Sehr geehrte Damen,
sehr geehrte Herren!
Wir möchten Sie über unser 5. GARP-Treffen, welches wir
freundlicherweise bei der Volksbank Wien, Filiale Schottenring 1 (1090
Wien) abhalten dürfen, informieren.
Es findet am
26.6.2008 (18:00 - 21:00 Uhr) statt.
Agenda:
18:00 Registration
18:15 Welcome note by Mag. Franz Reif, Head of Strategic Risk
Management,
Volksbank AG
18:30 Präsentation:
"Behavioral ratings - Verhaltensratings", Mag. Alexander Tscherteu,
Head of Group Credit Risk Management, Volksbank AG
19:30 Präsentation:
"Interest Rate Risk Stress-Testing for the Banking Book", Dr. Franz
Jakob, Head of Risk Controlling, RLB NÖ-W AG
20:00 Buffet und Networking
Wir ersuchen Sie, wie gewohnt um Anmeldung unter folgendem Link:
http://www.garp.com/login.aspx?URL=%2fmembership%2fOnlineRegistration.aspx%3
Je nach gewünschter Inanspruchnahme der GARP-Leistungen, gibt es
verschiedene Mitgliedskategorien, welche mit jährlichen Kosten von 0 bis
150 USD verbunden sind (die Teilnahme an den Local Chapter Meetings ist
als *Affiliate Membership* kostenlos).
http://www.garp.com/membership/benefits.aspx
Zur rechtzeitigen Planung erlauben wir uns Ihnen vorweg unsere
voraussichtlichen Veranstaltungstermine für das 3. und 4. Quartal 2008
bekanntzugeben:
22.09.2008
10.11.2008
01.12.2008
Beste Grüße
Harald Hauer
Österreichische Elektrizitätswirtschafts-AG (Verbund)
Am Hof 6a; 1011 Wien
Sitz: Wien; Firmenbuch: FN 76023 z; HG Wien
e-mail: Harald.Hauer(a)verbund.at
http://www.verbund.at
Eugen Puschkarski
Oesterreichische Nationalbank
Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria
Phone (+43-1) 40420-4419
Fax (+43-1) 40420-4499
e-mail: Eugen.Puschkarski(a)oenb.at
http://www.oenb.at
Information and Invitation
to the Workshop and Presentation of the Festschrift "The Economics of Corporate
Governance and Mergers"
June 20 and 21, 2008
Please find the detailed program at:
http://www.univie.ac.at/vwl/Research/Workshop%20Mueller/einladung.pdf
Sorry for possible cross-postings.
H.M.Wurm
DAS DEPARTMENT FÜR FINANZWIRTSCHAFT UND RECHNUNGSWESEN DER WIRTSCHAFTSUNIVERSITÄT WIEN
UND DIE ZZ-VERMÖGENSVERWALTUNG
laden Sie ein zum Vortrag von
DR MARC FABER (alias "DR. DOOM)
WILL THE FIRST SYNCHRONIZED GLOBAL ECONOMIC BOOM IN THE 200-YEAR OLD HISTORY OF CAPITALISM ALSO LEAD TO A SYNCHRONIZED BUST?
DATUM: 3. Juni 2008, 12.00 Uhr
Ort:
Wirtschaftsuniversität Wien
Hörsaal 04, UZA 1, Zone B, blau
---------- Forwarded message ----------
Date: Wed, 28 May 2008 13:27:12 +0300
From: Stefan Geiss <geiss(a)maths.jyu.fi>
Subject: Workshop on Numerics and Stochastics
(...)
Second Announcement
-------------------
Workshop on Numerics and Stochastics
August 25-29, 2008
Helsinki University of Technology
Institute of Mathematics
as part of the
* Special Year in Numerics 2008-2009
* European Science Foundation through the European Scientific
Network Advanced Mathematical Methods for Finance (AMaMeF)
The workshop is devoted to the various connections between
Numerics and Stochastics from the theoretical point of view
and from the view point of applications, for example in finance.
Among the speakers are:
Vlad Bally (University of Marne-la-Vallée, Paris)
Bruno Bouchard (University Paris-Dauphine)
Pierre Del Moral (INRIA, Bordeaux)
François Delarue (University Paris VII)
Steffen Dereich (Technical University Berlin)
Emmanuel Gobet (InP Grenoble)
Stefan Heinrich (University Kaiserslautern)
Arturo Kohatsu-Higa (University Pompeu Fabra)
Damien Lamberton (University of Marne-la-Vallée, Paris)
Antoine Lejay (INRIA, Nancy)
Stéphane Menozzi (University Paris VII)
Thomas Müller-Gronbach (University Magdeburg)
Klaus Ritter (Technical University Darmstadt)
Anders Szepessy (KTH, Stockholm)
Aleksander Veretennikov (University of Leeds)
* Deadline for registration: 1st of August 2008.
In case you propose a talk, we recommend registering as early as
possible.
* Conference fee: there will be no fee, but small charges
for optional social events
* http: //math.tkk.fi/numericsyear/numstoch/
* Contact: numstoch(a)lists.jyu.fi
* Organizers:
Timo Eirola
Dario Gasbarra
Stefan Geiss
Damien Lamberton
Teemu Pennanen
Dear colleagues,
you are kindly invited to attend the following research talk:
Jochen Lawrenz (Institute for Banking and Finance, University of Innsbruck) will talk about
"Optimal Design of Rating-Trigger Step-Up Bonds: Agency Conflicts Versus Asymmetric Information"
(cf. abstract below)
on Wednesday, May 28th, 2008 at 4 p.m.
at Vienna Univ of Econ & Bsns Admin, Heiligenstaedter Str. 46-48, in Meeting Room 1.
