GARP SPONSORS RISK MANAGEMENT RESEARCH
GARP advances practitioner-oriented research in risk management
Contact:
Greg Winsper
Global Association of Risk Professionals
Phone 201.719.7240
Fax 201.222.5022
111 Town Square
Suite 1215
Jersey City, NJ 07310
New York, London; December 17, 2007: The Global Association of Risk
Professionals (GARP: www.garp.com ( http://www.garp.com/ )), a leading
professional Association dedicated to the advancement of the financial
risk profession, announced today a Call for Research Proposals for the
2nd Annual GARP Risk Management Research Program.
The GARP Risk Management Research Program seeks to fund research
projects that offer unique approaches for current global risk management
issues that ultimately bridge the gap between theory and practice. Areas
of particular interest for 2008 include credit risk measurement and
management (particularly focused on mortgages, securitization or
liquidity), risk management in emerging markets and energy risk
management.
A Research Committee made up of risk management practitioners,
academics and researchers will select at least 5 research proposals to
fund in 2008. The Research Committee is co-chaired by Professors René
Stulz of The Ohio State University and Peter Tufano of Harvard
University. Selected research proposals will be notified in May 2008,
and recipients will receive a grant of USD $12,000.
*As a thought-leader in risk management, GARP seeks to support the *new
and noteworthy* in risk management research. Last year we received
proposals from researchers in 13 countries representing the best
research institutions globally, and we expect even greater and broader
participation this year.* states Chris Donohue, PhD, Managing Director
of the GARP Research Center.
GARP will accept research proposals through the end of March 2008.
Additional information on the GARP Risk Management Research Program is
available on the GARP website
at www.garp.com/university/Research.asp.
GARP recently launched other initiatives to advance financial risk
management research. GARP now sponsors the GARP Risk Management Research
Award, presented at the annual meeting of the European Financial
Management Association (EFMA) to an outstanding paper in the field of
financial risk management, and the Best Dissertation in Risk Management
Award, presented at the annual meeting of the Financial Management
Association (FMA).
Recep Bildik, PhD, Senior Researcher in the GARP Research Center,
notes, *These initiatives demonstrate GARP*s commitment to keeping the
academic community engaged in the most relevant topics to risk
management practitioners.*
About GARP Research Center
The GARP Research Center serves as the driving force for
practitioner-oriented research by illuminating future trends and
opportunities, supporting and conducting research, and sharing these
activities with the risk management community around the world. The
Research Center focuses on thought leadership and aims to be a
recognized bridge between the academic research and practitioner
communities. For more information about the GARP Research Center and its
sponsorship of risk management research, please visit
www.garp.com/university/research.asp.
About GARP
The Global Association of Risk Professionals (GARP) is a not-for-profit
independent association of over 67,000 risk mana gement practitioners
and researchers representing banks, investment management firms,
government agencies, academic institutions, and corporations from more
than 167 countries worldwide. It also administers the Financial Risk
Manager (FRM*), the world*s premier certification for the financial risk
professional. GARP*s mission is to be the leading professional
association for risk managers, managed by and for its members dedicated
to the advancement of the risk profession through education, training
and the promotion of best practices globally. www.garp.org (
http://www.garp.org/ )
---------- Forwarded message ----------
Date: Fri, 21 Dec 2007 15:09:36 +0100 (CET)
From: Marianne Baumgart @oeaw.ac.at
Subject: Einladung Embrechts
---------------
EINLADUNG
---------------
zum nächsten Vortrag im Rahmen der Johann Radon Lectures 2007/08
der Österreichischen Akademie der Wissenschaften (ÖAW)
Mittwoch, 9. Jänner 2008, 18:15 Uhr
Österreichische Akademie der Wissenschaften, Festsaal
1010 Wien, Dr. Ignaz Seipel-Platz 2
Paul EMBRECHTS, ETH Zürich
spricht zum Thema
Quantitative Risk Management (QRM) <<
Über Mathematik und Risiko bei Banken und Versicherungen: Auch in der
Welt der Banken und Versicherungen findet sich eine Vielzahl von
Beispielen für den heutigen Drang nach Akronymen. Relevant für diesen
Vortrag sind die folgenden: QRM (Quantitative Risk Management), ERM
(Enterprise Risk Management), GRM (Global Risk Management).
QRM befasst sich mit der Fragestellung der quantitativen Analyse von
Risiken. Aufsichtsrechtliche Gremien sind ein starker Antrieb für
Banken und Versicherungen diese Quantifizierung voran zu treiben. Auf
Basis dieser Analyse wird Risikokapital berechnet um mit hoher
Wahrscheinlichkeit unerwartete Marktereignisse abfangen zu können.
Im Vortrag werden folgende Themen aus dem Bereich des QRM
herausgegriffen: Value-at-Risk, Extremalereignisse,
Abhängigkeitsmodellierung, Risikoaggregation, Operationelles Risiko.
