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/>
Dear colleague,
the DEADLINE for submission of abstract EMNET 2007 is March 18, 2007.
We want to invite you to the third international conference on Economics
and Management of Networks(EMNet) will that will take place at the Erasmus
University Rotterdam (Rotterdam School of Management), The Netherlands,
from June 28 to June 30, 2007.
Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html.
An edited BOOK with the 20 best papers will be published at
Springer/Physica Verlag.
In addition, a SPECIAL ISSUE with selected papers of the conference
will be published in 'International Studies of Management and
Organization' (editors: George Hendrikse, Josef Windsperger)
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding their
focus on Board of Directors, member interests, member heterogeneity. (Free
sign up as member at www.ernac.net).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna , Center of Business Studies
Please send this announcement also to your colleagues!
Invitation to the VGSF Research Seminar!
This semester the seminar usually takes place on Friday from 15:30 to 17:00
in HS 7 (Bauteil III, 3rd floor) at the BWZ in Brünnerstrasse 72, 1210 Wien.
The detailed seminar schedule and the papers can be found on the
VGSF-website (www.vgsf.ac.at --> Activities --> Research Seminar).
On March 9th there will be TWO (!!!) VGSF research seminars from 14:00 (!!!)
to 17:00:
(A) Prof. Matti Keloharju (Helsinki School of Economics): Sensation Seeking,
Overconfidence, and Trading Activity
ABSTRACT: This study analyzes the role that two psychological
attributessensation seeking and overconfidenceplay in the tendency of
investors to trade stocks. Equity trading data are combined with data from
an investors tax filings, driving record, and psychological profile. We use
the data to construct measures of overconfidence and sensation seeking
tendencies. Controlling for a host of variables, including wealth, income,
age, number of stocks owned, marital status, and occupation, we find that
overconfident investors and those investors most
prone to sensation seeking trade more frequently.
(B) Prof. Laurent Calvet (HEC Paris): Down or Out: Assessing the Welfare
Costs of Household Investment Mistakes
ABSTRACT: This paper investigates the efficiency of household investment
decisions in a unique dataset containing the disaggregated wealth and income
of the entire population of Sweden. The analysis focuses on two main sources
of inefficiency in the financial portfolio: underdiversification of risky
assets (down) and nonparticipation in risky asset markets (out). We find
that while a few households are very poorly diversified, the cost of
diversification mistakes is quite modest for most of the population. For
instance, a majority of participating Swedish households are sufficiently
diversified internationally to outperform the Sharpe ratio of their domestic
stock market. We document that households with greater financial
sophistication tend to invest more efficiently but also more aggressively,
so the welfare cost of portfolio inefficiency tends to be greater for these
households. The welfare cost of nonparticipation is smaller by almost one
half when we take account of the fact that nonparticipants would be unlikely
to invest efficiently if they participated in risky asset markets.
Both professors will be available for individual meetings on Friday before
the seminars. If you would like to meet them, please contact Michael
Halling.
Best,
Michael Halling
The SS 2007 schedule of the VGSF Research Seminar is available on the VGSF
website (www.vgsf.ac.at --> Activities & Events --> Research Seminars). This
semester the seminar is going to take place at the BWZ
(Betriebswirtschaftliches Zentrum der Universität Wien) in Brünnerstrasse
72, 1210 Wien. The seminar's regular lecture room is HS 7 (a detailed map
can be found on the seminar webpage).
If you have further questions, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Hope to see you there,
Michael
Deadline for Submission of Abstract EMNET 2007: March 18, 2007
The third international conference on Economics and Management of
Networks (EMNet) will take place at the Erasmus University Rotterdam
(Rotterdam School of Management), The Netherlands, from June 28 to June
30, 2007. Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html. A book with the 20
best papers will be published at Springer/Physica Verlag.
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding
their focus on Board of Directors, member interests, member
heterogeneity. (Free sign up as member at www.ernac.net
<http://www.ernac.net/>).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna, Center of Business Studies
SUMMER SCHOOL
Quantitative Risk Management
July 5 - 6, 2007
Mathematics Department
of the Ludwig-Maximilians Universitaet
LMU, Muenchen (Germany)
The summer school will take place at the Mathematics Department of the
Ludwig-Maximilians Universitaet (LMU) of Muenchen on July 5 (13 - 19 h)
and on July 6 (9 - 18 h), 2007. It consists of two mini courses on
* Quantitative Modelling of Operational Risk
* Credit Derivatives and Dynamic Credit Risk Models
held by Prof. P. Embrechts from ETH (Zurich) and Prof. R. Frey
(University of Leipzig). Dr Gerhard Stahl (Federal Financial Supervisory
Authority, Bonn) will also give a special lecture on "Application of
statistical methods in risk management".
The school addresses PhD students, postgraduate researchers and all
practitioners from the risk management in insurance and other financial
institutions.
For further information, see:
http://www.mathematik.uni-muenchen.de/~finsum/sschool07.php
REGISTRATION
There is a registration fee. Participants are kindly requested to follow the
indications on line available at
http://www.mathematik.uni-muenchen.de/~finsum/regi07.html
ORGANISERS
Francesca Biagini, LMU Muenchen
(http://www.mathematik.uni-muenchen.de/~biagini/)
Damir Filipovic, LMU Muenchen.
(http://www.mathematik.uni-muenchen.de/~filipo/)
Professor Pedro Santa-Clara from UCLA is giving a seminar on "Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options" on Friday, January 26th, 2.00-3.30 pm, at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a map). Please find below the paper's abstract.
Best regards,
Youchang Wu
Abstract:
We use a novel pricing model to imply times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. Ex-ante risk differs from realized risk (e.g., the volatility measured from the time series of returns) to the extent that investors at times perceive as probable crashes that end up not happening. We find that both components of risk vary substantially over time, are quite persistent, and correlate with each other and with the stock index. Using a simple general equilibrium model with a CRRA representative investor, we translate the ex-ante risk into an ex-ante risk premium. We find that the average premium that compensates the investor for the ex-ante risks implicit in option prices is 11.8 percent, much higher than the 7.1 percent premium required to compensate the same investor for realized risks. Moreover, the ex-ante equity premium that we uncover is highly volatile, with values between 0.3 and 54.9 percent. The component of the premium that corresponds to jump risk varies between zero and 45.4 percent. Ex-ante risks implicit in option prices justify a higher and more variable equity risk premium than the realized risk would warrant.
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: January 25th, 2007, 4.00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management
http://personal.anderson.ucla.edu/pedro.santa-clara/
Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS?
Abstract:
We propose a novel approach to optimizing portfolios with large numbers
of assets. We model directly the portfolio weight in each asset as a
function of the asset's characteristics. Our approach is computationally
simple, easily modified and extended, produces sensible portfolio
weights, and offers robust performance in and out of sample. In
contrast, the traditional approach of first modeling the joint
distribution of returns and then solving for the corresponding optimal
portfolio weights is not only difficult to implement for a large number
of assets but also yields notoriously noisy and unstable results.
About Pedro Santa-Clara:
Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson
School of Management, where he has been since 1996. He received his
Ph.D. degree in Management from INSEAD, France. He is a research
associate of the National Bureau of Economic Research and an associate
editor of the Journal of Financial and Quantitative Analysis, Journal of
Business and Economic Statistics, and Management Science.
Professor Santa-Clara's research interests are focused on theoretical
models of asset pricing and the development of econometric methods to
estimate them, particularly in the areas of equity and bond pricing,
option valuation, and portfolio choice. His contributions, including the
string model of the term structure, the MIDAS model of conditional
variance, and dynamic portfolio choice by extending the asset space,
have gained wide acceptance by academics and finance professionals. His
research has been published in the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and other leading
journals in Economics and Finance.
Professor Santa-Clara founded Atrium Investments, an asset management
company and has worked as a consultant to multiple investment banks and
hedge funds on pricing derivatives and developing investment strategies.
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
Dear colleague,
We wish you a very successful and happy new year. In addition, We want to
invite you to submit your abstract for EMNET 2007 in Rotterdam by February
28 (see http://www.univie.ac.at/EMNET/2007/index2007.html ).
We are looking forward to seeing you in Rotterdam.
Best regards,
George Hendrikse, RSM Erasmus University
Josef Windsperger, University of Vienna
Contrary to previous announcements, there will not be a seminar this week.
Massimo Massa asked us to cancel his seminar. He is not able to give a
talk since he got ill.
Please spread the following information via your newsletter!
Hansjörg Albrecher
Dear colleagues,
we would like to bring your attention to the following event:
Radon Workshop on Financial and Actuarial Mathematics
for Young Researchers
Linz, Austria, May 30-31, 2007
This international workshop aims to bring together young researchers, in
particular Ph.D. students and Postdocs, working in the field of Financial and
Actuarial Mathematics to discuss recent developments in the theory of
mathematical finance and insurance and its application to current issues facing
the industry. The goal is to promote the exchange of ideas between young
scholars in this field. Researchers in all areas of financial and actuarial
mathematics are welcome to apply.
The workshop is held at the Radon Institute of Computational and Applied
Mathematics (RICAM) of the Austrian Academy of Sciences in Linz, Austria.
Each participant is supposed to give a talk of 30 minutes length (including
discussion). In addition, there will be an opening lecture by
Prof. Ralf Korn (Kaiserslautern, Germany)
and a closing lecture by
Prof. Wim Schoutens (Leuven, Belgium).
Since there is no registration fee and for all participants the hotel
accomodation will be covered, the number of participants has to be limited to
35.
Application for participation including an abstract (length about half a page)
for the talk should be sent to fayr07(a)ricam.oeaw.ac.at
The closing date for the receipt of applications is March 31, 2007.
Notification of acceptance: April 16, 2007.
For participants from Eastern Europe, there is a limited number of travel
grants available upon application.
For further information, please visit the workshop web page at
http://www.ricam.oeaw.ac.at/conferences/fayr07/
or contact the organizers
Dr. Hansjoerg Albrecher
Radon Institute for Computational and Applied Mathematics
Austrian Academy of Sciences
Altenbergerstrasse 69 tel: +43-732-2468-5247
A-4040 Linz, Austria fax: +43-732-2468-5212
email: hansjoerg.albrecher(a)oeaw.ac.at
web: http://www.ricam.oeaw.ac.at/people/page/albrecher
and
Philipp Mayer
Graz University of Technology
Steyrergasse 30 tel: +43-316-873-5365
A-8010 Graz, Austria fax: +43-316-873-5369
email: mayer(a)opt.math.tugraz.at
web: http://www.opt.math.tugraz.at/~mayer/
CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT
GUTMANN CENTER SYMPOSIUM 2007:
"CREDIT RISK AND THE MANAGEMENT OF FIXED-INCOME PORTFOLIOS"
Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
June 1st, 2007
University of Vienna, Austria
The Gutmann Center for Portfolio Management at the University of Vienna
is proud to announce its fifth annual symposium to be held at the
University of Vienna.
Topics of this year's symposium include but are not restricted to the
following aspects:
- corporate bond valuation
- corporate bond trading
- distressed debt analysis
- measuring and pricing default risk
- credit derivatives and structured credit products
- counterparty risk management
- exchange rates, sovereign risk and emerging market debt
- leveraged loan indices
- project finance and default risk
PAPER SUBMISSION:
Papers on topics mentioned above should be submitted by email (in
Acrobat PDF) not later than March 1st, 2007 to the following address:
E-mail: gutmann.bwl(a)univie.ac.at
CONTACT:
Gutmann Center for Portfolio Management
University of Vienna
Director: Josef Zechner
Administrative Director: Dorothea Grimm
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: http://www.gutmann-center.at
All submissions will be reviewed by a committee composed of members of
the Gutmann Center's Academic Advisory Board and decisions will be
announced by March 15th, 2007
Submission and participation are free of charge. Presenting authors are
invited to apply to Gutmann Center to cover their accommodation and
travel expenses.
Leopold Sögner from the Vienna University of Technology is giving a VGSF
research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS
Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
ABSTRACT
We provide a thorough investigation of the US corporate credit default swap
(CDS) market. We take a full parametric approach with an observable,
multi-factor, affine reduced-form model that accommodates jumps in the
riskless, as well as default-risky discount rates. Our empirical results
reveal that a multifactor formulation is imperative for fitting, both, the
time-series and in particular the cross-section of CDS premia. Model implied
loss given default (LGD) is well identified; it appears to be positively
related to a firm's credit quality. Incorporation of jumps significantly
improves the model's capability to reproduce the time-series behavior of CDS
premia.
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: January 25th, 2007, 4.00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management
http://personal.anderson.ucla.edu/pedro.santa-clara/
Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS?
Abstract:
We propose a novel approach to optimizing portfolios with large numbers
of assets. We model directly the portfolio weight in each asset as a
function of the asset's characteristics. Our approach is computationally
simple, easily modified and extended, produces sensible portfolio
weights, and offers robust performance in and out of sample. In
contrast, the traditional approach of first modeling the joint
distribution of returns and then solving for the corresponding optimal
portfolio weights is not only difficult to implement for a large number
of assets but also yields notoriously noisy and unstable results.
About Pedro Santa-Clara:
Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson
School of Management, where he has been since 1996. He received his
Ph.D. degree in Management from INSEAD, France. He is a research
associate of the National Bureau of Economic Research and an associate
editor of the Journal of Financial and Quantitative Analysis, Journal of
Business and Economic Statistics, and Management Science.
Professor Santa-Clara's research interests are focused on theoretical
models of asset pricing and the development of econometric methods to
estimate them, particularly in the areas of equity and bond pricing,
option valuation, and portfolio choice. His contributions, including the
string model of the term structure, the MIDAS model of conditional
variance, and dynamic portfolio choice by extending the asset space,
have gained wide acceptance by academics and finance professionals. His
research has been published in the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and other leading
journals in Economics and Finance.
Professor Santa-Clara founded Atrium Investments, an asset management
company and has worked as a consultant to multiple investment banks and
hedge funds on pricing derivatives and developing investment strategies.
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
Die Donau-Universität Krems ist Europas einzige staatliche Weiterbildungsuniversität und Österreichs führender Anbieter postgradualer Master-Studien. Mehr als 3.000 Studierende sind in über 120 Universitätslehrgängen eingeschrieben.
Zur Verstärkung im Department für Wirtschafts- und Managementwissenschaften/Zentrum für Finance suchen wir ab sofort eine/n engagierte/n
Wissenschaftliche/r Mitarbeiter/in
38,5 Stunden pro Woche
Ihre Aufgaben:
* Mitwirkung bei der Durchführung von Universitätslehrgängen
* Betreuung der Studierenden
* Unterstützung bei der Planung und Durchführung von Forschungsprojekten
Ihr Profil:
* abgeschlossenes Hochschulstudium im Bereich Wirtschaftswissenschaften, vorzugsweise mit Schwerpunkt Finanzwirtschaft/Finance
* ausgewiesene Kenntnisse in der Finanzwirtschaft/Finance, insbesondere in der empirischen Kapitalmarktforschung
* ausgezeichnete Englischkenntnisse
* Teamfähigkeit sowie ausgeprägte kommunikative Kompetenzen
Ihre Perspektive:
Freuen Sie sich auf eine anspruchsvolle Tätigkeit in einem kreativen, hoch motivierten Team. Gestalten Sie mit uns die erfolgreiche Zukunft der jüngsten Universität Österreichs.