Kind regards,
Stefan Pichler
---------------------------------
Abstract:
In this paper, we analyze corporate bonds with a rating-triggered step-up provision in a
continuous-time framework with bankruptcy costs and tax benefits. While without any further
frictions, step-up bonds do not add firm value relative to straight debt, agency conflicts and
asymmetric information are two possible explanations for the issuance of these instruments. We treat
both motives (separately) in a unified framework to obtain conclusions about both the optimal design
and the conditions for the use of step-up bonds. The closed-form solutions for the optimal contract
design reveal that step-up bonds issued by firms that face a risk-shifting problem fundamentally
differ from those in the case of asymmetric information. Furthermore, we show that firms with a high
initial risk only use step-up bonds to overcome problems of asymmetric information but not to
mitigate risk-shifting problems. A further difference between the two motives is that in the case of
risk-shifting, step-up bonds are only used when the agency conflict is sufficiently severe, while
for signalling reasons even a modest problem of asymmetric information supports the use of step-up
bonds.
--
Tanja Veza, Ass.Prof.
Institute for Banking and Finance
Vienna Univ of Econ & Bsns Admin
Heiligenstaedter Str. 46-48, 1190 Vienna, Austria
Phone (Fax): +43 1 31336 (90) 4685
---------- Forwarded message ----------
Date: Thu, 8 May 2008 12:27:06 +0200
From: "Schlichting, Martina" <Martina.Schlichting(a)wu-wien.ac.at>
Subject: Ankuendigung
(...)
[Text des PDF-Attachments konvertiert und eingefügt von VFN-L-Admin]
Ausschreibung von Stellen für wissenschaftliches Universitätspersonal
Im Institute for Finance and Investments ist voraussichtlich ab 1.
Juni 2008 bis 31. Mai 2012 eine Stelle für einen wissenschaftlichen
Mitarbeiter/eine wissenschaftliche Mitarbeiterin (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt
zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für
Wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine
maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die
bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur
mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen,
die bereits eine Stelle als wissenschaftlicher
Mitarbeiter/wissenschaftliche Mitarbeiterin inne hatten, aus
rechtlichen Gründen nicht möglich ist.
Notwendige Kenntnisse und Qualifikationen:
abgeschlossenes Studium der Wirtschaftswissenschaften
(Betriebswirtschaft/Volkswirtschaft) bzw. gleichzuhaltende
Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
Erfahrung im wissenschaftlichen Arbeiten in einem der folgenden
Teilgebiete der Finanzwirtschaft: Corporate Finance, Asset-Management,
Asset Pricing, Risikomanagement, Banking oder einem verwandten
Teilgebiet der Volkswirtschaftslehre, wie Entscheidungstheorie,
Corporate Governance, Spieltheorie etc. Durchdringung eines dieser
Fächer entweder im Rahmen empirischer oder theoretischer Analysen.
Lehrerfahrung im Rahmen universitärer Ausbildungen
Kennzahl: 106205
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind
unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien
(sekretariatpersabt(a)wu-wien.ac.at) zu richten.
Ende der Bewerbungsfrist: 21. Mai 2008
Bitte die Kennzahl unbedingt anführen!
Mag. Anna Jaschek
Leiterin der Personalabteilung
--
Institute for Finance and Investments
Department of Finance and Accounting
Vienna University of Economics and Business Administration
Heiligenstädter Str. 46-48/DG 2.02
1190 Vienna
Austria
Tel: +43 1 31336-6315
Fax: +43 1 31336-906315
Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
***Seminar 1: Delegated Asset Management and Market Segmentation
***Speaker: Wei Xiong (Princeton University)
****Time: 2008-04-23, Wednesday, 15:30-17:00 !!!*
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
***Seminar 2: Day Trading in Equilibrium
***Speaker: Terrance Odean (Haas School of Business, Berkeley)
***Time: 2008-04-25, Friday, 15:30-17:00
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented by Terrance Odean can be downloaded at
http://www.vgsf.ac.at/activities/seminars.htm. The abstracts are
attached below.
Please note that the special time for the first seminar of this week.
Please also be informed that from now on VGSF research seminars will
only be announced through the VGSF newsletter. You are kindly invited to
subscribe to the VGSF newsletter at
https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter if you have
not yet done it.
Wei Xiong will be available for individual meetings on Wednesday, and
Terrance Odean will be available on Friday afternoon before the seminar.
If you would like to talk to them in person, please contact me as soon
as possible.
Best regards,
Youchang Wu
Abstract 1: This paper explains capital immobility in financial markets
based on agency frictions in delegated asset management. Our key insight
is that confining a fund
to investing in a single market increases the efficiency of incentive
provision to the fund manager through benchmarking and reduces the
agency cost. We show
that this benefit can dominate the cost of forgone investment gain due
to restricted investment choices, and therefore provide a justification
of capital confinement
provisions commonly specified in asset management contracts. Our model
offers a new perspective on liquidity crises. After investors distribute
their capital into
different market segments through institutionally managed funds, agency
considerations can largely confine capital within its initial market
segments, thus
refraining liquidity from flowing down to a distressed market.