Eine entscheidende Frage für die Praxis ist die Differenzierung
zwischen Finanzrisiken, die sich sinnvoll quantitativ erfassen lassen
und solchen, bei denen ausschließlich eine qualitative Beschreibung
Sinn macht. Neben der quantitativen Messung von Risikozahlen ist auch
ihre Aggregation eine wichtige Aufgabe der QRM, deren Lösung
anspruchsvolle Mathematik erfordert.
Die fundamentale Rolle der Mathematik in den Bereichen der
Preisbestimmung und Absicherung von Finanzderivaten (Optionen,
Kreditderivate, Swops...) ist unbestritten. Die Hauptthese ist, dass
auch bei regulatorischen Fragestellungen aus den Bereichen der Finanz-
und Versicherungsaufsicht die Mathematik nicht weg zu denken ist.
Anhand mehrerer Beispiele wird versucht diese These zu belegen. Ein
wichtiges Korollar ist die Tatsache, dass die Bedeutung von gut
ausgebildeten Studenten aus der angewandten Mathematik für die
Wirtschaft groß bleiben wird. Schlussendlich bieten Fragestellungen
des QRM eine Fülle von äußerst interessanten und anspruchsvollen
Forschungsproblemen.
Moderator:
Walter Schachermayer (TU Wien, ÖAW)
Veranstalter:
ÖAW und Industriellenvereinigung Wien
Weitere Informationen zu den Johann Radon Lectures finden Sie unter:
http://www.oeaw.ac.at/shared/news/2007/info_johann_radon_lectures.html
Folder & Plakat:
http://www.oeaw.ac.at/shared/news/2007/pdf/radon_folder.pdfhttp://www.oeaw.ac.at/shared/news/2007/pdf/radon_plakat.pdf
----------------------------------------------
Dr. Marianne Baumgart
Österreichische Akademie der Wissenschaften
Austrian Academy of Sciences
Öffentlichkeitsarbeit
Public Relations
A-1010 Wien, Dr. Ignaz Seipel-Platz 2
Tel: ++43-1-51581-1219
Fax: ++43-1-51581-1227
http://www.oeaw.ac.at/pr
Sheridan Titman from University of Texas at Austin is giving a VGSF research seminar on "Financial Structure, Liquidity, and Firm Locations" on December 12, Wednesday, from 11:00 to 12:30, at HS 12, BWZ, Bruennerstrasse 72, A-1210 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Please note the special time and location of this seminar!!!
Professor Titman is visiting BWZ on December 10-12. If you would like to talk to him at BWZ, please let me know as soon as possible.
Best,
Youchang
This paper investigates the relation between a firm’s location and its corporate finance
decisions. We develop a simple model where being located within an industry cluster
increases opportunities to make acquisitions, and to facilitate those acquisitions, firms
within clusters maintain more financial slack. Consistent with our model we find that
firms that are located within industry clusters tend to make more acquisitions, and have
lower debt ratios and larger cash balances than their industry peers located outside
clusters. In addition, we document that firms in growing cities and technology centers
also maintain more financial slack. Overall, these findings, which reveal systematic
patterns between geography and corporate finance choices, suggest the importance of
growth opportunities in firms’ financial decisions.
Liebe Kolleginnen und Kollegen!
In meiner Eigenschaft als Vorsitzender der
Habilitationskommission von Herrn Dr. Markus
Schwaiger lade ich Sie sehr herzlich zum
öffentlichen Habilitationsvortrag und Habilitationskolloquium ein.
Der Habilitationsvortrag von Dr. Markus Schwaiger
zum Thema Determinanten der Zinsmargenreduktion
in der europäischen Bankenlandschaft am Beispiel von Lokalbanken findet am
Dienstag, 18. Dezember 2007, um 9.00 Uhr,
im UZA 1, großer Sitzungssaal, Kern D, 2. OG.,
statt.
Das öffentliche Habilitationskolloquium wird im
Anschluss an den Habilitationsvortrag am selben Ort abgehalten.
Mit herzlichen Grüßen
Stefan Bogner eh.
===================================================
Brigitte Krammer
Wirtschaftsuniversität Wien, Vienna University of
Economics and Business Administration
Büro des Senats, Senate Office
Augasse 2-6, A-1090 Wien
Tel: +43 1 31336-5322
Fax: +43 1 31336-792
E-Mail: brigitte.krammer(a)wu-wien.ac.at
===================================================
Professor Kristian Miltersen from Norwegian School of Economics and Business Administration is giving a VGSF research seminar on "REAL OPTIONS WITH UNCERTAIN MATURITY AND COMPETITION" on December 7 (Friday, 15:30-17:00), at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Kristian will visit BWZ on Dec 5-7. If you would like to meet him at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract. We develop a new approach to dealing with real options problems with uncertain maturity. This approach is highly applicable to analyze R&D investments and mine or oil exploration projects. These projects are characterized by signi.cant on-going investment costs until completion. Since time to completion is uncertain, the total investment costs will also be uncertain. Despite the fact that these projects include complicated American abandonment/switching options until completion and European options at completion (because of .xed .nal investment costs) we obtain simple closed form solutions. We apply the framework to situations in which the owner of the project has monopoly rights to the outcome of the project, and to situations in which there are two owners who simultaneously invest, but where only one of them may obtain the rights to the outcome. We expand the real options framework to incorporate game theoretic considerations, including a generalization of mixed strategies to continuous-time models in the form of abandonment intensities.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
The Global Association of Risk Professionals (GARP) is pleased to
announce an Austrian chapter meeting
Monday, December 17th, 2007
Time: 6:00 p.m. * 8:30 p.m.