Wir freuen uns auf Ihre überzeugende Bewerbung! Wenden Sie sich bitte schriftlich bis spätestens 29.12.2006 an die Personalabteilung der Donau-Universität Krems, Dr.-Karl-Dorrek-Straße 30, A-3500 Krems, astrid.adam(a)donau-uni.ac.at
Denis Gromb from London Business School is giving a VGSF research seminar on
"Financially Constrained Arbitrage and the Cross-section of Market
Liquidity" (no paper available) on FRIDAY, Dec. 15th, from 13:00 to 14:30 at
the WU Wien (Seminarraum A619 - 6th floor Red Sector, UZA 4, Nordbergstrasse
15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan).
Denis is going to be in Vienna during the entire week. Please contact
Michael Halling if you would like to talk to him.
Best,
Michael Halling
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
University of Vienna, the Institute for Advanced Studies, Vienna, and
the Wirtschaftsuniversität Wien - invites applications for its PhD
Program in Finance. 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 VGSF faculty is very well connected in the academic finance
community and complemented by leading international finance scholars.
For example, 2006/07 courses will be taught by Tomas Björk, Nicolae
Garleanu, Ruey Tsay, Jan Werner, 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 is a four-year program which consists of
two years of rigorous coursework and two years work on the PhD-thesis.
All courses are taught in English. In addition to excellent language
skills, 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 and
have a sufficient level of formal training. 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 also
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 at
least 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 curriculum starting in September 2007.
Please send your application package no later than February 15th, 2007,
to the following address:
VGSF - Prof. Dr. Josef Zechner
University of Vienna, Department of Finance, Brünnerstrasse 72, 1210
Vienna (Wien), Austria.
FOR FURTHER DETAILS AND AN APPLICATION FORM PLEASE SEE:
http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at
Department of Finance at the University of Vienna
invites participation in Guest Lecture on
China's Macroeconomy and Monetary Policy under Globalization
Speaker: Prof. Dr. Gang Yi, assistant governor of People's Bank of China,
professor of economics at Beijing University
Time: Dec. 4th (Monday), 2006. 11:00-12:30
Location: Palais Coburg, Coburgbastei 4/1, Vienna (ISK wien)
about Prof. Gang Yi:
Gang Yi is assistant governor of People's Bank of China (the central bank of
China) and professor of economics at Beijing University. Professor Yi holds
a Ph.D in economics from University of Illinois. Before returning to China
in 1994, he was associated professor (with tenure) at Indiana University,
Indianapolis. His research focuses on macroeconomy, monetary policy and
financial markets.
Best regards,
Youchang Wu
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: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology
(Caltech)
http://www.hss.caltech.edu/~pbs/
Title: NEURO-FINANCE
Abstract:
Finance has always treated humans as black boxes, whereby behavioral
rules are either imposed by decision theory (neoclassical finance) or
derived from observation of actual or hypothetical choice (behavioral
finance). In contrast, neuro-finance attempts to understand behavior by
examining the physiological processes in the human brain when exposed to
financial risk. The talk will illustrate this with the recent discovery
that the brain analyzes monetary gambles by separately encoding their
expected payoff and the payoff variance (even when subjects have never
heard of these concepts). As such the brain uses the same inputs as
Markowitz' portfolio theory. This is in sharp contrast with economics
(which includes Prospect Theory), which represents desirability of
gambles through scores on a single-dimensional utility scale.
About Peter Bossaerts:
Peter Bossaerts is William D. Hacker Professor of Economics and
Management and Professor of Finance at the California Institute of
Technology (Caltech). At present, he is at the Université de Lausanne as
Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD
in Management (Finance) from UCLA. His current research area is
experimental finance, in particular, neuro-finance. He investigates
cognitive biases and their impact on asset prices, through observation
of individual behavior, observation of price formation in large-scale
experimental financial markets, and through analysis of brain activation
while individuals face financial risk.
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
Peter Bossaerts from CalTech (California Institute of Technology) is giving
a VGSF research seminar on "EQUILIBRATION UNDER COMPETITION IN SMALLS:
THEORY AND EXPERIMENTAL EVIDENCE" on FRIDAY, Dec. 1st, from 15:30 to 17:00
at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Monday and Tuesday (Dec. 4th and 5th).
Please contact Michael Halling if you would like to talk to Peter.
Best,
Michael Halling
Abstract
Many real-world markets are competitive only in smalls, taken to mean that
price taking applies only to small orders. Starting from this observation, a
theory of equilibration is derived where orders are optimal merely in a
local sense. Prices are assumed to adjust in the direction of the order
imbalance. In the context of financial markets populated with mean-variance
optimizing agents, the theory predicts that a security's price will
correlate with excess demands in other securities, and the sign of this
correlation is the same as that of the covariance of the final payoffs. In
the short run, prices tend to a local equilibrium where the risk-aversion
weighted endowment portfolio (RAWE) is mean-variance optimal. Relative to
the market portfolio, RAWE overweighs securities that are held
disproportionally by more risk averse agents; RAWE puts less weight on
securities that are held primarily by more risk tolerant agents. Throughout
equilibration, portfolio separation is violated generically, and violations
are more extreme when payoff covariances are positive. For a variety of
patterns of initial allocations (including identical initial holdings), the
equity premium is larger at the outset than at (CAPM) equilibrium. All these
implications are confirmed in experiments.
Youchang Wu from the University of Vienna is giving a VGSF research seminar
on "Intermediated Investment Management" on FRIDAY, Nov. 24th, from 15:30 to
17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090
Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
Abstract
Investment advisers perform the role of assisting clients with their
investments and distributing portfolio management services. While the vast
majority of clients employ advisory services, an important issue is how well
advisers perform in this capacity. Our theoretical model analyzes the
impacts on portfolio performance, fund flows, fund sizes and welfare from
the use of advisers. An important aspect of our analysis is the extent to
which conflicts of interest such as influence activity can bias the asset
allocation decisions of advisers. Interestingly advisory services are
utilized to a greater extent under this circumstance. We show that
investment advisers help to improve social welfare, but much of the welfare
gain is extracted by the portfolio manager. When influence activity is
feasible, investors welfare is adversely affected by the presence of
advisers.
A doctoral position ("Wissenschaftlicher MitarbeiterIn in Ausbildung")
is available at the Department of Finance (Prof. Zechner). The first
contract would be until July 31st 2007 but there is a significant chance
that the contract can be extended. Interested candidates should apply at
Personalabteilung <http://www.univie.ac.at/personalabteilung> der
Universität Wien <http://www.univie.ac.at/>, Dr. Karl Lueger-Ring 1,
A-1010 Wien. *Kennzahl: 37565/MB***
*Prerequisite for Employment:* Degree in Business Administration or
Economics (Diplom- oder Magistergrad).
Please observe the SHORT DEADLINE: November 27^th , 2006
For more information you may contact
Martina Schlichting
University of Vienna
Department of Finance
Brünner Straße 72
1210 Vienna
Austria
Tel.: +43 (0)1 4277-38072
Fax: +43 (0)1 4277-38074
E-Mail: martina.schlichting(a)univie.ac.at
<mailto:martina.schlichting@univie.ac.at>
www.univie.ac.at/finance
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: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology
(Caltech)
http://www.hss.caltech.edu/~pbs/
Title: NEURO-FINANCE
Abstract:
Finance has always treated humans as black boxes, whereby behavioral
rules are either imposed by decision theory (neoclassical finance) or
derived from observation of actual or hypothetical choice (behavioral
finance). In contrast, neuro-finance attempts to understand behavior by
examining the physiological processes in the human brain when exposed to
financial risk. The talk will illustrate this with the recent discovery
that the brain analyzes monetary gambles by separately encoding their
expected payoff and the payoff variance (even when subjects have never
heard of these concepts). As such the brain uses the same inputs as
Markowitz' portfolio theory. This is in sharp contrast with economics
(which includes Prospect Theory), which represents desirability of
gambles through scores on a single-dimensional utility scale.
About Peter Bossaerts:
Peter Bossaerts is William D. Hacker Professor of Economics and
Management and Professor of Finance at the California Institute of
Technology (Caltech). At present, he is at the Université de Lausanne as
Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD
in Management (Finance) from UCLA. His current research area is
experimental finance, in particular, neuro-finance. He investigates
cognitive biases and their impact on asset prices, through observation
of individual behavior, observation of price formation in large-scale
experimental financial markets, and through analysis of brain activation
while individuals face financial risk.
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
AUSSCHREIBUNG
An der TU-Wien (Bereich Finanzwirtschaft und Controlling*,
http://www.imw.tuwien.ac.at/fc/*) sind (bis *22.11.2006*) 2
Assistentenstellen ausgeschrieben. Details siehe unten:
*1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20
Wochenstunden, Karenzvertretung) am Institut für
Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling
(http://www.imw.tuwien.ac.at/fc/), ab sofort für die Dauer der Karenz
(voraussichtlich 2 Jahre)
*_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der
Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl.
Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges
Universitätsstudium im In- oder Ausland
_Sonstige Voraussetzungen:_ Kenntnisse in *Informatik, Finanzwirtschaft*
_Bewerbungsfrist:_ bis 22.11.2006
Bewerbungen schriftlich an die Personalabteilung für das
wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der
Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13,
1040 Wien, mit den üblichen Bewerbungsunterlagen.
*1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20
Wochenstunden, Karenzvertretung) am Institut für
Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling**
(http://www.imw.tuwien.ac.at/fc/)**, ab sofort für die Dauer der
Karenz** (voraussichtlich 2 Jahre)*
_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der
Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl.
Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges
Universitätsstudium im In- oder Ausland
_Sonstige Voraussetzungen:_ Kenntnisse in *internationaler
Rechnungslegung, Finanzwirtschaf*t
_Bewerbungsfrist:_ bis 22.11.2006
Bewerbungen schriftlich an die Personalabteilung für das
wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der
Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13,
1040 Wien, mit den üblichen Bewerbungsunterlagen.
Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at) zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Bereich Finanzwirtschaft und Controlling
Technische Universität Wien
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://info.tuwien.ac.at/E330/
Adresse: Favoritenstraße 9-11
A-1040 Wien
Österreich
Prof. Nicole Branger from the University of Muenster is giving a VGSF
research seminar on "Rational Laymen versus Over-Confident Experts: Who
Survives in the Long Run?" on FRIDAY, Nov. 17th, from 15:30 to 17:00 at the
WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Nicole is going to be available for meetings on Friday. If you are
interested, please contact Michael Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we study the equilibrium in a heterogeneous economy with two
groups of investors. Over-confident experts incorrectly assume that their
signal for the drift of the dividend process is correlated with the true
drift, but interpret the signal otherwise perfectly. Rational laymen avoid
the experts' error, but their signal is noisier than that received by the
experts. We investigate which of these two problems is more severe by
computing long-run equilibrium consumption shares for the two groups. Our
results indicate that overconfidence might be a more serious problem than
limited information processing capability.
---------- Forwarded message ----------
Date: Tue, 7 Nov 2006 09:50:57 -0000
From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk>
Subject: CONTINUOUS TIME FINANCE Workshop
Dear list, we are pleased to announce the following workshop:
1. CONTINUOUS TIME FINANCE
CONTINUOUS TIME FINANCE
27-29 November 2006, Brunel University, West London, UK
( http://www.unicom.co.uk/finance )
Background
Three-day workshop presented by Dr Paresh Date and Mr Luka Jalen,
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling
Applications, Brunel University
Whether it is mergers and acquisitions, derivative asset pricing,
optimal portfolio choice or risk management, success in modern finance
is unthinkable without a solid grasp of mathematics. Continuous time
models now play a central role in pricing of financial assets under more
challenging circumstances than can be handled with discrete time models.
This course introduces models in continuous time and the advanced
mathematics required for their analysis such as stochastic analysis
(Brownian motion), partial differential equations and martingale
measures, and shows how these can be used for asset and derivative
valuation in continuous time.
Given the fast pace of development of finance theory and product
innovation in recent times, the course will be of great value to banking
professionals who want to learn basic modeling and pricing methods in
investment banking as well as to graduate students starting their
doctoral studies in finance.
Course Outline
Day 1
o Introduction to stochastic calculus
Wiener processes
Linear stochastic differential equations: asset price dynamics
Ito's lemma
o Introduction to Splus for mathematical finance
Writing functions
Random number generation and generating sample paths
Day 2
o Introduction to pricing and hedging of derivatives
Pricing of futures contracts
Hedging using futures
European Option payoffs and hedging using options
Black-Scholes formula
Delta hedging
o Pricing European options using Monte Carlo in Splus
Day 3
o Stochastic interest rate models
Spot rates, forward rates and arbitrage
Bond prices and yield curve
Short rate models, Vasicek model
o Calibration of Vasicek model from real yield data using Splus
Each day will include hands-on demonstrations of Splus
Benefits of Attending
You will learn about the latest developments in the field from
acknowledged research leaders, gathered together in London. By
networking and listening to the presentations, you will gain valuable
knowledge and practical techniques to apply your own area of practice or
research. You will gain first hand experience of the innovative thinking
and best practices currently being developed in some of the worlds
leading educational institutions.
The target audience
Graduate students who are starting their doctoral studies in finance
PhD Research Students
Academics
Banking professionals who want to learn basic modeling and pricing
methods in investment banking.
This workshop is organized by The Centre for the Analysis of Risk and
Optimisation Modelling Applications (CARISMA) at Brunel University and
managed by UNICOM Seminars. It takes place at Brunel University campus,
West London.
For further details please go to www.unicom.co.uk/finance or email
info(a)unicom.co.uk for a PDF flier.
Alternatively you may telephone UNICOM on +44 1895 256 484 for further
information.
We look forward to welcoming you to the CONTINUOUS TIME FINANCE, 27-29
November 2006; please also make your colleagues aware of it.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, 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://people.brunel.ac.uk/~mapgxcs
Blog: http://mam3xs.blogspot.com
Tel: (+44) (0)1895 265625
Mobile: (+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Prof. Dirk Hackbarth from Washington University in St. Louis is giving a
VGSF research seminar on "Corporate Bond Credit Spreads and Forecast
Dispersion" on FRIDAY, Nov. 3rd, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Dirk asked me NOT to put his paper onto our webpage. If you want to get the
paper, please contact me via email and I send it to you.
