 2-6, A-1090 Vienna. Electronic applications
can be sent to brigitte.parnigoni(a)wu-wien.ac.at . Applications,
quoting reference 80090 [80090 for "Full Professor of Finance:
Corporate Finance", 79990 for "Full Professor of Finance: Asset
Management"], need to reach WU by May 18, 2007.
The Vienna University of Economics and Business Administration is an
Equal Opportunity Employer and seeks to increase the number of its
female faculty members. Therefore qualified women are strongly
encouraged to apply. In case of equal qualification, female candidates
will be given preference.
Massimo Massa from INSEAD is giving a VGSF research seminar on "Cosmetic
Mergers: The Effect of Style Investing on the Market for Corporate Control"
on FRIDAY, April 20th, from 15:30 to 17:00 in HS 7 at the BWZ,
Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events -->
Research Seminars) for a map of the location, the paper to download and this
term's entire schedule of seminars.
Please find the paper's abstract below. Massimo is going to be in Vienna on
Friday. He would be very happy to discuss research with the local faculty.
Please contact Michael Halling if you are interested and would like to take
advantage of this opportunity.
Best,
Michael Halling
Abstract
We study the impact of style investing on the market for corporate control.
We argue that a firm may choose to boost its market value by merging with a
firm that belongs to a style that is more favored by the market. By using
data on the flows in mutual funds, we construct a measure of neglectedness,
which relies directly on the identification of sentiment-induced investor
demand, rather than being a direct transformation of stock market data. We
show that bidders tend to pair with targets that are relatively less
neglected. The merger with a less neglected target generates a halo effect
from the target to the bidder that induces the market to evaluate the assets
of the more neglected bidder at the (inflated) market value of the less
neglected target. Both bidder and target premia are positively related to
the difference in neglectedness between bidder and target. However, the
targets ability to appropriate the gain is reduced by the fact that its
bargaining position is weaker when the bidders potential for asset
appreciation is higher. We document a better medium-term performance of more
neglected firms taking over less neglected firms. The bidder managers
engaging in these cosmetic mergers take advantage of the window of
opportunity created by the higher stock price induced by the M&A deal to
reduce their stake in the firm under convenient conditions.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 26 Mar 2007 18:16:35 +0300
From: IME2007 University of Piraeus <ime2007(a)unipi.gr>
Subject: IME2007 2nd CALL FOR PAPER
ANNOUNCEMENT AND CALL FOR PAPERS
UNIVERSITY OF PIRAEUS
DEPARTMENT OF STATISTICS & INSURANCE SCIENCE
ELEVENTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS
July 10-12, 2007
The Department of Statistics and Insurance Science of the University
of Piraeus is pleased to host the 11th International Congress on
Insurance: Mathematics and Economics, on July 10-12, 2007. Information
about the Congress can be found on http://www.unipi.gr/ime2007
The Congress gives researchers (both actuaries and non-actuaries) the
opportunity to present their latest works in the general area of
Actuarial Science. It also allows practicing actuaries, who are
interested in the implementation of results, to make direct contact
with recent developments.
Papers for presentation should be relevant to the aims and scope of
the international journal Insurance: Mathematics and Economics. Topics
of interest include without being limited: models and computational
methods of life insurance (including pension plans, social insurance
and health insurance), of non-life insurance and of reinsurance. It
also includes, innovative insurance applications of results from other
fields, such as probability and statistics, numerical analysis,
economics, operations research and risk management. There is also
particular interest on the interactions of insurance mathematics with
finance.
The papers presented can be submitted for publication in a special
issue of Insurance: Mathematics and Economics, dedicated to the
Congress.
Abstracts should be submitted online by March 31, 2007, on the IME
2007 website http://www.unipi.gr/ime2007/
Prior to the congress on July 8th - 9th there will be a course on
" Dependence in Risk Theory " by Hansjoerg Albrecher
Organizing Committee:
Georgios Pitselis (chair), Konstadinos Politis (vice-chair), Michael
Boutsikas, George Iliopoulos, Maria Kateri, Jan Dhaene.