Vienna University of Technology
Wiedner Hauptstraße 8-10
Green Area, 7th floor, Zeichensaal 3
1040 Vienna
Refreshments
Please invite colleagues who you think would be interested in
attending.
We ask only that they register to attend.
Registration is desired so that we can plan accordingly. Please
register at www.garp.com
Topics:
I. Ex post risk attribution in a value-at-risk framework
Speaker: Eugen Puschkarski (Oesterreichische Nationalbank)
Abstract:
We will first describe a general procedure to decompose time-variation
in Value-at-Risk from one reporting period to the next. Then, using
standard methodology from the field of performance attribution, we
analytically show how the new VaR Risk Attribution Model (RAM) ascribes
these changes to an active trading factor, a market risk changes factor,
a passive time decay factor and a resulting cross-product. With a
slightly simplified version of the RAM, we subsequently demonstrate how
behavioural risk-taking patterns can be detected in practice. We
highlight the relevance of using a RAM for central banks and
subsequently set the presented RAM into the context of existing risk
attribution methods.
Eugen Puschkarski is currently a Risk Manager in the Treasury Division
at Oesterreichische Nationalbank, Vienna, Austria, where he has worked
since 1999. His areas of specialization are Market Risk Measurement,
Quantitative Research on Asset Allocation, Pricing Models and
Econometric Research. Prior to that, he was in charge of Sales and
Support of the Risk Management programs SAILFISH and KONDOR+ in the Risk
Management Division at REUTERS America Inc. He earned his Postgraduate
in Finance at the Center for Central European Financial Markets and
studied International Business Administration at the University of
Vienna, Austria. In 2007 Eugen Puschkarski was appointed as co-director
of GARP chapter Austria.
II. Overview of and personal experience with the FRM exam
III. Discussion
Mag. Eugen Puschkarski
______________________________________________________________
Oesterreichische Nationalbank (Austria's Central Bank)
Treasury - Strategy Division
Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria
Phone (+43-1) 40420-4419
Fax (+43-1) 40420-4499
e-mail: Eugen.Puschkarski(a)oenb.at
http://www.oenb.at
______________________________________________________________
Professor Vikram Nanda from Arizona State University is giving a VGSF
research seminar on "Are Incentive Contracts Rigged by Powerful CEOs?"
on November 30 (Friday, 15:30-17:00), at the Institute for Advanced
Studies(SZ VI), Stumpergasse 56, 1060 Vienna. The paper to be presented
can be downloaded at the VGSF webpage (Activities & Events--> Research
Seminars). The abstract of the paper is attached below.
Vikram will visit BWZ on Nov 30. If you would like to meet him at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
We argue that powerful CEOs extract rents by rigging the incentive part
of their pay. In particular, we
contend that CEOs induce their boards to shift the weight on performance
measures towards the better
performing measures. The intuition is developed in a simple model in
which some powerful CEOs exploit
superior information and lack of transparency in compensation contracts
to extract rents. Our model
delivers several testable implications: (1) powerful CEOs are more
likely to rig their incentive pay; (2)
rigging is expected to increase with CEO human capital intensity and
uncertainty about a firm’s future
prospects; and (3) firm performance is expected be negatively affected
by rigging. Using measures of
CEO power and board independence on a large panel of firms in the U.S.,
we find support for all our
predictions. Rigging accounts for 57% of the sensitivity of compensation
to performance measures and
is increasing in CEO human capital and volatility of a firm’s future
prospects. Moreover, the portion
of incentive pay that is predicted by power is associated with negative
subsequent future profitability
of the order of 1.7% per year (a drop of 39% from the sample mean).
Overall, our empirical evidence
rejects the theory that incentives serve as a substitute for low
monitoring in firms with powerful CEOs,
supporting instead the theory that CEOs with power can skim rents at the
expense of shareholders.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Professor Loriana Pelizzon from University of Venice is giving a VGSF
research seminar on "Credit Derivatives, Capital Requirements and Opaque
OTC Markets" on November 23 (Friday, 15:30-17:00), at the Institute for
Advanced Studies(HS II) Stumpergasse 56, 1060 Vienna. The paper to be
presented can be downloaded at the VGSF webpage (Activities & Events-->
Research Seminars). The abstract of the paper is attached below.