Abstract 2: When an investor buys and sells the same stock on the same
day, he has made a day trade. We analyze the performance of day traders
in Taiwan. Day trading by individual investors is prevalent in Taiwan –
accounting for over 20 percent of total volume from 1995 through 1999.
Individual investors account for over 97 percent of all day trading
activity. Day trading is extremely concentrated. About one percent of
individual investors account for half of day trading and one fourth of
total trading by individual investors. Heavy day traders earn gross
profits, but their profits are not sufficient to cover transaction
costs. Moreover, in the typical six month period, more than eight out of
ten day traders lose money. Despite these bleak findings, there is
strong evidence of persistent ability for a relatively small group of
day traders. Traders with strong past performance continue to earn
strong returns. The stocks they buy outperform those they sell by 62
basis points /per day/. This spread is sufficiently large to cover
transaction costs.
-------- Forwarded message ----------
Date: Thu, 17 Apr 2008 16:55:09 +0100
From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk>
Subject: Risk Control Strategies for Hedge Funds and Program Trading - 4th
Annual CARISMA conference
We are pleased to announce the 4th Annual CARISMA conference, which
takes place in London at 7City Learning on 1-2 July 2008.
The theme of the conference is "Risk Control Strategies for Hedge
Funds and Program Trading". There are also four pre- and
post-conference workshops. For further details see
http://www.optirisk-systems.com/events/carisma2008.asp
The conference provides a platform to discuss the applications and
advances, and to explore future research directions. The focus is on
the emerging requirements of the finance industry, from the
perspective of performance monitoring, regulation and compliance. It
brings together practitioners and academics working in the area of
financial planning, optimisation and risk modelling. The satellite
workshops provide an in-depth view of related topics in investment and
risk modelling.
Speakers include:
* Carlo Acerbi, Abaxbank
* Art Asriev, Bear Stearns
* Les Balzer, The University of New South Wales
* Dan Bienstock, Columbia University
* Nicos Christofides, Imperial College
* Robert Clarkson, Cass Business School, City University.
* M A H Dempster, Centre for Financial Research, Judge Business School,
University of Cambridge & Cambridge Systems Associates Limited
* Dan diBartolomeo, Northfield Information Services Inc
* Chanaka Edirisinghe, University of Tennessee
* Philip Gagner, RavenPack Int'l
* Gerd Infanger, Stanford University
* Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting
Professor, CARISMA (Risk Awards Quant of the Year 2008)
* Gautam Mitra, CARISMA, Brunel University
* Andrew Robinson, SunGard-APT
* Bernd Scherer, Morgan Stanley
* Rob Stubbs, Axioma
* Stefan Thurner, red.stars.com
* Xunyu Zhou, University of Oxford
Topics:
* Risk Management for Hedge Funds
* Long-Short Portfolios with Downside Risk Control
* Credit Crunch, Liquidity, and Equity Market Neutral Strategies: Managing
Risk in High Volatility Markets
* Dynamic Asset Allocation
* Automated Risk Management for Global Macro Strategies
* Actuarial Insights into Hedge Fund Management
* Optimal Trade Execution
* Risk Management for Equity Trading: Fat Tails and Liquidity Gaps
* Optimal Technical Trading Rules and Risk Control in Managing Stock Portfolios
* Portfolio Implementation Shortfall Trading Strategies
* Dynamic Behavioural Portfolio Choice
* Coherent Measures of Risk
* Automated Statistical Arbitrage Funds
* Efficiencies in Multi-Account Optimisation
Pre/Post Conference Workshops:
30 June 2008: Two Half-Day WORKSHOPS:
Morning: Robust Portfolio Optimisation
Afternoon: LDI/ALM
3 July 2008: Two Half-Day WORKSHOPS:
Morning: New Developments: Performance Measures and Structured Products;
Coherent Risk Measures and Liquidity Risk
Afternoon: RavenPack workshop: News Analytics and Financial Modelling
###############################
# Apologise for any cross sending ##
###############################
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun, BA(BTBU), MSc(Hull), PhD Student,
CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/>
The Centre for the Analysis of Risk and OptimISation Modelling Applications
School of Information Systems, Computing and Mathematics
Brunel University, Uxbridge, UB8 3PH, Middlesex, United Kingdom
Telephone: +44 1895 265625 [M503], Fax: +44 1895 269732
Webpage:http://people.brunel.ac.uk/~mapgxcs
<http://people.brunel.ac.uk/~mapgxcs>
http://optirisk.googlepages.com <http://optirisk.googlepages.com/>
Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/>
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<http://mam3xs.blogspot.com/>
Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
***Seminar 1: Real Investment and Risk Dynamics
***Speaker: Ilan Cooper (Tel Aviv University)
***Time: 2008-04-18, Friday, 14:00-15:30
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
***Seminar 2: The Levered Equity Risk Premium and Credit Spreads: A
Unified Framework
***Speaker: Harjoat Bhamra (University of British Columbia)
***Time: 2008-04-18, Friday, 16:00-17:30
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The papers to be presented can be downloaded from the VGSF website
(http://www.vgsf.ac.at/activities/seminars.htm). The abstracts are
attached below.