Dirk is going to be available for meetings on Friday. If you are interested,
please contact Michael Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
Recent research establishes a negative relation between stock returns and
dispersion of analysts' earnings forecasts, arguing that, due to short-sale
constraints in equity markets, asset prices more reflect the views of
optimistic investors. In this article, we examine whether a similar effect
prevails in corporate bond markets. After controlling for common bond-level,
firm-level, and macroeconomic variables, we find evidence that bonds of
firms with higher dispersion demand significantly higher credit spreads than
otherwise similar bonds and that changes in dispersion reliably predict
changes in credit spreads. We argue the dominating effect of dispersion is
to proxy for future cash flow uncertainty due to the limited role of
short-sale constraints in corporate bond markets.
Prof. Will Goetzmann from Yale University is giving a VGSF research seminar
on "Risk Aversion and Clientele Effects" on TUESDAY, October 31st, from
15:30 to 17:00 at the WU Wien (Room H.DE03, UZA 4, Base Floor,
Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Prof. Goetzmann is going to be in Vienna on Monday and Tuesday. If you like
to meet him and to discuss your research with him, please contact Michael
Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
We estimate preferences toward risk of investors in growth and value stock
indices, which represent two widely followed investment styles. We find
differences in risk preferences for the two clienteles. Value investors are
more averse to risk, while growth investors are more willing to accept risk.
Estimated preferences also exhibit different time series patterns. Risk
preferences of value investors show stronger persistence in the time series
during our time period. This is consistent with investors in value stocks
being a more stable clientele. We find evidence that indicates the presence
of switchers-investors who move funds between the two styles. Switchers
react to returns on the styles, and also react to changes in risk of the
styles. Further, we construct trading strategies in the value growth index
options markets and find that the strategies generate positive returns.
Overall, the evidence is consistent with the hypothesis that different
clienteles, characterized by differences in risk preferences and trading
habits, exist. Further, trading strategies can be formed to exploit the
existence of clienteles.
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: OCTOBER 30th, 2006 (Monday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker:
Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management -
International Center for Finance; Harvard Business School
http://viking.som.yale.edu/
Title: LESSONS FROM HEDGE FUND REGISTRATION
Abstract:
In February, 2006, hedge funds operating in the U.S. were required to
register with the Securities and Exchange Commission. This paper
addresses the question of the relevance of the information contained in
these filings. We find that hedge funds filing with the SEC had better
past performance and more assets than non-filers - supporting the
assertion that filing is a potential signal of quality. We also find a
strong positive association between potential conflicts and past legal
and regulatory problems - supporting that SEC filings provides
information relevant to detecting operational risk. Finally we find that
while information contained in SEC filings may be redundant to some
market participants such as creditors, it may be very useful to hedge
fund investors.
About William N. Goetzmann:
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and
Management Studies and Director of the International Center for Finance
at the Yale School of Management.
He is an expert on a diverse range of investments, including stocks,
hedge funds, mutual funds, real estate, and paintings. His research
topics include global investing, forecasting stock markets, selecting
mutual fund managers, housing as investment, and the risk and return of
art. His work has been featured in the Wall Street Journal, the New York
Times, Business Week, the Economist, Forbes, and Art and Auction.
Professor Goetzmann has a background in arts and media management. As a
documentary film-maker, he has written and co-produced programs for
"Nova" and the "American Masters" series, including a profile of the
artist Thomas Eakins. A former director of Denver's Museum of Western
Art, Professor Goetzmann co-authored the award winning book, The West of
the Imagination.
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
Dear colleague:
I would like to invite you to participate and give us a presentation
in the Stream "Dynamics and Control of Economic Processes" at
the 22nd European Conference on Operational Research, which
will take place in Prague, capital of the Czech Republic, from
July 8-11, 2007.
Perhaps you are also interested in organizing a Session in this
stream (containing 3-4 papers) related to a topic of your research
fields in the area of Dynamical Systems. If you are interested,
please send us the name of your possible session(s), and your
data.
You can find information about the related areas and contacts on
the conference web page: http://euro2007.vse.cz/. In this week,
the Invited Streams will be inserted into the Electronical
Submission system of the conference; then, your possible Invited
Session could become added there, before the abstract
submission of will start.
With friendly regards
and best wishes,
Gustav Feichtinger
Im *Institut für Quantitative BWL und Operations Research *ist
voraussichtlich ab 18. Februar 2007 bis 31. August 2009 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.
Notwendige Kenntnisse und Qualifikationen:
EU-Bürger/in, abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften und/oder Mathematik und/oder
Wirtschaftsingenieurwesen bzw. gleichzuhaltende Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung,
gegebenenfalls Operations Research) und Forschung des Instituts;
Mitbetreuung der Telematik-Plattform "learn@wu"; Mitarbeit im
organisatorisch-administrativen Bereich (insbesondere
Prüfungsadministration)*
Kennzahl: 69748*
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind
unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 8. November 2006
Bitte die Kennzahl unbedingt anführen!
Der Rektor:
o. Univ.Prof. Dr. Christoph Badelt
Link:
http://www.wu-wien.ac.at/start/jobs/ausschrwisspers#w168
MfG
M. Nettekoven
--
-------------------------------------------------------------
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/>
Prof. Marcin Kacperczyk from UBC is giving a VGSF research seminar on "Labor
Unions, Operating Leverage, and Expected Stock Returns" on MONDAY, October
16th, from 16:30 to 18:00 at the WU Wien (UZA 4, Nordbergstrasse 15, 1090
Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Marcin is going to be in Vienna on Monday. If you like to meet him and to
discuss your research with him, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
We examine the effect of an important friction in the labor market, that
generated by labor unions, on the cross-section of expected stock returns.
We hypothesize that labor unions increase expected stock returns by
increasing firms share of fixed labor costs in total labor costs and thus
their operating leverage. Consistent with our hypothesis, we find that
expected returns are higher for firms in more unionized industries and that
the effect is stronger when unions face a more favorable bargaining
environment. Furthermore, using instrumental-variables techniques we
establish a causal link from unionization to expected returns. Finally, we
provide evidence that unions increase expected returns through the operating
leverage channel. Overall, our findings underline the importance of labor
markets imperfections in understanding cross-sectional variation in
expected returns.
Prof. Xavier Freixas from Universitat Pompeu Fabra, Barcelona, is giving a
VGSF research seminar in cooperation with the "Oesterreichischen
Nationalbank" (Austrian Central Bank) on "How Can Emerging Market Economies
Benefit from a Corporate Bond Market?" on FRIDAY, October 13th, from 15:30
to 17:00 at the "Oesterreichische Nationalbank" (!!!), Otto-Wagner-Platz 3,
1090 Wien, Veranstaltungssaal, Erdgeschoss. Unfortunately, lastest versions
of the paper or the abstract are not available.
Note again the CHANGED LOCATION as this seminar takes place at the
"Oesterreichische Nationalbank".
Best,
Michael Halling
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: OCTOBER 30th, 2006 (Monday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management -
International Center for Finance; Harvard Business School
http://viking.som.yale.edu/
Title: LESSONS FROM HEDGE FUND REGISTRATION
Abstract:
In February, 2006, hedge funds operating in the U.S. were required to
register with the Securities and Exchange Commission. This paper
addresses the question of the relevance of the information contained in
these filings. We find that hedge funds filing with the SEC had better
past performance and more assets than non-filers - supporting the
assertion that filing is a potential signal of quality. We also find a
strong positive association between potential conflicts and past legal
and regulatory problems - supporting that SEC filings provides
information relevant to detecting operational risk. Finally we find that
while information contained in SEC filings may be redundant to some
market participants such as creditors, it may be very useful to hedge
fund investors.
About William N. Goetzmann:
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and
Management Studies and Director of the International Center for Finance
at the Yale School of Management.
He is an expert on a diverse range of investments, including stocks,
hedge funds, mutual funds, real estate, and paintings. His research
topics include global investing, forecasting stock markets, selecting
mutual fund managers, housing as investment, and the risk and return of
art. His work has been featured in the Wall Street Journal, the New York
Times, Business Week, the Economist, Forbes, and Art and Auction.
Professor Goetzmann has a background in arts and media management. As a
documentary film-maker, he has written and co-produced programs for
"Nova" and the "American Masters" series, including a profile of the
artist Thomas Eakins. A former director of Denver's Museum of Western
Art, Professor Goetzmann co-authored the award winning book, The West of
the Imagination.
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
Dear colleague,
unfortunately, the link of the 'response form' of the call for paper 'EMNet2007'
was incorrect. Below is the final revised form.
CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam
The third international conference on ECONOMICS AND MANAGEMENT OF NETWORKS
will be held at the Rotterdam School of Management, Erasmus University
Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The Netherlands. 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.
Procedures for Submitting Papers
Authors who want to present a paper should submit an abstract (1 page) and
return the response form (published under http://www.univie.ac.at/EMNET )
as soon as possible, but not later than February 28, 2007. Please e-mail
the response form to:
George W.J. Hendrikse (ghendrikse(a)rsm.nl)
Rotterdam School of Management, Erasmus University Rotterdam
PO Box 1738, Office T08-56
3000 DR Rotterdam, The Netherlands
and
Josef Windsperger (josef.windsperger(a)univie.ac.at)
University of Vienna
Center for Business Studies
Brünner Str. 72
A-1210 Vienna, Austria
Conference Fees: 190 EUR (including lunch, dinner and coffee breaks)
Researchers from non-EU Eastern European countries, less developed countries
and PhD students are requested to pay 120 EUR.
Conference information can be found at the conference web page:
http://www.univie.ac.at/EMNET/
Electronic conference proceedings and an edited book will be published.
Important Deadlines:
February 28, 2007
Abstract and response form
MARCH 31, 2007
Confirmation of acceptance of the proposal
MAY 15, 2007
Conference registration and payment of the conference fee
MAY 31, 2007
One copy of the paper through e-mail to George Hendrikse and
Josef Windsperger
JUNE 15, 2007
Final program available ( http://www.univie.ac.at/EMNET )
Organizing Committee
George Hendrikse (chairman), RSM, Erasmus University Rotterdam
Josef Windsperger, University of Vienna
Tao Jiang, RSM
Li Feng, RSM
Bart Dietz, RSM
Decia Jansen, RSM
Scientific Committee
Ilan Alon, Rollins College, Crummer Graduate School of Business, Florida,
USA
Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain
Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain
Paolo F. Azevedo, National Distance University, Madrid, Spain
Eric Brousseau, Université de Paris X, Nanterre, France
Jenny Buchan, University of New South Wales, Sydney, Australia
Gerard Cliquet, Université de Rennes 1, France
Rajiv P. Dant, University of South Florida, Tampa, USA
Thomas Ehrmann, Universität Münster, Germany
Lorelle Frazer, Griffith University, Meadowbrook, Australia
Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université
Lumiere-Lyon 2, France
Anna Grandori, Bocconi Univeristy, Milan, Italy
John Hagedoorrn, Universiteit Maastricht, Maastricht, NL
George Hendrikse, Erasmus University Rotterdam, NL
Liesbeth Kneppers, University of Groningen, NL
Claude Menard, Centre ATOM, Université de Paris 1, France
Tahir M. Nisar, University of Southhampton, Southhampton, UK
Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1
(Sorbonne), France
Aric Rindfleisch, University of Wisconsin-Madison, USA
Vivian L.S. Silva, University of Sao Paolo, Brazil
Brian Silverman, Rotman School of Management, University of Toronto,
Toronto, USA
Bernard L. Simonin, Tufts University, Medford, USA
Andrew Terry, University of New South Wales, Australia
Mika Tuunanen, University of Kuopio, Finland
Windsperger Josef, University of Vienna, Austria)
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam
The third international conference on ECONOMICS AND MANAGEMENT OF
NETWORKS will be held at the Rotterdam School of Management, Erasmus
University Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The
Netherlands. 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.
FRANCHISING
COOPERATIVES
JOINT VENTURES
STRATEGIC ALLIANCES
LICENCING
VENTURE CAPITAL RELATIONS
VIRTUAL NETWORKS
OTHER NETWORK FORMS
Relevant topics that are related to these network forms include those
listed below:
Theoretical Views on Networks
Governance
Organization Design and Decision Rights
Economics & Law and Regulation
Knowledge Management Issues
Strategic Management
Ownership and Incentives
Organizational Behavior
Industry Studies
International Management
IT and Networks
Comparative Institutional Analysis
Marketing and Distribution Channel
International Market Entry
Entrepreneurship and Innovation
Competition between Network Forms
Procedures for Submitting Papers
Authors who want to present a paper should submit an abstract (1 page)
and return the response form
<http://www.univie.ac.at/EMNET/2005/registration_form.htm> as soon as
possible, but not later than February 28, 2007. Please e-mail the
response form <http://www.univie.ac.at/EMNET/2005/registration_form.htm> to:
George W.J. Hendrikse (ghendrikse(a)rsm.nl)
Rotterdam School of Management, Erasmus University Rotterdam
PO Box 1738, Office T08-56
3000 DR Rotterdam, The Netherlands
and
Josef Windsperger (josef.windsperger(a)univie.ac.at)
University of Vienna
Center for Business Studies
Brünner Str. 72
A-1210 Vienna, Austria
Conference Fees: 190 EUR (including lunch, dinner and coffee breaks)
Researchers from non-EU Eastern European countries, less developed
countries and PhD students are requested to pay 120 EUR.
Conference information can be found at the conference web page:
www.univie.ac.at/EMNET/ <http://www.univie.ac.at/EMNET>
Electronic conference proceedings and an edited book will be published.