Loriana will visit BWZ on Nov 23. If you would like to meet her at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract
In this paper we study the optimal design of credit derivative contracts
when
banks have private information over their loan portfolios and are
subject to minimum
regulatory capital requirements. We show that bank regulation affects the
form of the optimal signalling contracts. Moreover we show that the use
of signalling
contracts is more costly when OTC credit derivative markets are opaque.
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
www.vgsf.ac.at
offers
PhD SCHOLARSHIPS IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance - a joint initiative of the
Institute for Advanced Studies, Vienna, the University of Vienna, and
the Wirtschaftsuniversität Wien - invites applications for its PhD
Program in Finance for the class starting in September 2008. The VGSF
offers a stimulating learning and research environment plus financial
support to outstanding students from around the world. VGSF graduates
can look forward to a rewarding career at leading academic institutions.
FACULTY
The local VGSF faculty has an excellent track record of producing high
quality research and is very well connected in the academic finance
community. Local faculty members are complemented in teaching by leading
international scholars in financial economics. For example, 2007/08
courses will be taught by Tomas Björk, Christopher Hennessy, Gordon
Phillips, and Toni Whited. In addition, international scholars are
regularly invited to present their current research in the VGSF finance
research seminar.
PROGRAM
The VGSF PhD-program in Finance consists of two parts: rigorous
coursework and work on the PhD-thesis. All courses are taught in English
and appropriate language skills are required. Good skills in mathematics
and statistics are advantageous to successfully complete the program.
APPLICATION
The program is open for students from all countries with all academic
specializations, provided they hold a Master degree or equivalent.
Applicants should take a GRE and/or GMAT and a TOEFL test, and provide
proof of basic proficiency in finance and/or economics (based on either
the degree they hold or a sample of original written work). The
application package must contain a statement of purpose, as well as
copies of any certificates and diplomas obtained during prior studies,
along with certified translations into English. Finally, each applicant
should arrange for two letters of reference to be sent directly to the
address below.
SCHOLARSHIP
Successful applicants will receive financial support. Approximately 4-6
scholarships are offered for the class starting in September 2008.
Please send your application package no later than February 1st, 2008,
to the following address:
VGSF - Prof. Dr. Josef Zechner, University of Vienna, Department of
Finance, Brünnerstrasse 72, 1210 Vienna (Wien), Austria.
FOR FURTHER DETAILS ON THE VGSF AND THE APPLICATION PLEASE SEE:
http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at
Professor Huafeng (Jason) Chen from University of British Columbia is
giving a VGSF research seminar on "Return Comovement" on November 16
(Friday, 15:30-17:00), at the Institute for Advanced Studies(HS II)
Stumpergasse 56, 1060 Vienna. The paper to be presented can be
downloaded at the VGSF webpage (Activities & Events--> Research
Seminars). The abstract of the paper is attached below.
Jason will visit BWZ on Nov 16. If you would like to meet him at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract
We study the pairwise stock return correlations. We find that 90% of the
variation in correlations is not explained by the explanatory variables.
We also conduct an APT test based on the idea that stocks with high
correlations should have similar expected returns. We find evidence
consistent with this implication of the APT. Finally, trading stocks
that deviate from their comovers is highly profitable.
Sehr geehrte Damen und Herren,
die Fachhochschule des bfi Wien lädt Sie herzlich zum
Symposium "Solvency II und die Lebensversicherung" am 22. November 2007 ein.
Ort: Fachhochschule des bfi Wien, Wohlmutstraße 22, 1020 Wien
Zeit: Donnerstag, 22. November 2007, 14.00 bis 19.30 Uhr
Das Symposium findet in Kooperation mit dem österreichischen Versicherungsverband und dem Europäischen Wirtschaftsforum e.V. München statt.
Programmübersicht:
Mag. Karin Harreither, "Wozu Solvency II? Solvency II - der Paradigmenwechsel"
Mag. Katarina Heigl, "Modelle, QIS Studien und Eigenmittelunterlegung (Säule 1)"
Mag. Günter Fellner, "Integration von Solvency II in die Geschäftsprozesse eines Lebensversicherers (Säule 2) - Erste Erfahrungsberichte"
Mag. Thomas Smrekar, "Offenlegungsvorschriften nach IFRS für Versicherungsunternehmen - Ausgangsbasis für Säule 3 von Solvency II?"
Podiumsdiskussion "Auswirkungen von Solvency II auf den Lebensversicherungsmarkt"
mit Mag. Werner Müller, Mag. Andreas Rauter, Mag. Oskar Ulreich und Mag. Dr. Klaus Wegenkittl
Moderation: Mag. Erwin Frasl
Abschluss der Veranstaltung und Gelegenheit zum Gespräch mit den ReferentInnen beim Buffet.
Ein detailliertes Programm finden Sie unter http://www.fh-vie.ac.at/article.aspx?ID=498&LN=DE
Die Teilnahme am Symposium ist kostenlos. Um Anmeldung wird gebeten.