If you would like to arrange an individual meeting with the speakers,
please contact me as soon as possible.
Best regards,
Youchang Wu
Abstract 1: We show that systematic risk falls sharply following firm
investment and rises after disin-
vestment. The risk dynamics we uncover are driven by real investment and
not by changes in
firm characteristics and are strongest among firms with valuable
investment opportunities,
high adjustment costs of investment and low operating leverage.
Consistent with rational
pricing, firms with poor investment opportunities, those most likely to
be overinvesting, ex-
perience an increase in average returns and systematic risk following
investment. For firms
with valuable growth opportunities the bulk of the negative investment
(asset growth)-future
returns relationship stems from differences in risk factor loadings
between high and low in-
vesting firms.
Abstract 2: We embed a structural model of credit risk inside a
consumption-based model, which allows us to price
equity and corporate debt in a single framework. Our key economic
assumptions are that the first and
second moments of earnings and consumption growth depend on the state of
the economy which switches
randomly, creating intertemporal risk, which agents prefer to resolve
quickly because they have Epstein-
Zin-Weil preferences; agents choose capital structure and default times.
Our model generates co-movement
between aggregate stock return volatility and credit spreads, consistent
with the data and potentially resolves
the equity risk premium and credit spread puzzles.
---------- Forwarded message ----------
Date: Wed, 02 Apr 2008 11:00:14 +0200
From: Walter Fisher <fisher(a)ihs.ac.at>
Subject: IHS Workshop: July 1-2, 2008
Dear Colleagues,
I am writing to invite you to attend a workshop at IHS:
"Incomplete Market Economies with Production"
Organized by Egbert Dierker and Klaus Ritzberger
This will take place at Institute for Advanced Studies, Vienna
July 1-2, 2008.
For your information, I attach the Announcement, which includes a
preliminary list of speakers and the contact information.
[attachment removed by admin since it is available online at
http://www.ihs.ac.at/index.php3?id=1100 ]
If you have any questions, please don't hesitate to ask.
Best regards,
Walt Fisher
--
Walter H. Fisher
Department Head
Economics and Finance
Institute for Advanced Studies
A-1060 Vienna
Stumpergasse 56
Austria
Email: fisher(a)ihs.ac.at
http://elaine.ihs.ac.at/~fisher/
Dear colleagues,
You are kindly invited to attend the following VGSF research seminar:
***Topic: Approximate Solutions for Indifference Pricing under General
Utility Functions
***Speaker: Antoon Pelsser (University of Amsterdam)
***Time: 2008-04-11, Friday, 15:30-17:00
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented can be downloaded from the VGSF website
(http://www.vgsf.ac.at/activities/seminars.htm). The abstract is
attached below.
Professor Antoon Pelsser will arrive at WU-H46 on Thursday. If you would
like to arrange an individual meeting with him, please contact professor
Damir Filipovic.
Best regards,
Youchang
*Abstract. *With the aid of Taylor-based approximations, this paper
presents results
for pricing insurance contracts by using indifference pricing under general
utility functions. We discuss the connection between the resulting
“theoretical”
indifference prices and the pricing rule-of-thumb that practitioners
use: Best Estimate
plus a “Market Value Margin”. Furthermore, we compare our approximations
with known analytical results for exponential and power utility.
The Vienna Graduate School of Finance (VGSF) is now hosting a public mailing list.
You are invited to subscribe to this newsletter at
https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter
This newsletter will be mainly used to announce presentations in the VGSF research
seminar and to provide other information related to research in finance.
In the near future, announcements regarding the VGSF research seminar will not be
announced anymore via the Vienna Finance Newsletter (VFN-L), but only via the vgsf-
newsletter.
To reach all subscribers of the vgsf-newsletter you can write an email to
vgsf-newsletter at wu-wien.ac.at
Please note that vgsf-newsletter is a moderated list; thus postings will be distributed
subject to confirmation of an administrator.
Best regards,
Alois Geyer
-- Thanks to Hermann Elendner for his support.
-- The list is operated by courtesy of WU-Wien ZID and GNU/Mailman.
Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
Seminar 1: What gives? A Study of Firms' Reactions to Cash Shortfalls
Speaker: Toni Whited (University of Wisconsin-Madison)
Time: 2008-04-04, Friday, 14:00-15:30
Seminar 2: Time Inconsistent Stochastic Control
Speaker: Tomas Björk (Stockholm School of Economics)
Time: 2008-04-04, Friday, 16:00-17:30
Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented by Toni Whited can be downloaded from the VGSF
website (http://www.vgsf.ac.at/activities/seminars.htm). The abstracts
are attached below.
Best regards,
Youchang
*What Gives? A Study of FirmsReactions to Cash Shortfalls*
*Abstract*
This paper examines the relative magnitude of financial versus real
frictions by looking at how firms react to exogenous cash shortfalls. To
answer the question theoretically, we examine a dynamic model of
financing and exogenous cash shortfalls. We find that when financing
costs are high, firms adjust on real margins and vice versa. To answer
the question empirically, we use a regression discontinuity design, in
which the discontinuity is the point of violation of underfunding of
corporate defined benefit pension plans. We examine firm-year
observations in which the firms pension assets are just barely less
than its pension liabilities, and in which, consequently, the firm must
make a mandatory contribution to its pension plan. We compare this group
to a control group of firm-year observations in which the rm has just
barely escaped having to make a mandatory contribution. In this
quasi-experimental setting, we find little evidence that firms cut back
on their real activities such as employment and investment. Instead,
they use a variety of financial tools, such as cash, working capital
management, and short-term external financing to fund their pension
liabilities.