Important Deadlines:
February 28, 2007
Abstract and response form
MARCH 31, 2007
Confirmation of acceptance of the proposal
MAY 15, 2007
Conference registration and payment of the conference fee
MAY 31, 2007
One copy of the paper through e-mail to George Hendrikse and
Josef Windsperger
JUNE 15, 2007
Final program available (www.univie.ac.at/EMNET
<http://www.univie.ac.at/EMNET>)
Organizing Committee
George Hendrikse (chairman), RSM, Erasmus University Rotterdam
Josef Windsperger, University of Vienna
Tao Jiang, RSM
Li Feng, RSM
Bart Dietz, RSM
Decia Jansen, RSM
Scientific Committee
Ilan Alon, Rollins College, Crummer Graduate School of Business,
Florida, USA
Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain
Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain
Paolo F. Azevedo, National Distance University, Madrid, Spain
Eric Brousseau, Université de Paris X, Nanterre, France
Jenny Buchan, University of New South Wales, Sydney, Australia
Gerard Cliquet, Université de Rennes 1, France
Rajiv P. Dant, University of South Florida, Tampa, USA
Thomas Ehrmann, Universität Münster, Germany
Lorelle Frazer, Griffith University, Meadowbrook, Australia
Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université
Lumiere-Lyon 2, France
Anna Grandori, Bocconi Univeristy, Milan, Italy
John Hagedoorrn, Universiteit Maastricht, Maastricht, NL
George Hendrikse, Erasmus University Rotterdam, NL
Liesbeth Kneppers, University of Groningen, NL
Claude Menard, Centre ATOM, Université de Paris 1, France
Tahir M. Nisar, University of Southhampton, Southhampton, UK
Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1
(Sorbonne), France
Aric Rindfleisch, University of Wisconsin-Madison, USA
Vivian L.S. Silva, University of Sao Paolo, Brazil
Brian Silverman, Rotman School of Management, University of Toronto,
Toronto, USA
Bernard L. Simonin, Tufts University, Medford, USA
Andrew Terry, University of New South Wales, Australia
Mika Tuunanen, University of Kuopio, Finland
Windsperger Josef, University of Vienna, Austria)
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
Prof. Ashley Wang from UC Irvine is giving a VGSF research seminar on "Asset
Pricing and Mispricing" on MONDAY, October 9th, from 16:30 to 18:00 at the
WU Wien (Seminarraum A. 619, UZA 4, 6. Stock, Block A, Nordbergstrasse 15,
1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Ashley is going to be in Vienna on Monday. If you like to meet her and to
discuss your research with her, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we develop models for stock returns when stock prices are
subject to stochastic mispricing errors. We show that expected rates of
return depend not only on the fundamental risk that is captured by a
standard asset pricing model, but also on the type and degree of asset
mispricing, even when the mispricing is zero on average. Empirically, the
mispricing induced return bias, proxied either by Kalman filter estimates or
by volatility and variance ratio of residual returns, are shown to be
significantly associated with realized risk adjusted returns.
Prof. Peter Swan from the University of New South Wales is giving a VGSF
research seminar on "OPTIMAL PORTFOLIO BALANCING UNDER CONVENTIONAL
PREFERENCES AND TRANSACTION COSTS EXPLAINS THE EQUITY PREMIUM PUZZLE" on
FRIDAY, October 6th, from 15:30 to 17:00 at the WU Wien (UZA 4,
Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Friday. If you like to meet him and to
discuss your research with him, please contact Alex Stomper
(stomper(a)ihs.ac.at).
Best,
Michael Halling
Abstract
Adding a motivation for trading due to endowment differences to the standard
assumptions of asset pricing, we investigate the impact of a variety of
impediments to trade including transactions costs and illiquidity due to
small participant numbers. We calibrate to observed activity levels,
returns, transaction costs and volatility in equity and bond markets to show
that equity investors benefit from the ability to trade freely, and thus
require a high return of 6 to 8% pa for bearing even modest transactional
charges of 0.5%. Our findings are consistent with most empirical facts and
explain a number of anomalies in addition to the equity premium puzzle.
Am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop zum
Thema Risikomanagement statt. Papers können noch bis spätestens 11. Oktober
eingereicht werden. Den CFP und weitere Informationen finden Sie unter
http://www.uibk.ac.at/congress/krm/krm.html
Beste Grüße aus Tirol,
Michael Hanke
The preliminary schedule of the VGSF Research Seminar for the coming
semester can be found on the VGSF website (www.vgsf.ac.at-->Activities and
Events-->Research Seminars).
This semester's seminars are going to take place at the WU Wien (UZA 4,
Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). The only exception is Xavier Freixas's seminar which is co-organized
and hosted by the Austrian Central Bank.
The seminar is going to take place, as usual, on Fridays from 15:30 to
17:00. Due to visitors' time constraints, however, individual seminars might
take place on different days (and different seminar rooms at the WU Wien).
These seminars are appropriately highlighted on the webpage.
Seminar speakers are going to include Peter Swan, Ashley Wang, Xavier
Freixas, Marcin Kacperczyk, Will Goetzman, Dirk Hackbarth, Erik Theissen,
Nicole Branger, Peter Bossaerts and Denis Gromb.
If you have further questions regarding the seminar, please contact
michael.halling(a)univie.ac.at.
Kind Regards,
Michael Halling
Sehr geehrte Damen und Herren,
ich darf Sie auf folgende Veranstaltung aufmerksam machen:
21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE
24. / 25. November 2006
ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT
Last CALL for PAPERS
http://www.uni-klu.ac.at/fgk/assets/images/AWG/AWG-21_CfP.pdf
Bitte REGISTRIEREN Sie Ihre Teilnahme unter
http://www.uni-klu.ac.at/fgk/html/Anmeldeformular.html
Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem
25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei
o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik
Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt
Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 einzureichen.
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 - Business Valuation - Capital Market Theory - Capital Requirements of
(Auswahl) Financial 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.
(Apologies for any cross-listings!)
Business Applications of Optimisation, Stochastic Programming & Portfolio Planning:
*Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using SCRIPTING and COM Objects,
16 - 17 October, CARISMA, Brunel University, West London
*Decision Making under Uncertainty: Stochastic Programming, 18 - 19 October, CARISMA, Brunel University, West London
*Financial Planning Using Integer Quadratic Programming,
20 October, CARISMA, Brunel University, West London
Dear Colleague
We are pleased to announce the above workshops, which are organised by CARISMA, Brunel University, OptiRisk Systems and UNICOM Seminars.
The workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, quantitative analysts, risk analysts, DSS application developers, consultants, and academic researchers.
The courses will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL Modelling System, CPLEX, FortMP, FortSP and SPInE. They are most comprehensive and cover the latest developments in the field, with plenty of hands-on examples, which help you develop stochastic programming applications for your sector, be it financial planning, portfolio selection, supply chain, or energy systems planning.
Guest Presentation:
*Scenario Generation - Hidden Markov Model
Enza Messina, University of Milan, Italy
*Sloving Integer Stochastic Programming
Suvrajeet Sen, University of Arizona, USA
For further details please go to www.unicom.co.uk/optimise, either download brochure or email mapgxcs(a)brunel.ac.uk for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. Thank you.
Best regards
CARISMA
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk
http://people.brunel.ac.uk/~mapgxcshttp://mam3xs.blogspot.com/
((+44) (0)1895 265625
((+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Sehr geehrte Damen und Herren,
am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop
zum Thema Risikomanagement statt. Organisiert wird der Workshop vom
Institut für Banken und Finanzen der Universität Innsbruck. Als Keynote
Speaker konnte Frau Prof. Uhrig-Homburg von der Universität Karlsruhe
gewonnen werden.
Nähere Informationen und einen Call for Papers finden Sie unter
http://www.uibk.ac.at/congress/krm/
Wir würden uns freuen, Sie im November in Obergurgl begrüßen zu dürfen.
Mit besten Grüßen aus Tirol,
Matthias Bank & Michael Hanke
--
Univ.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
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 24 Jul 2006 16:15:37 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 20 Jul 2006 17:22:28 -0400
From: creditrisk <creditrisk(a)finance-concepts.com>
Subject: [ccfz] Credit Risk Summit (New York , 20 Oct 2006)
FINANCE CONCEPTS and STANDARD & POORS
are pleased to announce a forthcoming
CREDIT RISK SUMMIT conference
The state of the art in credit and correlation modelling
New York, October 20th 2006
Download brochure:
http://www.finance-concepts.com/training/CreditRisk2006.pdf
This event will bring together world experts in the field of credit
risk modelling with the aim of presenting the state of the art in
quantitative approaches to credit risk and credit derivatives, aimed
at investors, market participants and quantitative analysts involved
with credit risk.
* Speakers:
DAMIANO BRIGO, Banca IMI
RAMA CONT, Ecole Polytechnique
SANJIV DAS, Santa Clara University
ARNAUD DE SERVIGNY, Standard & Poors
CRAIG FRIEDMAN, Standard & Poors
IBRAHIMA KOBAR, IXIS Asset Management
DAVID LI, Barclays Capital
ALEX LIPTON, Merrill Lynch
SVEN SANDOW, Standard & Poors
PHILIPP SCHÖNBUCHER, ETH Zürich
JAKOB SIDENIUS, JP Morgan
STAN URYASEV, University of Florida
NICOLAS VICTOIR, JP Morgan
Topics covered:
* Credit derivatives: pricing and risk management of credit default
swaps, single tranche CDOs
* Next generation credit products: options on CDO tranches, forward
starting tranche swaps, CMCDS
* Recent advances in modelling and measurement of default risk
* Structured credit products: structuring of synthetic CDOs, actively
managed CDOs
* Credit rating methodologies for single tranche CDOs and structured
credit derivatives
* Correlation book management
* Cash CDOs: structuring and management
* INFORMATION AND REGISTRATION:
For information on registration please download the conference
brochure on http://www.finance-concepts.com
In order to enhance the interaction between participants and speakers,
the number of participants is limited and request for registration
will be treated in the order of their arrival. We therefore kindly
request interested participants to send in their registration as soon
as possible but no later than the REGISTRATION DEADLINE: September
30th 2006.
For more information please visit our web site
http://www.finance-concepts.com or contact us by email:
creditrisk(a)finance-concepts.com
Finance Concepts Your partner in risk management
PARIS - NEW YORK http://finance-concepts.com/
Tel: +33 1 53761146 E-mail: creditrisk(a)finance-concepts.com
Fax: +33 1 45016510
_______________________________________________
ccfz mailing list
ccfz(a)math.ethz.ch
https://mailman.math.ethz.ch/mailman/listinfo/ccfz
First Announcement
The third international conference on Economics and Management of
Networks (EMNet) will take place at the Erasmus University Rotterdam
(Rotterdam School of Management), The Netherlands, from June 28 to June
30, 2007. EMNet conferences serve to promote communication and awareness
among researchers in economics and management and provide a forum to
present current research and to discuss issues of common interest, such
as relevant developments in organizational economics and management. The
content of EMNet conferences include all forms of networks, such as
franchising, joint ventures, virtual organizations, strategic alliances,
cooperative networks, clusters, venture capital relations and other
forms of hybrids.
The call for papers will be sent out in September.
Conference information can be found at: http://www.univie.ac.at/EMNET.
The latest book from the EMNet-Conference in Budapest on 'ECONOMICS and
MANAGEMENT of NETWORKS: Franchising, Strategic Alliances and
Cooperatives' (ed. by G. Cliquet, G. Hendrikse, M. Tuunanen, J.
Windsperger) will be published in September 2006 (see further
information on the web page:
http://www.univie.ac.at/EMNET/2005/index2005.htm)
Best regards,
Josef Windsperger
University of Vienna
Center of Business Studies
Josef.windsperger(a)univie.ac.at
--
Josef Windsperger, PhD
Associate Professor of Organization and Management (ao. Univ.-Prof.)
University of Vienna, Center for Business Studies
Bruenner Str. 72; A-1210 Vienna, Austria
Phone: +431 4277 38180; Fax: +431 4277 38174
Email: josef.windsperger(a)univie.ac.at
URL: http://www.univie.ac.at/im
Prof. Li Jin from the Harvard Business School is giving a VGSF research
seminar on "Managerial Career Concern and Mutual Fund Short-termism" on
FRIDAY, June 30th, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Li is going to be in Vienna for the entire week. If you like to meet him and
to discuss your research with him, please contact me.
Best,
Michael Halling
Abstract
Mutual fund investors reward short run performance with large inflows. Fund
managers facing strong performance-related flows are shown to focus more on
short horizon investments. Further tests of causality suggest that fund
managers short investment horizons are caused by their investors short
horizons, but not the other way around.
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: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
Abstract
The impact of realized transaction costs on portfolio performance is now
well recognized. Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affects performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha, increasing skill and breadth. Specifically,
accurate transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade. Further, improved forecasts of costs are
critical to determining optimal portfolio turnover. Greater turnover
allows for more active bets, increasing breadth, but magnifies the
impact of trading costs. Balancing these considerations appropriately
yields an optimal turnover level. Transaction cost models thus help
reduce not only realized costs, but also improve performance on an ex
ante basis. The analysis provides insights into the determinants of
optimal fund capacity. We show that capacity problems are manifested
gradually in the form of higher expected costs, reduced breadth, and
lower turnover. Capacity is an elastic concept that is surprisingly
responsive to even relatively modest gains in transaction cost control
or forecasting ability. This suggests that fund managers can influence
their capacity through investments in better execution research and
technology.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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
Sehr geehrte Damen und Herren,
ich darf Sie auf folgende Veranstaltung aufmerksam machen:
21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE
24. / 25. November 2006
ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT
First CALL for PAPERS
http://www.uni-klu.ac.at/fgk/assets/images/DP/AWG-21_CallPaper.pdf
Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem
25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei
o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik
Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt
Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 einzureichen.
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 - Business Valuation - Capital Market Theory - Capital Requirements of
(Auswahl) Financial 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.
Prof. Branco Urosevic from the Faculty of Economics, Belgrade (Serbia), and
the Department of Economics and Business, Universitat Pompeu Fabra,
Barcelona (Spain) is giving a VGSF research seminar on "Ownership Dynamics
with Multiple Insiders: The case of REITs" on FRIDAY, June 23rd, from 15:30
to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's
abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
We study ownership dynamics of multiple strategic risk-averse insiders
facing a moral hazard problem. We show that, when insiders cannot commit,
ex-ante, to an ownership policy, the aggregate insider stake gradually
declines towards the competitive allocation. Moreover, both the speed of
decline and the long-term equilibrium aggregate insider ownership level are
greater for companies with a higher number of insiders, ceteris paribus. We,
then, test the model on data from the U.S. Real Estate Investment Trusts
(REITs) industry and find that the predictions of the model are supported by
the data.
Prof. Philipp Schönbucher from the ETH Zurich is giving an Extra-VGSF
research seminar on "Portfolio Losses and the Term Structure of Loss
Transition Rates: A new methodology for the pricing of portfolio credit
derivatives" on Monday, June 19th, from 18:00 to 19:30 at the Vienna
University of Business Administration and Economics (WU Wien,
Nordbergstrasse 15, 1090 Wien), SR A619, UZA 4. Please find the paper's
abstract below.
Best,
Michael Halling
Abstract
In this paper, we present a model for the joint stochastic evolution of the
cumulative loss process of a credit portfolio and of its probability
distribution. At any given time, the loss distribution of the portfolio is
represented using forward transition rates, i.e. the transition rates of a
hypothetical time-inhomogeneous Markov chain which reproduces the desired
transition probability distribution. This approach allows a straightforward
calibration of the model (e.g. to a full initial term- and strike structure
of synthetic CDOs including the correlation smile) and it is shown that
(except for regularity restrictions) every arbitrage-free loss distribution
admits such a representation with forward transition rates. To capture the
stochastic evolution of the loss distribution, the transition rates are then
equipped with stochastic dynamics of their own, and martingale / drift
restrictions on these dynamics are derived which ensure absence of arbitrage
in the model. Furthermore, we analyze the dynamics of spreads and
STCDO-prices that are implied by the model and show that the input
parameters can be viewed as spread move parameters and correlation move
parameters. We also show how every dynamic model for correlated individual
defaults can be cast into this framework.