Ich freue mich auf Ihr Kommen und verbleibe
mit freundlichen Grüßen,
-- Christian Cech
___________________________________________
Mag. Dr. Christian Cech, MBA
Researcher
Fachhochschule des bfi Wien Ges.m.b.H.
Wohlmutstraße 22, A-1020 Wien
Tel: ++43/1/720 12 86 - 71, Fax: ++43/1/720 12 86 - 19
christian.cech(a)fh-vie.ac.at, www.fh-vie.ac.at
Firmenwortlaut: Fachhochschule des bfi Wien Gesellschaft m.b.H
Firmenbuchnummer: 148597 a
Firmenbuchgericht: Handelsgericht Wien
Firmensitz: Wohlmutstraße 22, 1020 Wien
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professor Damir Filipovic from Vienna Institute of Finance is giving a VGSF research seminar on "Non-Monotone Risk Measures and Monotone Hulls" on November 9 (Friday, 15:30-17:00), at the Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. The talk is based on two papers, which can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The titles and abstracts of these two papers are attached below.
Kind regards,
Youchang Wu
Monotone and Cash-Invariant Convex Functions and Hulls (with Michael
Kupper), Insurance: Mathematics and Economics 41, 1-16, 2007
This paper provides some useful results for convex risk measures.
In fact, we consider convex functions on a locally convex vector space
E which are monotone with respect to the preference relation implied
by some convex cone and invariant with respect to some numeraire
(“cash”). As a main result, for any function f, we find the greatest
closed convex monotone and cash-invariant function majorized by f.
We then apply our results to some well-known risk measures and problems
arising in connection with insurance regulation.
A Note on the Swiss Solvency Test Risk Measure (with Nicolas Vogelpoth),
forthcoming in Insurance: Mathematics and Economics
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent
measure of risk as introduced in Artzner et al. [1, 2]. We provide a simple example
which shows that it does not satisfy the axiom of monotonicity. We then find, as a
monotonic alternative, the greatest coherent risk measure which is majorized by the
Swiss Solvency Test risk measure.
Im Institut für Quantitative BWL und Operations Research ist
voraussichtlich ab 3. Dezember 2007 bis 2. Dezember 2011 die Stelle
eines wissenschaftlichen Mitarbeiters/einer wissenschaftlichen
Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128
UG 2002 idgF), vollbeschäftigt, zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für
wissenschaftliche Mitarbeiter/wissenschaftliche Mitarbeiterinnen eine
maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die
bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur
mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Weiters
weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche
Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist.
Notwendige Kenntnisse und Qualifikationen:
abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften bzw.
gleichzuhaltende Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
Studium der Wirtschaftspädagogik, Eignung zur Mitarbeit in Lehre
(insbesondere Finanzierung) und Forschung des Institutes; Mitbetreuung
der Telematik-Plattform learn@wu; Mitarbeit im
organisatorisch-administrativen Bereich; Betreuung der Institutshomepage
Kennzahl: 93105
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind
unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien
(sekretariatpersabt(a)wu-wien.ac.at
<mailto:sekretariatpersabt@wu-wien.ac.at>) zu richten.
Ende der Bewerbungsfrist: 14. November 2007
Bitte die Kennzahl unbedingt anfÃŒhren!
Der Rektor:
o. Univ.Prof. Dr. Christoph Badelt
--
-------------------------------------------------------------
Univ.-Ass. Dr. Michaela Nettekoven
Wirtschaftsuniversitaet Wien
Institut für Quantitative Betriebswirtschaftslehre und Operations Research
UZA 4, 4. Stock, Bauteil D
Nordbergstraße 15, A - 1090 Wien
Tel.: +43-1-31336-4561, Fax: +43-1-31336-708
Email: michaela.nettekoven(a)wu-wien.ac.at
Web: <http://www.wu-wien.ac.at/or/>
Liebe Kollegen,
ich bitte um die Veroeffentlichung folgender Position im VFN.
Mit Dank und freundlichen Gruessen,
Dirk Becherer
----------------------------------------------------------------------------------
The following position could be well suited for a young researcher
working at the interface
between Stochastic Analysis and Applied or Numerical Analysis,
Numerical Stochastics or Computational Finance.