*Time Inconsistent Stochastic Control
Abstract
*In this talk we will present some recent work on non-classical
stochastic control problems which are "time inconsistent" in the sense
that they cannot be treated by dynamic programming. We present a
game-theoretic approach to such problems and we derive an extended
version of the Hamilton-Jacobi-Bellman equation in terms of a system of
PDEs for the determination of the associated subgame perfect Nash
equilibrium strategy. We also present applications from finance.
Wissenschaftliche/r Mitarbeiter/in
Das Forschungsinstitut für Regulierungsökonomie an der
Wirtschaftsuniversität Wien hat das primäre Ziel sich mittelfristig als ein
international anerkanntes und unabhängiges Forschungszentrum zur Analyse von
regulierungsökonomischen Fragestellungen zu etablieren.
Die resultierenden Forschungsarbeiten sollen langfristig innovative
Erweiterungen der Grundlagenforschung darstellen. Gleichzeitig verfolgte das
Forschungsinstitut für Regulierungsökonomie auch die Entwicklung von
praxistauglichen Strategien für reale Märkte. Im Rahmen des Instituts wird
eine enge Kooperation von Wissenschaftern der Wirtschaftsuniversität Wien
mit ausländischen Forschern angestrebt und gleichzeitig der
Erfahrungsaustausch mit der Praxis gefördert.
Am Forschungsinstitut für Regulierungsökonomie ist ab sofort für 3 Jahre
eine Stelle für einen drittmittelfinanzierten wissenschaftlichen
Mitarbeiter/ eine drittmittelfinanzierte wissenschaftliche Mitarbeiterin
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. §128 UG 2002 idgF),
vollbeschäftigt zu besetzen.
Notwendige Kenntnisse und Qualifikationen:
abgeschlossenes Studium der Wirtschafts- und Sozialwissenschaften
Zusätzlich erwünschte Kenntnisse und Qualifikationen:
gute analytische Fähigkeiten, sehr gute Kenntnisse in Finanzwirtschaft und
quantitativen Methoden, gute EDV-Kenntnisse, Programmierkenntnisse von
Vorteil, hervorragende Kenntnisse in Englisch.
Kennzahl: 102648
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopie) sind unter
Angabe der angeführten Kennzahl an die Personalabteilung der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien (
<mailto:sekretariatpersabt@wu-wien.ac.at> sekretariatpersabt(a)wu-wien.ac.at)
zu richten.
Ende der Bewerbungsfrist: 2. April 2008
Bitte die Kennzahl unbedingt anführen!
Nähere Auskünfte erteilt Prof. Dr. Stefan Bogner (
<mailto:stefan.bogner@wu-wien.ac.at> stefan.bogner(a)wu-wien.ac.at)
Online:
http://www.wu-wien.ac.at/portal/dl/personal/jobs/ausschrwisspers#w120
Call for Applications:
Full Professor of Finance
Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien); Ref.No. 103290
Vienna University of Economics and Business Administration
(Wirtschaftsuniversität Wien, WU) is now inviting applications for the
position of Full Professor of Finance.
The Vienna University of Economics and Business Administration is the
largest business university in the European Union and is centrally located
at the heart of Europe. The University maintains an excellent position as a
center for research and teaching and attracts an international group of
students and faculty. It offers a broad range of subjects in all areas of
economics and business administration. The finance group at the Vienna
University of Economics and Business Administration is one of the largest in
the German-speaking world. Resources and facilities are comparable to those
of internationally leading institutions. The University is EQUIS accredited
and is striving to achieve a top position among the leading European
business universities. For details, please see www.wu-wien.ac.at
<http://www.wu-wien.ac.at/> .
Applicants should have: a) a solid academic qualification (e.g. PhD,
Habilitation) in Finance or a related area; b) an outstanding international
reputation in high quality scholarship in the area of finance; c) a strong
record in attracting research funding; d) a demonstrated commitment to
excellence in executive teaching; and e) proven leadership qualities.
The successful candidate is expected to have established an international
reputation as a researcher in his/her field and have an outstanding
publication record. All fields of finance will be considered, but preference
will be given to the fields of derivatives, asset pricing, securities
design, empirical finance and risk management. We expect a strong interest
in teaching finance at bachelor, master, and PhD levels as well as in
executive education programs. Teaching experience in English is required;
teaching experience in German is not necessary. Non-German-speaking
candidates will be expected to acquire proficiency in German over a certain
period of time.
For details of the position, please contact Professor Stefan Pichler,
Department of Finance and Accounting, by phone: ++43-1-31336-5685, or email:
stefan.pichler(a)wu-wien.ac.at.
Candidates should send their applications (curriculum vitae, list of
publications, list of classes held as well as copies of five major journal
publications) to the Rector of Wirtschaftsuniversität Wien, Professor
Christoph Badelt, Augasse 2-6, A-1090 Vienna. Electronic applications are
preferred and can be sent to nicole.reinecke(a)wu-wien.ac.at
<mailto:brigitte.parnigoni@wu-wien.ac.at> . Please quote reference no.
103290 when submitting your application. Applications must be submitted by
April 30th, 2008.