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: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
The impact of realized transaction costs on portfolio performance is now
well recognized. Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affect performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha (superior performance).Specifically, accurate
transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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
Next week the VGSF is organizing THREE seminars - one on MONDAY, June 12th,
and two on TUESDAY, June 13th.
Prof. David Feldman from the University of New South Wales is going to talk
about "The CAPM Relation for Inefficient Portfolios" on Monday, June 12th,
from 15:30 to 17:00 at the BWZ, Seminar Room 1, Bruennerstr. 72,1210 Wien.
On TUESDAY, June 13th, two seminars by Kai Li, University of British
Columbia, and Martijn Cremers, University of Yale, are scheduled. Kai is
going to talk about "Corporate Boards and the Leverage and Debt Maturity
Choices". The paper presented by Martijn has to be still announced. This
double seminar takes place from 16:00 to 19:00 in Lecture Room 2 at the
Institute for Advanced Studies (Stumpergasse 56, 1060 Wien).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract of "The CAPM Relation for Inefficient Portfolios"
**********************************************************
Following empirical evidence that - contrary to CAPM predictions - found
little relation between expected rates of return and betas, the relation has
been investigated extensively. Roll and Ross (1994) (RR) and Kandel and
Stambaugh (1995) are seminal works. In this context, within a Markowitz
world (finite number of nonredundant risky securities with finite first two
moments), we generally and simply write the theoretical CAPM relation for
inefficient (non-frontier) portfolios (CAPMI). We demonstrate that the CAPMI
is a well-specified alternative for the widely implemented misspecified CAPM
for use with inefficient portfolios. We identify three sources for this
misspecification: i) the omission of an addend in the pricing relation, ii)
the use of an incorrect risk premiums/beta coefficients (due to of the
existence of infinitely many "zero beta" portfolios at all expected
returns), and iii) the use of unadjusted betas. We suggest the use of
incomplete information equilibria to overcome unobservability of moments of
returns. Our results are robust to regressions that produce positive
explanatory beta power, including extensions such as multiperiod,
multifactor, and the conditioning on time and various attributes.
Abstract of "Corporate Boards and the Leverage and Debt Maturity Choices"
**************************************************************************
Debt, and in particular, short-term debt have the potential to discipline
managers. We examine the role of the board in making financing decisions
that provide this discipline. Specifically, given a firm's characteristics,
we predict that stronger boards will force the firm to hold more debt and
more shortterm debt, and that the effect of the board on the use of
short-term debt is likely to be stronger among low-growth firms than among
high-growth firms. Employing a rich dataset of board characteristics and
controlling for other aspects of a firm's corporate governance, we find
support for these hypotheses.
Moreover, the degree to which director tenure on the board exceeds the CEO
tenure is the most important driver of board strength in our study. This
simple measure of the relative power and true independence of directors
relative to the CEO is a robust and promising measure of internal
governance.
Prof. Josef Zechner from the University of Vienna is giving a VGSF research
seminar on "Human Capital, Bankruptcy, and Capital Structure" on Friday,
June 2nd, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
This paper identifies a previously overlooked friction, human capital risk,
which can explain an important puzzle in corporate finance why firms
maintain such low levels of debt, given the apparently modest costs of
bankruptcy. We derive the optimal compensation contract when employees are
averse to their own human capital risk, but equity holders are not averse to
this risk, and show that, in the absence of other frictions, all firms will
be unlevered. In the presence of corporate taxes, optimal debt levels are
consistent with the levels observed, implying that human capital risk is of
the same order of importance as taxes in the capital structure decision.
Because these costs are impossible to measure directly, existing empirical
studies that attempt to measure the costs of bankruptcy grossly
underestimate them.
POSTDOCTORAL POSITION
at
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
The Vienna Graduate School of Finance (VGSF – www.vgsf.ac.at) offers the
first PhD Program in Finance in Austria and aims to become an
internationally leading PhD program and research center. The VGSF is a
cooperation between three leading academic institutions in Austria:
Institute for Advanced Studies Vienna (IHS – www.ihs.ac.at), University
of Vienna (www.univie.ac.at), and Vienna University of Economics and
Business Administration (WU – www.wu-wien.ac.at). The VGSF is funded by
the Austrian Science Fund (FWF – www.fwf.ac.at).
The VGSF offers a
Postdoctoral Position
(full time)
Job Description:
The main focus of this position will be on research. It furthermore
involves coordinating a first/second year “Finance Paper Reading” course
and some general administrative tasks.
Job Qualification:
Candidates must have a doctoral degree in finance, financial economics
or equivalent. Solid training and experience in econometrics or
statistical modelling. Experience with one or more of the following
packages: R, GAUSS, EVIEWS, STATA. Evidence of research capability at a
level that can lead to publications in international peer-reviewed
journals. The language of the PhD program in Finance is English.
Therefore excellent English skills are required, German language skills
are desirable but not obligatory.
Start Date: As soon as possible, but no later than September 2006
Term: up to 2 years with possible extension
Salary: Euro 40.300 gross per annum
Application Deadline: June 25th, 2006
Candidates should mail or preferably e-mail their curriculum vitae,
letters of recommendation, a one page statement of purpose in which they
explain their interest in the position as well as their area of
research, and a copy of one research paper to:
Vienna Graduate School of Finance (VGSF)
o.Univ.-Prof. Mag. Dr. Stefan Bogner
c/o Wirtschaftsuniversität Wien
Institut für Finanzierung und Finanzmärkte
Abteilung für Betriebliche Finanzierung
UZA 4, 6. Stock Kern B
Nordbergstraße 15 - 1090 Wien (Vienna), Austria
Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736
E-mail: stefan.bogner(a)wu-wien.ac.at
Further details about the VGSF are available at: http://www.vgsf.ac.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: May 31st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria)
Speaker: Prof. Dr. THEO VERMAELEN
http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/
Title: "BEATING THE MARKET WITH BUYBACKS"
When firms announce plans to repurchase shares in the market, they often
state that their shares are undervalued. In spite of this claim stock
prices only increase slightly around the announcement. We show that, on
average, the market is wrong, and managers are right: stock prices
significantly under-react to buyback announcements. Of course, not every
buyback is driven by undervaluation. In order to distinguish companies
that repurchase shares because they are cheap from those that repurchase
shares for other reasons, we develop an undervaluation index. The index
measures the probability that the repurchase is driven by
undervaluation. A portfolio strategy that invests in high undervaluation
index stocks beats the Fama-French 3 factor model benchmark by 45 %,
after 3 years. The strategy is stable over time in the sense that a
buyback portfolio that consists of the 50 companies with the highest
undervaluation index during the previous year, always beats the
benchmark over the next 3 and 4 years.
About Theo Vermaelen:
Theo Vermaelen is the Schroders Professor of International Finance and
Asset Management at INSEAD. He received his Ph.D. and MBA at the
University of Chicago. Professor Vermaelen has published more than 10
articles on share repurchases in leading academic journals such as the
Journal of Finance and the Journal of Financial Economics and is also
the author of “Share Repurchases” published by NOW publishers. In
addition he has extensive practical experience implementing the
strategies suggested by his research as a portfolio manager of the KBC
equity buyback fund, until 2004. He is planning to launch a new fund in
the fall of this year.
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
Prof. Damir Filipovic from the University of Munich (Mathematics Institute)
is giving a special VGSF research seminar on "Optimal Capital and Risk
Transfer for Group Diversification" on Monday, May 29th, 17.00, in
Seminarraum A 619, Wirtschaftsuniversität Wien, UZA4, 6. Stock,
Nordbergstraße 15, 1090 Wien.
Best,
Michael Halling
Prof. Wolfgang Bühler from the University of Mannheim is giving a VGSF
research seminar on "Credit Risk, Liquidity Risk, and Optimal Capital
Structure under Incomplete Accounting Information" on WEDNESDAY, May 24th,
from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für
Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please
find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
In a structural model for credit risk we endogenize inability to pay as a
second independent reason for default besides overindebtedness. Inability to
pay is triggered by rational behavior of incompletely informed outsiders.
The firm needs to raise additional cash via secondary equity offerings in
order to service its coupon payments. Underpricing of secondary equity
offerings is explained as necessary for these offerings to be successful. In
addition to Duffie/Lando (2001) we find that the liquidity risk has a strong
impact on the current firm value and the optimal leverage. Credit spreads of
debt in the primary market depend on the degree of liquidity risk. They can
be lower or higher than in case without liquidity risk.
Our results have a number of additional, interesting consequences. Contrary
to Duffie/Lando (2001) incomplete information of outside investors has an
impact on the default probability of the firm and therefore on the optimal
capital structure which is determined in the primary market. The debt-equity
ratio is typically lower than in the Duffie/Lando (2001) model that operates
under complete information in the primary market and can result in lower
credit spreads.
Prof. Lorenzo Garlappi from the University of Texas at Austin is giving a
VGSF research seminar on "Default Risk, Shareholder Advantage, and Stock
Returns" on FRIDAY, May 19th, from 15:30 to 17:00 at the Institute for
Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien),
Lecture Room (HS) 2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at! Lorenzo is going to be available for discussions
on Friday before and after the seminar, and on the following Monday (22.5.)
and Tuesday (23.5.). If you would like to meet him, please let me know.
Best,
Michael Halling
Abstract
In this paper, we study the relationship between default probability
and stock returns. Using the market-based measure of Expected
Default Frequency (EDF) constructed by Moody's KMV, we first
demonstrate that higher default probabilities are not necessarily
associated with higher expected stock returns, a finding that
complements the existing empirical evidence. We then show that the
puzzling and complex relationship between stock returns and default
probability is consistent with the implications of existing
structural models that account for possible negotiated benefits for
equity-holders upon default. Adapting the setting of the Fan and
Sundaresan (2000) model that explicitly considers the bargaining
game between equity-holders and debt-holders in financial distress,
we are able to obtain a theoretical relationship between expected
returns and default probability that resembles the empirically
observed pattern. Our analysis indicates that, depending on the
level of shareholder advantage, the relationship between default
probability and equity return may be either upward sloping (low
shareholder advantage) or humped and downward sloping (high
shareholder advantage). Moreover, we show that distressed firms in
which shareholders have a stronger advantage in renegotiation
exhibit lower expected returns, and that their default probabilities
do not adequately represent the risk of default born by equity. We
test these implications using several proxies for shareholder
advantage and find strong support in the data.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 15 May 2006 22:14:00 +0200 (CEST)
From: Rama CONT <Rama.Cont(a)polytechnique.fr>
Subject: Workshop on Financial Modeling with Jump Processes
Dear colleague,
On behalf of the Scientific Committee and the Local Organizing Committee,
we are pleased to announce the forthcoming
Workshop on Financial Modeling with Jump Processes,
Ecole Polytechnique (Palaiseau, France), September 6-8, 2006
http://www.fiquam.polytechnique.fr/AMAMEF/
We invite contributions dealing with models based on jump processes and
their applications in finance dealing in particular, but not exclusively,
with the following issues:
Multidimensional models with jumps: dependence modeling, Lévy copulas,
numerical methods for multidimensional models.
Simulation and estimation: efficient simulation of multivariate models,
econometrics of jump processes, realized volatility/ bi-power variation.
Partial integro-differential equations (PIDEs) and computational methods
Inverse problems: theory and algorithms for inverse problems related to
option pricing models with jumps.
New modeling approaches: Markov processes with jumps, models for
electricity prices, interest rate models with jumps and their efficient
analytical and numerical treatment
* DEADLINE for submission of abstracts: JUNE 15, 2006
* DEADLINE for registration: AUGUST 1, 2006.
For more information please visit the conference website:
http://www.fiquam.polytechnique.fr/AMAMEF/
THIS WORKSHOP IS SUPPORTED BY:
European Programme on "Advanced mathematical methods for finance"
Centre de Mathematiques Appliquees, Ecole Polytechnique
Chaire des Risques Financiers, Ecole Polytechnique
Seminar on Applied Mathematics, ETH Zurich
Europlace Institute of Finance
Prof. Andrei Simonov from the Stockholm School of Economics is giving a VGSF
research seminar on "Shareholder Homogeneity and Firm Value: The
Disciplining Role of Non-Controlling Shareholders" on FRIDAY, May 12th, from
15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere
Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the
paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at! Andrei is going to be available for discussions
on Thursday and Friday. If you would like to meet him, please let me know.
Best,
Michael Halling
Abstract
We study how the shareholding structure of a firm affects its stock price
and profitability. We argue that the degree of shareholder homogeneity
affects firm value. Homogeneous shareholders act as a disciplining device on
managers, inducing them to be more transparent and to engage less in value
destroying activities. This leads to higher firm profitability, higher stock
price and lower volatility. Shareholder homogeneity represents an
alternative and indirect source of corporate governance based on the stock
market. We test this hypothesis by using a dataset containing information on
all the shareholders for each firm in Sweden from 1995 to 2001. We construct
two proxies for shareholder homogeneity: the first is based on the age
cohort of the shareholders, and the second on their degree of college
interaction. For each firm, we measure the degree of homogeneity of all
shareholders. Using this proxy, we show that greater homogeneity increases
firm profitability and returns, and reduces analysts forecasting errors and
dispersion, and stock volatility.
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: May 31st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria)
Speaker: Prof. Dr. THEO VERMAELEN
http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/
Title: "BEATING THE MARKET WITH BUYBACKS"
When firms announce plans to repurchase shares in the market, they often
state that their shares are undervalued. In spite of this claim stock
prices only increase slightly around the announcement. We show that, on
average, the market is wrong, and managers are right: stock prices
significantly under-react to buyback announcements. Of course, not every
buyback is driven by undervaluation. In order to distinguish companies
that repurchase shares because they are cheap from those that repurchase
shares for other reasons, we develop an undervaluation index. The index
measures the probability that the repurchase is driven by
undervaluation. A portfolio strategy that invests in high undervaluation
index stocks beats the Fama-French 3 factor model benchmark by 45 %,
after 3 years. The strategy is stable over time in the sense that a
buyback portfolio that consists of the 50 companies with the highest
undervaluation index during the previous year, always beats the
benchmark over the next 3 and 4 years.
About Theo Vermaelen:
Theo Vermaelen is the Schroders Professor of International Finance and
Asset Management at INSEAD. He received his Ph.D. and MBA at the
University of Chicago. Professor Vermaelen has published more than 10
articles on share repurchases in leading academic journals such as the
Journal of Finance and the Journal of Financial Economics and is also
the author of “Share Repurchases” published by NOW publishers. In
addition he has extensive practical experience implementing the
strategies suggested by his research as a portfolio manager of the KBC
equity buyback fund, until 2004. He is planning to launch a new fund in
the fall of this year.