We would be grateful if you could help to bring it to the attention of suitable candidates
-----------------------------------------------------------------------------------
* Position: Head of the junior research group / postdoctoral position
(german payscale BAT IB)/ guest professorship
* Place: Berlin University of Technology / DFG research Center Matheon
* Closing date for applications: 08.11.2007
* For further details, please see: http://www.matheon.de/about_us/jobs.asp
The DFG Research center Matheon "Mathematics for key technologies: Modelling,
simulation and optimization of real-world processes", and the Institute
of Mathematics of the Berlin University of Technology are inviting applications for the
position of the
Head of the junior research group for Applied Mathematics
postdoctoral research fellow (BAT Ib)
or
guest professorship with equivalent qualification
For the position of the head of junior research group, the DFG research
center Matheon is looking for Junior scientists who have proven their scientific
independence and are building up their own research program. The position will have
funds to hire a research assistant, plus money for travel and visitors. The initial contract duration will be until May 31, 2010. After a positive evaluation an extension of the contract for a total of 6 years is possible. Salary will be on the BAT Ib level. Assuming the
appropriate qualification to § 113, § 100 Abs. 1-4 BerlHG the position
can be upgraded to a guest professorship. The head of the junior research group should be an expert in an area of Applied Mathematics such as Applied Analysis, Stochastic Analysis or Numerical Mathematics and should also have expertise in at least one of the application areas of the DFG Research Center MATHEON, which comprises several fields of Applied Mathematics.
Those include finance and the modeling of risk in financial markets.
[please see www.matheon.de for more details]
Professor Eckhard Platen from University of Technology Sydney is giving a
VGSF research seminar on "A Benchmark Approach to Finance" on Thursday,
October 25, from 15:30 to 17:00 at Wirtschaftsuniversität Wien, HS D204
(UZA4, Nordbergstraße 15, 1090 Vienna). See the VGSF webpage (Activities &
Events --> Research Seminars) for the paper to download.
Please note the change of the time and location for this seminar!!!
The paper's abstract is attached below.
Best,
Youchang Wu
This paper derives a unified framework for portfolio optimization,
derivative pricing,
financial modeling, and risk measurement. It is based on the natural
assumption that
investors prefer more rather than less, in the sense that given two
portfolios with the
same diffusion coefficient value, the one with the higher drift is
preferred. Each such
investor is shown to hold an efficient portfolio in the sense of Markowitz
with units
in the market portfolio and the savings account. The market portfolio of
investable
wealth is shown to equal a combination of the growth optimal portfolio
(GOP) and
the savings account. In this setup the capital asset pricing model follows
without the use
of expected utility functions, Markovianity, or equilibrium assumptions.
The expected
increase of the discounted value of the GOP is shown to coincide with the
expected
increase of its discounted underlying value. The discounted GOP has the
dynamics of
a time transformed squared Bessel process of dimension four. The time
transformation
is given by the discounted underlying value of the GOP. The squared
volatility of the
GOP equals the discounted GOP drift, when expressed in units of the
discounted GOP.
Risk-neutral derivative pricing and actuarial pricing are generalized by
the fair pricing
concept, which uses the GOP as numeraire and the real-world probability
measure as
pricing measure. An equivalent risk-neutral martingale measure does not
exist under
the derived minimal market model.
Liebe Kolleginnen und Kollegen,
als neuer Institutsvorstand für Versicherung und Risikomanagement an der WU
Wien suche ich Stellen für eine/n Assistenten/in und wissenschaftliche
MitarbeiterInnen zu besetzen. Das Institut ist Teil des Departments für
Finanzierung und Rechnungswesen.
Ich bitte Sie, untenstehende Ausschreibung zu beachten und an potentielle
Kandidaten/Innen weiterzuleiten.
Mit bestem Dank und Grüßen,
Alexander Mürmann.
__________________________________________________
Alexander Mürmann
Professor of Risk Management and Insurance
Institute of Risk Management and Insurance
Vienna University of Economics and Business Administration
Nordbergstraße 15, A-1090 Wien, AUSTRIA
Phone + 43-1-31336 4948
Fax + 43-1-31336 712
E-Mail <mailto:alexander.muermann@wu-wien.ac.at>
alexander.muermann(a)wu-wien.ac.at
Im Institut für Versicherungswirtschaft sind 1 Stelle für einen
Assistenten/eine Assistentin und 2 Stellen für wissenschaftliche
MitarbeiterInnen oder 4 Stellen für wissenschaftliche MitarbeiterInnen
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF),
vollbeschäftigt zu besetzen.
Vertragsdauer: Assistent/in: 1. Dezember 2007 bis 30. November 2013
wissenschaftliche/r Mitarbeiter/in: 15. November 2007 bis 14. November 2011
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für
wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine
maximale Befristungsdauer von 4 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind,
können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt
werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche
Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist.
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für Assistent/inn/en
eine maximale Befristungsdauer von 6 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind,
können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt
werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits einen Assistent/inn/enposten Säule 2 inne hatten, aus rechtlichen
Gründen nicht möglich ist.