The Vienna University of Economics and Business Administration is an Equal
Opportunity Employer and seeks to increase the number of its female faculty
members. Therefore qualified women are strongly encouraged to apply. In case
of equal qualification, female candidates will be given preference.
<http://www.wu-wien.ac.at/>
From September 2008 to December 2008, there will be a Special Semester on
Stochastics with Emphasis on Finance at the Johann Radon Institute for
Computational and Applied Mathematics (RICAM) of the Austrian Academy of Sciences in Linz.
The goal of this Special Semester is to provide a stimulating environment
for mathematicians, quantitative economists and, in particular, researchers in
the areas of applied probability and analysis, computational methods and
finance to jointly address emerging challenges in the interface between
stochastics and finance. There will be a series of thematic workshops with
leading experts in the field.
Experienced researchers, post-docs and doctoral students will have the
opportunity to collaborate at RICAM in an interdisciplinary atmosphere in
order to gain new perspectives and to develop novel approaches.
Funding is available for longer stays during the semester. We particularly
encourage young researchers to apply.
For more details on the activities planned for the Special Semester as
well as for application forms, see the webpage
http://www.ricam.oeaw.ac.at/specsem/sef/
Scientific Committee:
Hansjörg Albrecher (University of Linz & RICAM, Austria),
Karl Kunisch (University of Graz & RICAM, Austria),
Hanna Pikkarainen (RICAM, Austria),
Wolfgang Runggaldier (University of Padova, Italy (Chair)),
Walter Schachermayer (TU Vienna & RICAM, Austria)
Professor Engelbert Dockner from Vienna University of Economics and
Business Administration is giving a VGSF research seminar on "Choice of
Rating Technology and Price Formation in Imperfect Credit Markets" on
March 7 (Friday, 13:15-14:45) at Wirtschaftsuniversität Wien - H46
(1190, Heiligenstädter Strasse 46-48), seminar room 2 (ground floor).
The paper to be presented will be posted on the VGSF website soon
(http://www.vgsf.ac.at/activities/seminars.htm).
Please kindly note the new location and the special time of this seminar.
Best regards,
Youchang
Liebe Kolleginnen und Kollegen,
ich bitte auch die weitere Stellenausschreibung am Institut für
Risikomamangement und Versicherung zu beachten.
Mit besten Grüßen,
Alexander Mürmann.
__________________________________________________
Alexander Mürmann, Ph.D.
Professor of Risk Management and Insurance
Institute of Risk Management and Insurance
Vienna University of Economics and Business Administration
Heiligenstädter Str. 46-48, A-1190 Wien, AUSTRIA
Phone + 43-1-31336 4948
Fax + 43-1-31336 712
E-Mail <mailto:alexander.muermann@wu-wien.ac.at>
alexander.muermann(a)wu-wien.ac.at
Im Institute for Risk Management and Insurance sind 2 Stellen für
Wissenschaftliche MitarbeiterInnen oder 1 Stelle für einen Assistenten/eine
Assistentin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG
2002 idgF), vollbeschäftigt zu besetzen.
Vertragsdauer: Wissenschaftliche/r Mitarbeiter/in: 1. Mai 2008 bis 30. April
2012
Assistent/in: 1. Mai 2008 bis 30. April 2014
Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für
Wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine
maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits
als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die
auf die 4 Jahre fehlende Zeit eingestellt werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche
Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist.
Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für
Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind,
können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt
werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits einen Assistent/inn/enposten Säule 2 inne hatten, aus rechtlichen
Gründen nicht möglich ist.
Notwendige Kenntnisse und Qualifikationen:
für Wissenschaftliche/n Mitarbeiter/in: abgeschlossenes Studium der Sozial-
und Wirtschaftswissenschaften, Mathematik oder Physik bzw. gleichzuhaltende
Qualifikation
für Assistent/in: abgeschlossenes oder kurz vor Abschluss stehendes
Doktoratsstudium der Sozial- und Wirtschaftswissenschaften oder
Mathematik/Statistik mit wirtschaftswissenschaftlicher Ausrichtung bzw.
gleichzuhaltende Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
für Wissenschaftliche/n Mitarbeiter/in: starkes Interesse am
wissenschaftlichen Arbeiten mit Anwendungen im Bereich des Risikomanagements
und/oder Versicherungswirtschaft mit dem Ziel der Promotion in Sozial- und
Wirtschaftswissenschaften, Bereitschaft zur Unterstützung und Mitarbeit in
der Lehre, gute EDV-Kenntnisse, sehr gute Englischkenntnisse
für Assistent/in: selbständige Forschungsorientierung mit Interessen im
Bereich Risikomanagement und/oder Versicherungswirtschaft mit dem Ziel der
Publikation in internationalen Fachzeitschriften, Bereitschaft zur Mitarbeit
in der Lehre, sehr gute Englischkenntnisse
Kennzahl: 101995
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter
Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien (
<mailto:sekretariatpersabt@wu-wien.ac.at> sekretariatpersabt(a)wu-wien.ac.at)
zu richten.
Ende der Bewerbungsfrist: 19. März 2008
Bitte die Kennzahl unbedingt anführen!
Liebe Kolleginnen und Kollegen,
am Institut für Versicherung und Risikomanagement an der WU Wien suche ich
die Stelle eines/r wissenschaftlichen MitarbeiterIn zu besetzen. Das
Institut ist Teil des Departments für Finanzierung und Rechnungswesen.