Scientific Committee:
Hans Gerber (chair), Stathis Chadjikonstantinidis (vice-chair), Michel
Denuit, Jan Dhaene, Jose Garrido, Marc Goovaerts, Rob Kaas, Nikolai Kolev,
Takis Papaioannou, Georgios Pitselis, Susan Pitts.
Georgios Pitselis
President of the Organizing Committee
---------------------------------
IME 2007 July 10-12, 2007
11th International Congress on Insurance: Mathematics and Economics
University of Piraeus
Athens, Greece
e-mail: <mailto:ime2007@unipi.gr> ime2007(a)unipi.gr
web: www.unipi.gr/ime2007
Christopher Hennessy from UC Berkeley is giving a VGSF research seminar on
"A dynamic theory of corporate finance based upon repeated signaling" on
FRIDAY, March 30th, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse
72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research
Seminars) for a map of the location, the paper to download and this term's
entire schedule of seminars.
Please find the paper's abstract below. Christopher is going to be in Vienna
for the entire week (March 26th to March 30th). He would be very happy to
discuss research with the local faculty. Please contact Michael Halling if
you are interested and would like to take advantage of this opportunity.
Best,
Michael Halling
Abstract
We examine the effect of Markovian hidden information about the marginal
product of capital on the dynamics of financing and investment. The model
features endogenous investment, debt, default, dividends, equity flotations
and share repurchases. Since deadweight signaling costs are necessarily high
when net worth is low, forward-looking risk-neutral shareholders behave as
if risk-averse. Consequently, in each period's least-cost separating
equilibrium, firms can signal positive information with high leverage and
investment. Firms with negative information have no debt and raise external
funds with equity. Pareto dominant pooling equilibria also exist, but only
if net worth is sufficiently low. In the pooling equilibria, firms issue
positive amounts of debt and investment is between respective first-best
levels. The model is rich in testable predictions and consistent with a
broad set of established stylized facts regarding leverage ratios and
announcement effects, and can also explain observed violations of the
pecking-order hypothesis.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
First Announcement
+--------------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| 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
Scientific Program:
Mo, Sep. 17th: Educational workshop for Ph.D. students and young postdocs
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):
Prof. Tomas Björk (Stockholm School of Economics)
Prof. Freddy Delbaen (ETH Zürich)
Prof. Ernst Eberlein (Universität Freiburg)
Prof. Damir Filipovic (LMU München)
Prof. Ioannis Karatzas (Columbia University)
Prof. Dmitry Kramkov (Carnegie Mellon University)
Prof. Damien Lamberton (Université de Marne-la-Vallée)
Dr. Marek Musiela (BNP Paribas, London)
Prof. Chris Rogers (University of Cambridge)
Prof. Wolfgang Runggaldier (Università degli Studi di Padova)
Dr. Peter Schaller (Bank Austria Creditanstalt)
Dr. Eva Strasser (JP Morgan)
Prof. Martin Schweizer (ETH Zürich)
Prof. Thaleia Zariphopoulou (University of Texas)
Invited Speakers (confirmed) from the AMaMeF Steering Committee:
(See <http://150.146.2.4/amamef/> for details of the AMaMeF program)
Prof. Ole E. Barndorff-Nielsen (University of Aarhus)
Prof. Lane P. Hughston (King's College London)
Prof. Claudia Klüppelberg (TU München)
Prof. Giulia Di Nunno (University of Oslo)
Prof. Bernt Øksendal (University of Oslo)
Dr. Benedetto Piccoli (Consiglio Nazionale delle Ricerche, Rome)
Prof. Christoph Schwab (ETH Zürich)
Prof. Lukasz Stettner (Polish Academy of Sciences)
Prof. Esko Valkeila (Helsinki University of Technology)
Prof. Michèle Vanmaele (Universiteit Gent)
Prof. Constantin Varsan (Romanian Academy, Bucharest)
Organizing Committee:
Prof. Peter Grandits
Dr. Friedrich Hubalek
Dr. Reinhold Kainhofer
Dr. Johannes Leitner
Prof. Walter Schachermayer
Prof. Uwe Schmock
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
For registration details, conference fees, contributed talks, 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
P.S.: I apologize for any cross-postings.
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
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/>