Notwendige Kenntnisse und Qualifikationen:
für Assistent/in: abgeschlossenes oder kurz vor Abschluss stehendes
Doktoratsstudium der Sozial- und Wirtschaftswissenschaften oder
Mathematik/Statistik mit wirtschaftswissenschaftlicher Ausrichtung bzw.
gleichzuhaltende Qualifikation
für wissenschaftliche/n Mitarbeiter/in: abgeschlossenes Studium der Sozial-
und Wirtschaftswissenschaften oder Mathematik/Statistik bzw.
gleichzuhaltende Qualifikation
Erwünschte Kenntnisse und Qualifikationen:
für Assitent/in: selbständige Forschungsorientierung mit Interessen im
Bereich Risikomanagement und/oder Versicherungswirtschaft mit dem Ziel der
Publikation in internationalen Fachzeitschriften, Bereitschaft zur Mitarbeit
in der Lehre, sehr gute Englischkenntnisse
für wissenschaftlichen Mitarbeiter/in: Interesse am wissenschaftlichen
Arbeiten mit Anwendungen im Bereich des Risikomanagements und/oder
Versicherungswirtschaft mit dem Ziel der Promotion in Sozial- und
Wirtschaftswissenschaften, Bereitschaft zur Unterstützung und Mitarbeit in
der Lehre, EDV-Kenntnisse, gute Englischkenntnisse
Kennzahl: 91795
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter
Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien
(sekretariatpersabt(a)wu-wien.ac.at) zu richten.
Ende der Bewerbungsfrist: 2. November 2007
Bitte die Kennzahl unbedingt anführen!
Der Rektor:
o. Univ.Prof. Dr. Christoph Badelt
Sehr geehrte Damen und Herren,
an der Fachhochschule des bfi Wien sind folgende beiden Stellen
ausgeschrieben:
- StudiengangsleiterIn FH Studiengang "Bank- und Finanzwirtschaft"
- FH-Lektor/in für Corporate Finance
Details untenstehend.
StudiengangsleiterIn FH Studiengang "Bank- und Finanzwirtschaft",
================================================================
Vollzeitdienstverhältnis ab 1. Februar 2008
Ihre Aufgaben:
- Leitung des Studiengangs
- Funktionswahrnehmung in Beachtung des FHStG
- Lehrtätigkeit
- Durchführung von anwendungsbezogener Forschung
- Auswahl und Koordination des Lehrpersonals
- Qualitative Weiterentwicklung des Studiengangs
- Internationalisierungsaktivitäten
- Wahrnehmung von Firmenkontakten
Ihr Profil:
- Abgeschlossenes Hochschulstudium (Diplom/Mag. oder Dr. ) in einem für den
Studiengang relevanten Fachbereich
- Pädagogisch-didaktische Fähigkeiten, mehrjährige Lehrtätigkeit im
Hochschulbereich oder in der Erwachsenenbildung
- Forschungskompetenz (Nachweis von Veröffentlichungen/Projekten)
- Mehrjährige Berufserfahrung in Managementfunktionen
- Sehr gute Kontakte zu Unternehmen des Geld- und Kreditsektors
- Sehr gute Englischkenntnisse
- Kenntnisse und Erfahrungen im Projektmanagement
- Sozialkompetenz, Teamorientierung und Belastbarkeit
Unser Angebot:
- Verantwortungsvolle Führungsposition in expandierendem Unternehmen
- Teamorientiertes Arbeitsumfeld
- Verleihung des Titels Prof. (FH) nach zwei Jahren erfolgreicher Tätigkeit
möglich
Die Fachhochschule des bfi Wien strebt eine Erhöhung des Anteils von Frauen
am wissenschaftlichen Personal und in Leitungsfunktionen an. Sie lädt daher
qualifizierte Damen zur Bewerbung ein.
Ihre schriftliche Bewerbung richten Sie bis 25. Oktober 2007 an:
Fachhochschule des bfi Wien GmbH, Wohlmutstraße 22, 1020 Wien, Telefon-Nr.
720 12 86, Fax.-Nr. 720 12 86-19 E-Mail: info(a)fh-vie.ac.at, Homepage:
www.fh-vie.ac.at
****************************************************************************
FH-LektorIn für Corporate Finance
==================================
in Fachhochschul-Studiengängen für Vollzeit- und berufsbegleitend
Studierende
Vollzeitdienstverhältnis ab 1. Februar 2008
Ihre Aufgaben:
- Lehrtätigkeit in den Bereichen Corporate Finance und
Finanzmarktlehre/Statistik unter Anwendung moderner Lehr- u. Lernformen
- Leitung des studiengangsübergreifenden Fachbereichs "Corporate Finance"
- Mitarbeit in anwendungsbezogenen Forschungsprojekten sowie einschlägige
Publikationstätigkeit
- Betreuung von Seminar-, Bachelor- und Diplom/Master-Arbeiten
- Mitwirkung bei Entwicklungsprojekten und Ausbildungsprogrammen
Ihr Profil:
- Akademischer Abschluss (Mag., Master oder Dr.)