Ich bitte Sie, untenstehende Ausschreibung zu beachten und an potentielle
Kandidaten/Innen weiterzuleiten.
Mit bestem Dank und Grüßen,
Alexander Mürmann.
__________________________________________________
Alexander Mürmann, Ph.D.
Professor of Risk Management and Insurance
Institute of Risk Management and Insurance
Vienna University of Economics and Business Administration
Heiligenstädter Str. 46-48, A-1190 Wien, AUSTRIA
Phone + 43-1-31336 4948
Fax + 43-1-31336 712
E-Mail <mailto:alexander.muermann@wu-wien.ac.at>
alexander.muermann(a)wu-wien.ac.at
Im Institut für Versicherungswirtschaft ist voraussichtlich ab 1. April 2008
bis 31. März 2012 eine Stelle für einen wissenschaftlichen Mitarbeiter/eine
wissenschaftliche Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität
Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für
Wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine
maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits
als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die
auf die 4 Jahre fehlende Zeit eingestellt werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche
Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist.
Notwendige Kenntnisse und Qualifikationen:
abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften,
Mathematik oder Physik bzw. gleichzuhaltende Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
starkes Interesse am wissenschaftlichen Arbeiten mit Anwendungen im Bereich
des Risikomanagements und/oder Versicherungswirtschaft mit dem Ziel der
Promotion in Sozial- und Wirtschaftswissenschaften; Bereitschaft zur
Unterstützung und Mitarbeit in der Lehre, gute EDV-Kenntnisse, sehr gute
Englischkenntnisse
Kennzahl: 100295
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter
Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien
(sekretariatpersabt(a)wu-wien.ac.at) zu richten.
Ende der Bewerbungsfrist: 5. März 2008
Bitte die Kennzahl unbedingt anführen!
Der Rektor:
o. Univ.Prof. Dr. Christoph Badelt
The European Corporate Governance Institute (ECGI) is organizing a
conference on Corporate Governance in Oxford on 10-11 June 2008. The
conference is part of the ECGI Corporate Governance Best Paper
Competition. Papers included in the conference will be automatically
eligible for inclusion in the Competition. They will also be eligible
for fast track reviewing for inclusion in the /Review of Finance/ (RoF)
free of charge.
You are invited to submit a paper for inclusion in the conference and
for consideration by the competition. Details of the competition, the
conference, the fast track submission and the procedure by which papers
will be selected are available at
http://www.ecgi.org/competitions/rof/index.php Papers should be
submitted by February 15th.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: January 31st, 2008 (Thursday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London
Business School and INSEAD
http://www.seasholes.com/
Title: TIME VARIATION IN LIQUIDITY:
THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES
Abstract:
We use an 11-year panel of NYSE specialist inventory positions and
revenues to study two aspects of financial markets: stock price
reversals (temporary mispricings) and liquidity. Understanding when
stocks are mispriced and when liquidity is drying up is of key
importance to asset managers. We show that as stock prices go up,
market-makers sell. As stock prices fall, market-makers buy.
Market-makers are compensated for taking on risky positions via stock
price reversals. Sorting stocks based on inventory positions predict
reversals of 33 basis points over the following week and 45 basis points
over the following two weeks. Sorting stocks by current returns and
inventory positions can predict reversals of over 85 basis points per
week. Combining inventory positions with NYSE specialist revenues
allows us to predict liquidity (at the market-level) at a daily
frequency. As prices fall, market-makers lose money on current
positions. They also increase positions and thus risk. The net result
is that market-makers are less willing to provide liquidity. Our tests
are done at both the market-level and at the specialist firm level. Our
results suggest an important role for market makers' financial positions
in explaining the time variation of liquidity.
About Mark Seasholes:
Mark Seasholes is an Assistant Professor of Finance. He received his BA
from Wesleyan University and his AM and PhD degrees from Harvard
University. Mark's research focuses on investor behavior around the
world. He has written on cross-border equity investments, herding
behavior of individual investors, and loss aversion. Current work
focuses on the role and pricing of liquidity. One project looks at the
systematic liquidity demands of individual investors. A second project
studies NYSE specialist inventories (a measure of liquidity provided to
the market).
Mark studied physics at Wesleyan University. After graduating from
college, he spent a number of years working on Wall Street and in the
emerging markets of East/Central Europe. He has completed a valuation
project in Honduras, helped with the Lloyds of London restructuring, and
given a series of lectures in the People's Republic of China.
Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to
2007 where he won teaching awards in three programs: Daytime MBA,
Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to
teach in Executive Education programs where he receives top ratings.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Professor Susan Christoffersen from McGill University is giving a VGSF
research seminar on "Fund Flows vs. Family Flows: Evidence from the
Cross Section of Brokers" on January 25 (Friday, 15:30-17:00) at
Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. You
can download the paper to be presented at the VGSF webpage (Activities &
Events--> Research Seminars). The abstract of the paper is attached below.
Professor Christoffersen is going to visit BWZ on Jan 25. If you would
like to meet her at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Evidence that brokers influence the mutual-fund flows they intermediate
suggests that
funds’ families make important choices about their use of brokerage. We
address these
choices by relating the flows in and out of funds to, on one hand, the
involvement of
brokers who are or aren’t affiliated with the fund, and their
revenue-sharing with the
family, and on the other hand, the simultaneous flows of other funds in
the same family.