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
------------ Forwarded message -----------------
Date: Fri, 5 May 2006 19:12:12 +0200 (MEST)
From: cobol(a)cc.kuas.edu.tw
Subject: Second Call for Paper for Special Sessions of CIEF'2006
* My apology if multiple copies of this message reach you.
Special sessions of CIEF'2006 Second Call For Paper
The 5th International Conference on Computational Intelligence in
Economics and Finance
October 8-11, 2006 Kaohsiung City, Taiwan
Submission deadline has been extended to June 1, 2006
http://www.jcis.org,
www.aiecon.org
Dear colleagues,
We would like to invite you to submit your manuscript to the special
sessions of CIEF'06. This conference features emerging the related
quantitative and experimental methods and integrations of economic and
financial studies with computational methods (e.g. numerical methods,
econometrics, artificial neural networks, genetic algorithm, particle
swarm optimization, fuzzy logics, etc.). All other aspects of theory
and research on computational method related to economics and finance
issue are welcome. CIEF'2006 will have organized 13 special
sessions shown as follow:
Topics
Special Session Chairs
Behavioral Economics and Finance
Dr. Len-Kuo Hu, lkhu(a)nccu.edu.tw
Dr. Yu-Hsiu Lin, yushiu(a)cc.kuas.edu.tw
Experimental Economics
Dr. Sun-Chong Wang, scwang(a)phys.sinica.edu.tw
Econophysics
Dr. Taisei Kaizoji, kaizoji(a)icu.ac.jp
Dr. Yuji Aruka, aruka(a)tamacc.chuo-u.ac.jp
Volatility Forecasting in Financial Market
Dr. Prof. Dietmar Maringer dmaring(a)essex.ac.uk
Financial engineering
Dr. San-Lin Chung, chungs(a)management.ntu.edu.tw
New Econometrics in stock market
Dr. Chou, Ray-Yeutien, rchou(a)econ.sinica.edu.tw 02-27822791-321
Agent-based computational finance
Dr. Takao Terano, terano(a)dis.titech.ac.jp
Dr. Takashi Yamada, tyamada(a)trn.dis.titech.ac.jp
Industrial Organization
Dr. William F. Lawless, lawlessw(a)mail.paine.edu
Electronic Finance (e-Finance)
Dr. Kun-huang Huarng khhuarng(a)fcu.edu.tw
Dr. Feng-Jyh Li fjlin(a)fcu.edu.tw
Computable General Equilibrium (CGE) Modeling
Dr. Shih-Mo Lin shihmo(a)cycu.edu.tw
Financial Engineering and Economic Agent Models
Dr. Serge Hayward shayward(a)escdijon.com
Intelligent Decision Support System in Stock Market
Dr. An-Pin Chen, apc(a)iim.nctu.edu.tw
Mu-Yen Chen, chenmy(a)cc.ncue.edu.tw
Fuzzy Decision and Management
Dr. Yaw-Chu Chen, ycchen(a)mcu.edu.tw
Innovation and Applications in SoftComputing
Dr. Tzung-Pei Hong, tphong(a)nuk.edu.tw
Dr. Wen-Yang Lin, wylin(a)nuk.edu.tw
For submission details, please see CFP on the JCIS website
(http://www.jcis.org/page/subconference/cief/special.html) and feel
free to disseminate them to other colleagues.
New important dates:
Full paper (4 pages limited) submission due: 2006.6.1
Paper acceptance notification date: 2006.7.1
Final (Camera-ready) paper submission due: 2006.7.15
Paper submission: Please email to related special session chairs.
Best regards,
Shu-Heng Chen and Ping-Chen Lin
Professor Dr. Shu-Heng Chen
Conference Chair of CIEF'2006
AI-ECON Research Center
Department of Economics
National Chengchi University, Taipei, Taiwan 116
Tel: +886-2-2938-7308
Fax: +886-2-2937-0290
E-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
Associate Professor Dr. Ping-Chen Lin
Program Chair of CIEF'2006
Institute of Finance and Information
National Kaohsiung University of Applied Sciences
415 Chien Kung Road,Kaohsiung 807, Taiwan,R.O.C.
Tel: +886-7-3814526 ext 6309
Celluar Phone: +886-935846043
Fax: +886-7-3831544
E-mail: lety(a)cc.kuas.edu.tw
Prof. Dimitri Vayanos from LSE is going to present the paper "A Search-Based
Theory of the On-the-Run Phenomenon" in the VGSF research seminar on May
5th.
Dimitri will be at the BWZ on Friday morning and at the IHS around the
seminar. If you would like to meet him please let me know.
Best,
Michael Halling
Prof. Pierre Mella-Barral from HEC Paris is going to present the paper
"Which way to Grow? Merging, Allying, or Buying Assets" in the research
seminar on April 28th.
Pierre will be at the BWZ on Thursday afternoon and at the IHS on Friday
before the seminar. If you would like to meet him please let me know.
Please accept my apologies for the outdated VGSF seminar website that still
shows Ananth Madhavan scheduled for this week's seminar. However, he had to
cancel his visit.
Best,
Michael Halling
Sehr geehrte Damen und Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, ist voraussichtlich ab 1. Mai 2006 bis 30. September 2008 die
Stelle eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen
Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte dem entsprechenden Ausschreibungstext:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers
(Bewerbungsfrist: 26. April 2006).
Für eine Weiterleitung an InteressentInnen bzw. Bekanntmachung über Ihre
Liste wäre ich Ihnen dankbar.
Mit vielen freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.at/
--------------------------------------------------------------------
Prof. Liam Brunt from the University of Lausanne is going to present the
paper "Do Banks Generate Financial Market Integration?" in the research
seminar on April 7th.
We are very happy that Prof. Brunt is able to come to Vienna on short
notice, as Prof. Bruno Solnik who was originally scheduled for this week had
to cancel his visit due to private reasons.
Prof. Brunt is going to be in Vienna from Thursday early afternoon to
Saturday afternoon. If you would like to meet him, please contact me via
email.
Best,
Michael Halling
-----------------------------------
P O S T D O C P O S I T I O N
AT THE
JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS
(RICAM)
OF THE AUSTRIAN ACADEMY OF SCIENCES, AUSTRIA
RICAM is a research institute which went into operation on January 1, 2003, and
is building up to a total of 30 PostDoc positions in six areas:
Computational Methods for Direct Field Problems
Inverse Problems
Mathematical Finance
Symbolic Computation
Analysis of Partial Differential Equations
Optimization and Control
The institute is housed on the campus of the Johannes Kepler University in
Linz, a town of about 200.000 inhabitants located along the Danube, very close
to the Austrian Alps, and half-way between Vienna and Salzburg (more
information about the institute can be found at http://www.ricam.oeaw.ac.at).
The "Mathematical Finance Group" is looking for a PostDoc with a strong
background in risk theory or quantitative finance. Possible specialisation
areas also include dependence modelling. Informal enquiries can be made to Dr.
Hansjörg Albrecher at: hansjoerg.albrecher(a)oeaw.ac.at.
A doctorate in mathematics or a closely related field is required. The working
language is English. The position is available from June 2006 or as soon as
possible thereafter. The initial contract can be for up to three years, a
renewal for three more years is possible depending on achievements. Closing
date for applications is May 1, 2006.
Two sets of applications with personal and scientific data, copies of relevant
documents and a statement about scientific interests and achievements should be
sent to
Prof. H. Engl
Johann Radon Institute
Austrian Academy of Sciences
Altenbergerstraße 69
A-4040 Linz
Austria
Alternatively, the application material can be sent by email to
annette.weihs(a)oeaw.ac.at
Date: Wed, 22 Mar 2006 10:41:32 +0100
From: "D. Filipovic" <filipo(a)mathematik.uni-muenchen.de>
--------------------------------------------------------
SUMMER SCHOOL
Risk Measurement and Optimal Investment
June 29 - 30, 2006
Mathematical Department
of the Ludwig-Maximilians Universitaet
LMU, Muenchen (Germany)
The summer school will take place at the Mathematical Department of the Ludwig-Maximilians Universitaet (LMU) of Muenchen on June 29 (13 - 19.30h) and on June 30 (9 - 17.30h). It consists of two mini courses on
* Risk Measures and Capital Allocation (Prof. F.Delbaen)
* Optimal Investment (Prof. C. Rogers)
held by Prof. F. Delbaen (ETH Zurich) and Prof. C. Rogers (University of Cambridge), and a special talk on
* Managing Value, Risk and Economic Capital:
A Practical Approach to Asset Liability Management
held by Dr. B. Kaufmann (Munich Re).
The school addresses PhD students, postgraduate researchers and all practitioners from the risk management in insurance and other financial institutions.
For further information, see:
http://www.mathematik.uni-muenchen.de/~finsum/koll.php
REGISTRATION
There is a registration fee. Participants are kindly requested to follow the indications on line available at
http://www.mathematik.uni-muenchen.de/~finsum/regi.html
ORGANISERS
Francesca Biagini, LMU Muenchen
(http://www.mathematik.uni-muenchen.de/~biagini/)
Damir Filipovic, LMU Muenchen.
(http://www.mathematik.uni-muenchen.de/~filipo/)
Please note that on March 24th there is not going to be a research seminar -
the originally planned seminar is cancelled.
The next seminar is given by Prof. Erwan Morellec (Université de Lausanne)
on "Stock returns in mergers and acquisitions" on FRIDAY, March 31st, from
15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere
Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before (starting at around 15:00) and
after the seminar.
If you want to meet Prof. Morellec to discuss your research projects, please
let me know. I'm going to set up a schedule for him.
Best,
Michael Halling
Im *Institut für Finanzierung und Finanzmärkte/ Corporate Finance* ist
voraussichtlich ab 1. Mai 2006 bis 30. April 2012 die Stelle *eines
Assistenten/einer Assistentin* (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt
*zu besetzen.
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:*
EU-Bürger/in, Doktorat in Wirtschaftswissenschaften oder
Wirtschaftsmathematik, gutes Englisch
*Erwünschte Kenntnisse und Qualifikationen:*
Erfahrung in Forschung und Lehre auf dem Gebiet der Finanzwirtschaft,
insbesondere im Bereich Corporate Finance in Verbindung mit Banking und
Accounting sowie Währungsmärkte und deren Mikrostruktur.
Fundierte ökonometrische Kenntnisse, Programmierkenntnisse in VBA und
C/C++,
sehr gute Kenntnisse im Umgang mit statistischer Software insbesondere
Stata sowie im Umgang mit Datenprovidern wie Reuters, Bloomberg und
Datastream.
*Kennzahl: 57905*
*Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind
unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten.*
*Ende der Bewerbungsfrist: 5. April 2006*
*Bitte die Kennzahl unbedingt anführen!*
Nähere Informationen gibt es bei Prof. Stefan Bogner.
Allgemeine Informationen zu Bewerbungen an der WU-Wien finden sich beispielsweise unter
http://notes.wu-wien.ac.at/usr/zid/mb/05/mb23.nsf/Inhalt?OpenView&Start=1&C…
-------------------------------------------------------------------------------
o.Univ.-Prof. Mag. Dr. Stefan Bogner
Wirtschaftsuniversität Wien
Institut für Finanzierung und Finanzmärkte
Abteilung für Betriebliche Finanzierung
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4242
Fax: ++43 1 31336 736
E-mail: stefan.bogner(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/dcf
--------------------------------------------------------------------------------
Prof. Klaus Ritzberger is giving a VGSF research seminar on "Corporate
Control and the Stock Market" on FRIDAY, March 17th, from 15:30 to 17:00 at
the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before the seminar (starting at around
15:00).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Prof. Doyne Farmer from the Santa Fe Institute is giving a VGSF research
seminar on "Financial markets as a behavioral laboratory: An empirical
behavioral model for price formation" on FRIDAY, March 10th, from 15:30 to
17:00 at the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and sweet snacks are going to be available in the cafeteria of IHS,
which is located next to the lecture room, before the seminar (starting at
around 15:00).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2006:
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
- apologies for any cross-postings!! -
March 27th, 2006, 9.00 am – 6.00 pm
University of Vienna - "Kleiner Festsaal"
Dr. Karl-Lueger-Platz 1, 1010 Wien
Real estate, a major driver of both the overall economy and of
individual wealth, has become an increasingly important asset class for
portfolio managers. Other real assets such as private equity and venture
capital have also generated a lot of interest recently as additional
opportunities to optimize asset allocation. However, for most investors,
these alternative investment opportunities remain rather opaque.
Internationally recognized experts will present their analyses of these
asset classes at our symposium from both an academic and practitioner’s
perspective.
NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED
PLEASE REGISTER VIA E-MAIL NOT LATER THAN MARCH 14th:
gutmann.bwl(a)univie.ac.at
PROGRAM
08.15-09.00 REGISTRATION
09.00-09.10 WELCOME AND PRESENTATION OF THE GUTMANN CENTER
PHD-SCHOLARSHIP 2005/2006
Josef Zechner, University of Vienna and Gutmann Center
Rudolf Stahl, CEO Bank Gutmann AG
Recipient: Jin Yu, Vienna Graduate School of Finance (VGSF)
09.10-10.40 SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN
CHARACTERISTICS
Chair: Engelbert Dockner, University of Vienna
09.10-09.40 “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Speaker: Loriana Pelizzon, Università Ca' Foscari di Venezia
Discussant: Walter Torous, UCLA
09.40-10.10 “Illiquidity and Pricing Biases in the Real Estate Market”
Speaker: Kerry D. Vandell, University of Wisconsin-Madison
Discussant: Charles Himmelberg, Goldman Sachs
10.10-10.40 “Hot and Cold Housing Markets: International Evidence”
Speaker: Javier Suarez, CEMFI
Discussant: Robert Korajczyk, Northwestern University
10.40-11.00 - Coffee Break -
11.00-12.30 SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
Chair: Tomas Björk, Stockholm School of Economics
11.00-11.30 “Comovement After Joining an Index: Spillovers of
Nonfundamental Effects”
Speaker: Dong Wook Lee, University of Kentucky
Discussant: Youchang Wu, University of Vienna
11.30-12.00 “Better Regulation and Underwriter Reputation have done
nothing for IPO Underpricing over the 20th Century: Empirical Evidence
from IPOs on the London Stock Exchange”
Speaker: Elroy Dimson, London Business School
Discussant: Neal Stoughton, University of Calgary
12.00-12.30 “Beautiful Asset: Art as Investment”
Speaker: Michael Moses, New York University
Discussant: Klaus Spremann, University St. Gallen
12.30-13.30 - Lunch Buffet -
13.30-14.15 KEY-NOTE-ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Speaker: Eduardo Schwartz, UCLA
14.15-14.45 - Coffee Break -
14.45-16.15 SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
Chair: Elroy Dimson, London Business School
14.45-15.15 “Determinants of Venture Capital Performance: Europe and the
United States”
Speaker: Ulrich Hege, HEC
Discussant: Michael Halling, University of Vienna
15.15-15.45 “Risk-Adjusted Returns of Private Equity Investments”
Speaker: Alexander Groh, TU Darmstadt
Discussant: Engelbert Dockner, University of Vienna
15.45-16.15 “The Performance of Private Equity Funds”
Speaker: Ludovic Phalippou, University of Amsterdam,
Discussant: Stefan Pichler, Vienna University of Economics and Business
Administration
16.15-16.30 - Coffee Break -
16.30-17.30 SESSION IV: EXPECTED RETURNS IN REAL ESTATE
Chair: Klaus Spremann, University St. Gallen
16.30-17.00 “Expected Returns and the Expected Growth in Rents of
Commercial Real Estate”
Speaker: Walter Torous, UCLA
Discussant: Alex Stomper, Institute for Advanced Studies, Vienna
17.00-17.30 “Assessing High House Prices: Bubbles, Fundamentals and
Misperceptions”
Speaker: Charles P. Himmelberg, Goldman Sachs
Discussant: Javier Suarez, CEMFI
CONCLUDING REMARKS
Josef Zechner, University of Vienna and Gutmann Center
- Refreshments –
The Gutmann Center Symposium 2006 is organized in cooperation with:
DIE PRESSE – www.diepresse.com
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
New Directions in Financial Modelling <http://www.unicom.co.uk/finance>
Seminar and Workshop Series,
22 May 2006 - 25 May 2006, London, UK
22 May: Pre-Seminar Workshop
Financial Innovation & New Structured Products in the Equity World
23-24 May: Two-day, multi-speaker seminar, with the following themes:
*
Day One: Recent Developments in Financial Modelling
*
Day Two: Recent Developments in Portfolio Planning
25 May: Demonstrations of specialist financial software systems
This meeting is organised by CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University in collaboration with a number of other leading research institutions:
Hermes Centre of Excellence, University of Cyprus
Department of Statistics and Decision Support Systems, University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge.