Among our findings are that affiliated brokers increase recapture of
outflows but also
cannibalization of inflows, and that consumer sentiment increases the
market power of
unaffiliated brokers.
Professor Rohit Rahi from London School of Economics is giving a VGSF research seminar on "Arbitrage Networks" on January 18 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Professor Rahi is going to visit Vienna from Jan 16 to 21. If you would like to meet him, please let me know as soon as possible.
Kind regards,
Youchang Wu
This paper is studies the general equilibrium implications of arbitrage trades by
strategic players in segmented financial markets. Arbitrageurs exploit clientele
effects and choose to specialize in one category of trades, taking into consideration
all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
The optimal network for arbitrageurs is of the hub-spoke kind. The
equilibrium network, in contrast, is never optimal for arbitrageurs and is never
hub-spoke. The reason is that equilibrium networks suffer from a Prisoner’s
Dilemma problem that prevents network externalities from being internalized.
We show that, as the number of intermediaries grows, equilibrium allocations
converge to those of the frictionless complete-markets Arrow-Debreu economy.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: January 31st, 2008 (Thursday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London
Business School and INSEAD
http://www.seasholes.com/
Title: TIME VARIATION IN LIQUIDITY:
THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES
Abstract:
We use an 11-year panel of NYSE specialist inventory positions and
revenues to study two aspects of financial markets: stock price
reversals (temporary mispricings) and liquidity. Understanding when
stocks are mispriced and when liquidity is drying up is of key
importance to asset managers. We show that as stock prices go up,
market-makers sell. As stock prices fall, market-makers buy.
Market-makers are compensated for taking on risky positions via stock
price reversals. Sorting stocks based on inventory positions predict
reversals of 33 basis points over the following week and 45 basis points
over the following two weeks. Sorting stocks by current returns and
inventory positions can predict reversals of over 85 basis points per
week. Combining inventory positions with NYSE specialist revenues
allows us to predict liquidity (at the market-level) at a daily
frequency. As prices fall, market-makers lose money on current
positions. They also increase positions and thus risk. The net result
is that market-makers are less willing to provide liquidity. Our tests
are done at both the market-level and at the specialist firm level. Our
results suggest an important role for market makers' financial positions
in explaining the time variation of liquidity.
About Mark Seasholes:
Mark Seasholes is an Assistant Professor of Finance. He received his BA
from Wesleyan University and his AM and PhD degrees from Harvard
University.
Mark's research focuses on investor behavior around the world. He has
written on cross-border equity investments, herding behavior of
individual investors, and loss aversion. Current work focuses on the
role and pricing of liquidity. One project looks at the systematic
liquidity demands of individual investors. A second project studies
NYSE specialist inventories (a measure of liquidity provided to the market).
Mark studied physics at Wesleyan University. After graduating from
college, he spent a number of years working on Wall Street and in the
emerging markets of East/Central Europe. He has completed a valuation
project in Honduras, helped with the Lloyds of London restructuring, and
given a series of lectures in the People's Republic of China.
Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to
2007 where he won teaching awards in three programs: Daytime MBA,
Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to
teach in Executive Education programs where he receives top ratings.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
There will be two VGSF research seminars on January 11 at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna:
Seminar 1 (14:00-15:30)
Speaker: Alexander Wagner (University of Zurich)
Topic: The Executive Turnover Risk Premium
Seminar 2 (16:00-17:30)
Speaker: Jeffrey Zwiebel (Stanford University)
Topic: Executive Pay, Hidden Compensation, and Managerial Entrenchment
Both papers can be downloaded from the VGSF homepage (Activities & Events--> Research Seminars). The abstracts are attached below.
Alexander and Jeff will visit VGSF on Friday (Jan 11) morning. If you would like to meet them at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract 1: Executive compensation has increased dramatically over the past 15 years, but so has forced CEO turnover. Previous research shows that fired CEOs do poorly later on in their careers and some forfeit their previous compensation. We argue that these adverse consequences of forced turnover explain part of the secular rise and cross-sectional variation of CEO pay. We fnd a large premium for exogenous turnover risk for the CEOs of the largest US corporations for the years 1993-2001: a one-percentage point increase in the probability of involuntary turnover is associated with about 10 percent more in terms of risk-neutral compensation. We show that this relation is unlikely to be driven by reverse causation or a general tendency towards stronger performance sensitivity of both pay and turnover.
Abstract 2: We consider a "managerial optimal" framework for top executive compensation, where top management sets their own compensation subject to limited entrenchment, instead of the conventional setting where such compensation is set by a board that maximizes firm value. Top management would like to pay themselves as much as possible, but are constrained by the need to ensure sucient effciency to avoid a replacement. Shareholders can remove a manager, but only at a cost, and will therefore only do so if the anticipated future value of the manager (given by anticipated future performance net of future compensation) falls short of that of a replacement by this replacement cost. In this setting, observable compensation (salary) and hidden compensation (perks, pet projects, pensions, etc.) serve different roles for management and have different costs, and both are used in equilibrium. We examine the relationship between observable and hidden compensation and other variables in a dynamic model, and derive a number of unique predictions regarding these two types of pay. We then test these implications and find results that generally support the predictions of our model.