The Centre for Quantitative Finance, Imperial College
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida
The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications. Those presenting/demonstrating systems will include:
CARISMA
University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge
The Centre for Quantitative Finance, Imperial College
APT
Insightful
Speakers for 23-24 May confirmed to date include:
Nicos
Christofides
The Centre for Quantitative Finance, Imperial College (confirmed)
Michael
Dempster
The Centre for Financial Research, Judge Business School, Cambridge (confirmed)
Gerd
Infanger
Stanford University (confirmed)
Dilip
Madan
Robert H Smith School of Business, University of Maryland/Consultant to Morgan Stanley (confirmed)
Gautam
Mitra
CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University (confirmed)
Georg
Pflug
Department of Statistics and Decision Support Systems, University of Vienna (confirmed)
Stan
Uryasev
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida (confirmed)
Stavros
Zenios
Hermes Centre of Excellence, University of Cyprus (confirmed)
Daniel
Di Bartolomeo
Northfield Systems (confirmed)
Norbert
Jobst
Standard & Poor's (confirmed)
Zari
Rachev
FinAnalytica (confirmed)
Andrew
Robinson
APT (confirmed)
Benefits of Attending
You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions.
The target audience is
Academics
PhD Research Students
Project leaders and Quants from Financial Institutions
For further details please go to www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. I believe this information will be of interest to you and your colleagues
With regards
Michael Sun
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk>
http://mam3xs.blogspot.com/
*(+44) (0)1895 265625
*(+44) (0)7841873292
Sehr verehrte Damen, sehr geehrte Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, sind voraussichtlich ab Anfang März 2006 bis 30. September
2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer
Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei
Stellen unter:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48
(Bewerbungsfrist: 1. März 2006).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls
Weiterleitung an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.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: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in 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
Prof. Vasant Naik from Lehman Brothers (London) is giving a VGSF research
seminar on "Global Savings - Investment Imbalances: A Look Through the
Life-Cycle Model" on MONDAY, Feb. 20th, from 15:30 to 17:00 at the BWZ,
Lecture Room (HS) 3.
There is going to be the possibility to talk to Vasant on Tuesday. If you
would like to discuss your research projects and ideas with him, please
contact michael.halling(a)univie.ac.at.
Best,
Michael Halling
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2006:
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
March 27th, 2006, 9.00 am – 6.00 pm
University of Vienna - "Kleiner Festsaal"
Dr. Karl-Lueger-Platz 1, 1010 Wien
Real estate, a major driver of both the overall economy and of
individual wealth, has become an increasingly important asset class for
portfolio managers. Other real assets such as private equity and venture
capital have also generated a lot of interest recently as additional
opportunities to optimize asset allocation. However, for most investors,
these alternative investment opportunities remain rather opaque.
Internationally recognized experts will present their analyses of these
asset classes at our symposium from both an academic and practitioner’s
perspective.
KEY-NOTE ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Eduardo Schwartz, UCLA
SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS
- “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Loriana Pelizzon, Università Ca' Foscari di Venezia
- “Illiquidity and Pricing Biases in the Real Estate Market”
Kerry D. Vandell, University of Wisconsin-Madison
- “Hot and Cold Housing Markets: International Evidence”
Javier Suarez, CEMFI
SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
- “Comovement After Joining an Index: Spillovers of Nonfundamental Effects”
Dong Wook Lee, University of Kentucky
- “Better Regulation and Underwriter Reputation have done nothing for
IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on
the London Stock Exchange”
Elroy Dimson, London Business School
- “Beautiful Asset: Art as Investment”
Michael Moses, New York University
SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
- “Determinants of Venture Capital Performance: Europe and the United
States”
Ulrich Hege, HEC
- “Risk-Adjusted Returns of Private Equity Investments”
Alexander Groh, Technische Universität Darmstadt
- “The Performance of Private Equity Funds”
Ludovic Phalippou, University of Amsterdam,
SESSION IV: EXPECTED RETURNS IN REAL ESTATE
- “Expected Returns and the Expected Growth in Rents of Commercial Real
Estate”
Walter Torous, UCLA
- “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions”
Charles P. Himmelberg, Goldmann Sachs
Sessions will be chaired and discussed by members of the Academic
Advisory Board:
- Elroy Dimson, London Business School
- Engelbert Dockner, University of Vienna
- Robert Korajczyk, Northwestern University
- Klaus Spremann, University St. Gallen
- Neal Stoughton, University of Calgary
- Josef Zechner, University of Vienna
The participation is free, but all participants are required to REGISTER:
mail: gutmann.bwl(a)univie.ac.at
Detailed program is available at www.gutmann-center.at !
Contact:
Gutmann Center for Portfolio Management
University of Vienna
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: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in 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
There are two VGSF research seminars in January (and an important
announcement regarding Lubos Pastor's seminar):
(A) on Friday, Jan. 20th, Engelbert Dockner is going to present the paper
"Leaders, Followers, and Risk Dynamics in Industry Equilibrium"; this
seminar is going to take place in lecture room 3 at the standard time.
(B) on Friday, Jan. 27th, Lubos Pastor from the University of Chicago is
going to present his paper "Technological Revolutions and Stock Prices". The
seminar takes place in lecture room 11 BUT THE TIME HAS CHANGED: the seminar
is going to be from 11:00 to 12:30!!!
By the way, Lubos is going to be in Vienna for the entire week. If you want
to meet him, please let me know.
See you at the seminar,
Michael Halling
The VIENNA GRADUATE SCHOOL OF FINANCE
www.vgsf.ac.at
OFFERS
6 SCHOLARSHIPS FOR ITS PhD PROGRAM IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance – a joint initiative of the
University of Vienna, the Institute for Advanced Studies, Vienna, and
the Vienna University of Economics and Business Administration – invites
applications for its doctoral program. Upon admission, applicants can
expect to obtain a top-quality education for an academic career or a
highly specialized position in business or international institutions.
HIGHEST ACADEMIC CREDENTIALS
The Vienna Graduate School of Finance draws on the academic resources of
three established academic institutions, with a faculty specializing in
various fields of finance, including asset pricing, corporate finance,
financial institutions, risk management, and market microstructure.
Well-established within the research community, the local faculty not
only focuses on questions of fundamental theoretical and empirical
importance in finance, but also on policy-oriented issues and practical
applications.
DISTINGUISHED INTERNATIONAL FACULTY
Leading scholars in the field are regularly invited to teach advanced
courses on a topic with either important practical applications or high
potential for future research. For example, in the last three years
courses have been taught by Kerry Back (St. Louis), David Bates (Iowa),
Tomas Björk (Stockholm), Tim Bollerslev (Durham), Michael Brennan
(UCLA), Zsuzsanna Fluck (Michigan State), David Lando (Copenhagen),
Antonio Mele (LSE), Mojmir Mrak (Ljubljana), Stefan Reichelstein
(Stanford), Neal Stoughton (UC Irwine), Suresh Sundaresan (Columbia),
Russ Wermers (Maryland), Jan Werner (Minnesota), and Stanley Zin
(Carnegie Mellon).
PROGRAM
The program consists of two years of intensive course work, followed by
thesis writing. All courses are taught in English. In addition to good
language skills, 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 and
have a sufficient level of formal training. 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 should also
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 at
least two letters of reference to be sent directly to the address stated
below.
SCHOLARSHIP
Successful applicants will receive generous financial support.
Approximately 6 applicants will be admitted to the program.
Please send your application package not later than
------FEBRUARY 15th, 2006-----
to the following address:
VGSF - Prof. Josef Zechner
University of Vienna
Department of Finance
Brünnerstrasse 72
1210 Vienna (Wien), Austria.
FURTHER INFORMATION AND APPLICATON DETAILS:
--------------- http://www.vgsf.ac.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: December 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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
Dear VFN-L,
Josef Hofbauer from the Department of Mathematics of University
College London informed us of a vacant Chair in Financial Mathematics.
Details are to be found at
http://www.maths.lse.ac.uk/Chair_in_Financial_Mathematics.html
Regards,
--
-- Andreas Schamanek
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: December 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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
This is a reminder for the VGSF Research Seminar that is going to take
place today, Friday Dec. 2nd, from 15:30 to 17:00 at the BWZ in
Floridsdorf (University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/ ) in lecture room 3
(HS 3).
Prof. Burcin Yurtoglu from the University of Vienna is going to give a
talk on "The Effects of Ownership Concentration and Identity on
Investment Performance: An International Comparison". For further
information regarding Prof. Yurtoglu look at
http://homepage.univie.ac.at/besim.yurtoglu/
For further information and upcoming visitors, please refer to
http://www.vgsf.ac.at.
Best,
Michael Halling
Sehr verehrte Damen, sehr geehrte Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien,
Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl,
sind voraussichtlich ab 1. Jänner 2006 bis 30. September 2008 zwei Stellen
eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin
vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei Stellen
unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48
(Bewerbungsfrist: 21. Dezember 2005).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung
an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Alexander Veverka
----------------------------------------------------------------------------------------
Dr. Alexander Veverka, Assistant Professor
Institute for Finance and Financial Markets
Chair for Investmentbanking and Catallactics
Vienna University of Economics and Business Administration
Althanstrasse 39-45, 1090 Vienna, Austria, Europe
Phn: +43 1 31336 4183
Fax: +43 1 31336 761
email: alexander.veverka(a)wu-wien.ac.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: December 5th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Terrance ODEAN (www.odean.org)
Haas School of Business at the University of California, Berkeley
Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY"
Abstract:
Professor Terrance Odean will present his research on how psychological
biases and decision heuristics affect the trading of individual
investors and the impact of this trading on investor welfare and market
efficiency. Analyzing the trading records of hundreds of thousands of
individual and institutional investors, Professor Odean finds that
individual investors tend to trade too frequently, hold onto their
losing investments, and buy stocks that are in the news. Psychological
motivations for these behaviors are overconfidence, a desire to avoid
feeling regret, and the limits of human attention. Investors, especially
those who have experienced recent success, are likely to be
overconfident about their abilities. Overconfidence leads to excessive
trading and lower returns. The stocks that individual investors buy tend
to subsequently under-perform those they sell. Active investors tend to
under-perform buy-and-hold investors. Men, who tend to be more
overconfident than women, trade 45% more actively than women thereby
hurting their net returns. And investors who switch to online trading
tend to trade more actively, more speculatively, and less successfully
after going online. And investors tend to buy stocks that are in the
news, irrespective of whether the news is good or bad. These trading
behaviors lead to substantial reductions in portfolio returns for
individual investors. Furthermore, the trading of individual investors
forecasts future asset returns.
About Terrance Odean:
Terrance Odean (www.odean.org) is Professor of Finance at the Haas
School of Business, University of California, Berkeley. He is director
of UC Berkeley’s Experimental Social Science Laboratory, associate
editor of The Review of Financial Studies, and a member of the Russell
Sage Behavioral Economics Roundtable.
Professor Odean is an internationally highly respected scholar in the
field of behavioral finance. His research focuses on the implications of
overconfidence on investment behavior. It has been cited in The Wall
Street Journal, The New York Times, The L.A. Times, The Washington Post,
The International Herald Tribune, Time, Newsweek, U.S. News and World
Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg
Personal, Worth, Kipplinger's Personal Finance, and several other
publications.
Professor Odean earned a B.A. in Statistics at the University of
California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School
of Business in 1997. He held a position at the Graduate School of
Management, University of California Davies and returned to the Haas
School in 2001.
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 - A-1210 Wien
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Im *Institut für Finanzierung und Finanzmärkte, Abteilung Betriebliche
Finanzierung*, ist voraussichtlich ab 15. Dezember 2005 bis 14. Dezember
2009 die Stelle *eines wissenschaftlichen Mitarbeiters/ einer
wissenschaftlichen Mitarbeiterin* (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt
*zu besetzen.
*Notwendige Kenntnisse und Qualifikationen:*
EU-Bürger/in, abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften
*Erwünschte Kenntnisse und Qualifikationen:*
Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung
und der englischen Sprache, Interesse an entscheidungsorientierter,
analytischer finanzwirtschaftlicher Forschung
Weitere Infos auf http://www.wu-wien.ac.at/aktuell/mblatt/pdf/MB07_05.pdf
This is a reminder for the VGSF Research Seminar that is going to take place
tomorrow, Friday Nov. 18th, from 15:30 to 17:00 at the BWZ in Floridsdorf
(University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 3 (HS
3).
Prof. Hans Degryse from CentER-Tilburg University is going to give a talk on
"SMEs and Bank Lending Relationships: The Impact of Mergers". For further
information regarding Prof. Degryse look at
http://www.tilburguniversity.nl/faculties/feb/finance/people/degryse/
For further information and upcoming visitors, please refer to
www.vgsf.ac.at. If you would like to discuss your research with Prof.
Degryse, please contact michael.halling(a)univie.ac.at.
Best,
Michael Halling
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: December 5th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Terrance ODEAN (www.odean.org)
Haas School of Business at the University of California, Berkeley
Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY"
Abstract:
Professor Terrance Odean will present his research on how psychological
biases and decision heuristics affect the trading of individual
investors and the impact of this trading on investor welfare and market
efficiency. Analyzing the trading records of hundreds of thousands of
individual and institutional investors, Professor Odean finds that
individual investors tend to trade too frequently, hold onto their
losing investments, and buy stocks that are in the news. Psychological
motivations for these behaviors are overconfidence, a desire to avoid
feeling regret, and the limits of human attention. Investors, especially
those who have experienced recent success, are likely to be
overconfident about their abilities. Overconfidence leads to excessive
trading and lower returns. The stocks that individual investors buy tend
to subsequently under-perform those they sell. Active investors tend to
under-perform buy-and-hold investors. Men, who tend to be more
overconfident than women, trade 45% more actively than women thereby
hurting their net returns. And investors who switch to online trading
tend to trade more actively, more speculatively, and less successfully
after going online. And investors tend to buy stocks that are in the
news, irrespective of whether the news is good or bad. These trading
behaviors lead to substantial reductions in portfolio returns for
individual investors. Furthermore, the trading of individual investors
forecasts future asset returns.
About Terrance Odean:
Terrance Odean (www.odean.org) is Professor of Finance at the Haas
School of Business, University of California, Berkeley. He is director
of UC Berkeley’s Experimental Social Science Laboratory, associate
editor of The Review of Financial Studies, and a member of the Russell
Sage Behavioral Economics Roundtable.
Professor Odean is an internationally highly respected scholar in the
field of behavioral finance. His research focuses on the implications of
overconfidence on investment behavior. It has been cited in The Wall
Street Journal, The New York Times, The L.A. Times, The Washington Post,
The International Herald Tribune, Time, Newsweek, U.S. News and World
Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg
Personal, Worth, Kipplinger's Personal Finance, and several other
publications.
Professor Odean earned a B.A. in Statistics at the University of
California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School
of Business in 1997. He held a position at the Graduate School of
Management, University of California Davies and returned to the Haas
School in 2001.
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 - A-1210 Wien
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Das Institut für Betriebliche Finanzwirtschaft der Universität Innsbruck (ab
1.1.2006: Institut für Banken und Finanzen) veranstaltet am 25./26.11. im
Universitätszentrum Obergurgl einen Workshop zum Thema Kreditrisikomanagement.
Die Liste der Vortragenden inkludiert unter anderem Prof. Wolfgang Bühler
(Mannheim) und Prof. Stefan Pichler (WU Wien). Das Programm und
organisatorische Informationen finden Sie unter
http://uibk.ac.at/congress/krm/krm.html
Anmeldungen sind noch möglich, Details dazu finden Sie ebenfalls auf der
Website.
Beste Grüße,
Michael Hanke
--
Univ.Prof. Dr. Michael Hanke
Institut für Betriebliche Finanzwirtschaft
Universität Innsbruck
Universitätsstr. 15
6020 Innsbruck
Tel.: (43)512 507-7552, Fax: -2846
e-mail: Michael.Hanke(a)uibk.ac.at
RE: CARISMA FINANCIAL ENGINEERING WORKSHOPS <http://www.unicom.co.uk/events/event_details.asp?productid=1473&catid=1&sub…>
EXTREME VALUE THEORY AND COPULAS <http://www.unicom.co.uk/events/event_details.asp?productid=1456&catid=1&sub…> , 29 November 2005, London
Presenters: Paul Embrechts, Johanna Neslehova, Rosario Dell'Aquila, RiskLab, ETH Zurich; Claudio Romano, Credit Risk Analyst, Capitalia Bank Holding, Rome; Annalisa Di Clemente, University of Rome;
FINANCIAL INNOVATION AND NEW STRUCTURED PRODUCTS IN THE EQUITY WORLD <http://www.unicom.co.uk/events/event_details.asp?productid=1457&catid=1&sub…> , 30 November 2005, London
Presenter: Dilip Madan, Robert H. Smith School of Business, University of Maryland / Consultant to Morgan Stanley
PRACTICAL FINANCIAL OPTIMISATION: DECISION MAKING FOR FINANCIAL ENGINEERS <http://www.unicom.co.uk/events/event_details.asp?productid=1458&catid=1&sub…> ,1 December 2005, London
Presenters: Stavros Zenios, Wharton School of Business /University of Cyprus; Gautam Mitra, CARISMA, Brunel University
HIDDEN MARKOV MODELS, KALMAN FILTERS, ROBUST REGRESSION <http://www.unicom.co.uk/events/event_details.asp?productid=1468&catid=1&sub…> , 2 December 2005, London
Presenters: Paresh Date, Rogemar Mamon, Keming Yu, CARISMA, Brunel University;
We are pleased to announce the above workshops. The objective of the four one-day events is to bring together practitioners, academics working in the area of risk management, financial engineering, quantitative finance and optimisation. They will provide an opportunity for participants engaged at the forefront of this area to discuss problems and challenges and suggest fruitful directions for future research, which focus on the emerging requirements of the finance industry.
The speaker panel includes world leaders such as Dilip Madan, Robert H. Smith School of Business, University of Maryland/ Consultant to Morgan Stanley; Paul Embrechts and colleagues, RiskLab, ETH, Zurich; Gautam Mitra, CARISMA, Brunel University; Stavros Zenios, Wharton School of Business/University of Cyprus; Claudio Romano, Credit Risk Analyst, Capitalia Bank Holding, Rome. All the speakers have achieved distinction through their research contributions and also possess wide experience of real world applications of highly sophisticated quantitative models.
You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions.
For further details please go to www.carisma.brunel.ac.uk/FE.html <http://www.carisma.brunel.ac.uk/FE.html> or www.unicom.co.uk/finance , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer.
The events are organised by the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA) at Brunel University, and managed by UNICOM Seminars.
We will appreciate if could put the poster on your bulleting board and make your colleagues aware of these events. We look forward to welcoming you and your colleagues to the workshops; please contact me if you require further information.
Best regards
Michael Sun
xiaochen.sun(a)brunel.ac.uk or michael(a)unicom.co.uk
CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk>
UNICOM Seminars, www.unicom.co.uk/finance <http://www.unicom.co.uk/finance>
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk>
http://mam3xs.blogspot.com/
*(+44) (0)1895 265625
*(+44) (0)7841873292
This is a reminder for the VGSF Research Seminar that is going to take place
tomorrow, Friday Nov. 4th, from 15:30 to 17:00 at the BWZ in Floridsdorf
(University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 3 (HS
3).
Prof. Espen Eckbo from Dartmouth College is going to give a talk on "The
Toehold Puzzle". For further information regarding Prof. Eckbo who is a
leading scholar in the area of corporate finance and especially in corporate
governance related issues look at
http://mba.tuck.dartmouth.edu/pages/faculty/espen.eckbo/
For further information and upcoming visitors, please refer to
www.vgsf.ac.at.
Best,
Michael Halling
This is a reminder for the VGSF Research Seminar that is going to take place
tomorrow, Friday Oct. 28th, from 15:30 to 17:00 at the BWZ in Floridsdorf
(University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 8 (HS
8). Prof. Alois Geyer from the Vienna University of Economics and Business
Administration is going to give a talk on "Life-Cycle Asset Allocation".
For further information, please refer to www.vgsf.ac.at. Note further that
the schedule up to Christmas (in fact, up to Dec. 21st) has been finalized.
Best,
Michael Halling
Please take note of the following information regarding the VGSF Research
Seminar:
(A) There is NO research seminar on Oct. 14th.
(B) The next research seminar takes place on Oct. 21st in HS 3 at the BWZ
and is given by Alexander STOMPER (from the University of Vienna) on "How
Leverage affects Pricing: Theory and Evidence".
With apologies for cross-postings and kind regards,
Michael Halling
This week there are going to be three interesting research seminars:
(1.) Bing Liang (from the University of Massachusetts Amherst,
http://www.isenberg.umass.edu/finopmgt/Faculty/Profiles/Bing_Liang/) is
going to give a research seminar on the paper "Do Market Timing Hedge Funds
Time the Market?" on Thursday Oct. 6th from 11:00 to 12:30 in HS 6.
(2.) Per Strömberg (from SIFR, http://www.sifr.org/) gives a research
seminar on "What are firms? Evolution from Birth to Public Companies" on
Friday Oct. 7th from 14:00 to 15:30 in HS 12 at the BWZ.
(3.) Nicolae Garleanu (from Wharton, University of Pennsylvania,
http://www.wharton.upenn.edu/faculty/garleanu.html) is giving a research
seminar on a paper called "Demand based option pricing" on Friday Oct. 7th
from 15:45 to 17:15 in HS 12 at the BWZ.
Information regarding the research seminar can be found on
http://www.vgsf.ac.at/ (then follow the link to activities and events).
If you any questions or suggestions regarding the research seminar, don't
hesitate to contact Michael Halling (michael.halling(a)univie.ac.at).
Furthermore, please accept my apologies for any cross-postings or duplicate
pieces of information.
Best,
Michael Halling
Sehr geehrte Damen und Herren,
am Institut für Kreditwirtschaft, der Wirtschaftsuniversität Wien,
Univ. Prof. Dr. Stefan Pichler, ist voraussichtlich ab 1. November 2005
bis 30. Februar 2008 die Stelle eines drittmittelfinanzierten
wissenschaftlichen Mitarbeiters / einer drittmittelfinanzierten
wissenschaftlichen Mitarbeiterin (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt,
zu besetzen.
Notwendige Kenntnisse und Qualifikation:
Abgeschlossenes Diplomstudium
Erwünschte Kenntnisse und Qualifikation:
Fundierte Programmierkenntnisse und Fähigkeiten im Umgang mit Datenbanken
Fundierte Kenntnisse in Finanzwirtschaft besonders im Bereich Kreditrisiko
Fundiertes Wissen in Mathematik und Statistik
Bewerbungsfrist: 10. Oktober 2005
Schriftliche Bewerbung mit Lebenslauf und Zeugnissen bitte an das
Institut für Kreditwirtschaft, WU Wien, UZA 4, Nordbergstrasse 15, 1090
Wien.
Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung an
Interessenten verbleibe ich
mit freundlichen Grüßen
Rainer Jankowitsch
--
***************************************************
Univ.-Ass. Mag. Dr. Rainer Jankowitsch
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstrasse 15
A-1090 Wien
Tel: ++ 43 1 31336 4340
Fax: ++ 43 1 310 05 80
E-mail: rainer.jankowitsch(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/
****************************************************
CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT
(apologies for any cross-postings!!)
GUTMANN CENTER SYMPOSIUM ON
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
March 27th, 2006
University of Vienna, Austria
The Gutmann Center for Portfolio Management at the University of Vienna
is proud to announce its fourth annual symposium to be held at the
University of Vienna.
The focus of this year’s symposium is on “real assets” such as real
estate, commodities, etc. In particular we invite empirical and
theoretical research on: (i) the risk-return characteristics of real
assets, (ii) return prediction in real asset markets, (iii) alternative
instruments and investment vehicles in real asset markets, (iv) asset
pricing and real assets (v) asset allocation and real assets.
PAPER SUBMISSION:
Papers on topics mentioned above should be submitted by email (in
Acrobat PDF) not later than October 31st, 2005 to the following address:
Email: gutmann.bwl(a)univie.ac.at
CONTACT:
Gutmann Center for Portfolio Management
University of Vienna
Director: Josef Zechner
Administrative Director: Dorothea Grimm
Bruenner Strasse 72, A-1210 Wien, Austria
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Mail: gutmann.bwl(a)univie.ac.at - Homepage: http://www.gutmann-center.at
All submissions will be reviewed by a committee composed of members of
the Gutmann Center’s Academic Advisory Board and decisions will be
announced by January 15th, 2006.
Submission and participation are free of charge. Presenting authors are
invited to apply to Gutmann Center to cover their accommodation and
travel expenses.
---------- Forwarded message ----------
Date: Thu, 25 Aug 2005 12:08:17 +0200
From: Manuel Lingo <manuel.lingo(a)wu-wien.ac.at>
Subject: Stellenausschreibung am Inst. fuer Kreditwirtschaft der WU-WIEN
Sehr geehrte Damen und Herren,
am Institut für Kreditwirtschaft, der Wirtschaftsuniversität Wien,
Univ. Prof. Dr. Stefan Pichler, ist voraussichtlich ab 1. Oktober 2005
bis 30. September 2011 die Stelle eines Assistenten/ einer Assistentin
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF),
vollbeschäftigt, zu besetzen.
Nähere Informationen entnehmen Sie bitte dem Ausschreibungstext:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w31
(Ende der Bewerbungsfrist: 14. September 2005)
Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung
an Interessenten verbleibe ich
mit freundlichen Grüßen
Manuel Lingo
Institut für Kreditwirtschaft
WU-WIEN
Tel: +43 (0) 1 313 36 4686
Fax: +43 (0) 1 310 05 80
manuel.lingo(a)wu-wien.ac.at
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 23 Aug 2005 18:24:27 +0200
From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de>
Subject: Uni Ulm informiert: Internationaler Workshop ueber Kredit-Modelle
und Energie-Derivate
Financial Modelling Workshop
University of Ulm
20-22.9. 2005
( http://www.mathematik.uni-ulm.de/finmath/confpage/index.html )
The workshop aims to discuss leading-edge research in credit and commodities
(energy) modelling. The first 1.5 days will be devoted to credit risk while
the focus of the remaining 1.5 days is on commodities, in particular energy
risk.
The workshop will bring together leading international experts from both
academia and practice to promote exchange of ideas and help make progress on
research into current issues.
It is the second of a series of workshops jointly organized with the
Birkbeck College, University of London (see http://www.energyrisk.org/ for
details on the first workshop).
The preliminary schedule is shown on the conference webpage:
http://www.mathematik.uni-ulm.de/finmath/confpage/programme.html
Short Course
In addition we will have a half-day course on Monday on Credit Modelling
designed for practitioners. The course will consist of four one hour
sessions with topics: Corporate Bonds (Modelling Spread Curves), Credit
Derivatives; CDOs, Use and Effects of Corporate Bonds in Investment
Portfolios.
( http://www.mathematik.uni-ulm.de/finmath/confpage/satellite.html )
Registration
The registration for the conference and the preceding Short Course in Credit
Modelling is open until September 17.
http://www.mathematik.uni-ulm.de/finmath/confpage/regform.html
Registration for talks has been closed.
Further Details can be found on the conference webpage
http://www.mathematik.uni-ulm.de/finmath/confpage/index.html
Chairman:
Prof. Dr. Ruediger Kiesel
Department of Financial Mathematics
Ulm University
D-89069 Ulm
Germany
phone: +49-731-502-3521
fax: +49-731-503-1096
email: org(a)conference.finance-ulm.de