- Teamfähigkeit, Belastbarkeit und Genderkompetenz
- 3 - 5 -jährige Berufserfahrung erwünscht (davon 2 Jahre mit
außeruniversitärer Tätigkeit)
- Lehrerfahrung an Universität, Fachhochschule oder sonstiger
Erwachsenenbildung
- Sehr gute Englischkenntnisse in Wort und Schrift
- Sehr gute Kenntnisse in MS-Office (Word, Excel, Powerpoint)
Unser Angebot:
- Verantwortungsvolle Position in expandierendem Unternehmen
- Teamorientiertes Arbeitsumfeld
- Verleihung des Titels Prof. (FH) nach zwei Jahren erfolgreicher Tätigkeit
möglich
Die Fachhochschule des bfi Wien strebt eine Erhöhung des Anteils von Frauen
am wissenschaftlichen Personal und in Leitungsfunktionen an. Sie lädt daher
qualifizierte Damen zur Bewerbung ein.
Ihre schriftliche Bewerbung richten Sie bis 16. November 2007 an:
Fachhochschule des bfi Wien GmbH, Wohlmutstraße 22, 1020 Wien, Telefon-Nr.
720 12 86, Fax.-Nr. 720 12 86-19 E-Mail: info(a)fh-vie.ac.at, Homepage:
www.fh-vie.ac.at
****************************************************************************
mit freundlichen Grüßen,
-- Christian Cech
___________________________________________
Mag. Dr. Christian Cech, MBA
Researcher
Fachhochschule des bfi Wien Ges.m.b.H.
Wohlmutstraße 22, A-1020 Wien
Tel: ++43/1/720 12 86 - 71, Fax: ++43/1/720 12 86 - 19
christian.cech(a)fh-vie.ac.at, www.fh-vie.ac.at
Professor Andrea Eisfeldt from Northwestern University is giving a VGSF
research seminar on "Financing Shortfalls and the Value of Aggregate
Liquidity " on October 19 (Friday, 15:30-17:00) at Institute for Advanced
Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to
be presented at the VGSF webpage (Activities & Events--> Research
Seminars).
The abstract of the paper is attached below.
Professor Eisfeldt is going to visit BWZ from October 15 to 19. If
you would like to meet him at BWZ, please let me know as soon as
possible.
Kind regards,
Youchang Wu
This paper studies the level and dynamics of the value of aggregate liquidity
induced by firms’ financing shortfalls. We model liquidity and cash flows
as internal funds available for investment in an economy where external funds
are costly. We study whether the use of liquidity to hedge investment
opportunities
can generate substantial liquidity premia with empirically observed
countercyclical properties, and show how firms’ financial positions affect
the
value of aggregate liquidity. Cash flows affect the “natural supply” of
liquidity
and are procyclical. Thus, we argue that shortfalls between firms’ financing
needs and available liquid funds are more likely to occur in bad times when
current cash flows are low, rendering liquidity premia countercyclical. We
investigate
the relationship between such shortfalls and the value of aggregate
liquidity empirically using US Flow of Funds and Compustat data.
---------- Forwarded message ----------
Date: Tue, 09 Oct 2007 10:19:23 +0200
From: Gertrude Seidelmann <gertrude.seidelmann(a)wu-wien.ac.at>
To: vfn-l(a)fam.tuwien.ac.at
Subject: Stellen für wissenschaftliche Mitarbeiter
Sehr geehrte Damen und Herren,
am Institut für Betriebswirtschaftslehre des Außenhandels der
Wirtschaftsuniversität Wien sind zwei Assistentenstellen ausgeschrieben. Ich
ersuche Sie, die Veröffentlichung aus dem Mitteilungsblatt der
Wirtschaftsuniversität auch über Ihren Newsletter zu verschicken:
Im Institut für Betriebswirtschaft des Außenhandels sind voraussichtlich ab 5.
November 2007 bis 4. November 2011 zwei Stellen für wissenschaftliche
MitarbeiterInnen (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG
2002 idgF), vollbeschäftigt zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für wissenschaftliche
Mitarbeiter/ wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer
von 4 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können
daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die
bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche
Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist.
Notwendige Kenntnisse und Qualifikationen:
abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Erwünschte Kenntnisse und Qualifikationen:
Fundierte Kenntnisse im Bereich der BWL des Außenhandels (facheinschlägige
wissenschaftliche Arbeiten (Diplomarbeit) und/oder praktische Erfahrungen) mit
dem Fokus ?Finanzierung und Risikoabsicherung im Auslandsgeschäft?,
überdurchschnittlicher Studienerfolg, Fremdsprachenkenntnisse, pädagogische
Eignung, Bereitschaft zur Mitarbeit in der Lehre in den neuen Studienangeboten
sowie in der Institutsadministration, Stressresistenz, Flexibilität und hohe
Selbstmotivation
Kennzahl: 91848
Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter
Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien
(<mailto:sekretariatpersabt@wu-wien.ac.at>sekretariatpersabt(a)wu-wien.ac.at) zu
richten.
Ende der Bewerbungsfrist: 24. Oktober 2007
Bitte die Kennzahl unbedingt anführen!
Der Rektor:
o. Univ.Prof. Dr. Christoph Badelt
Herzlichen Dank im Voraus!
Mit freundlichen Grüßen
Gertrude Seidelmann
Gertrude Seidelmann
Institut für BWL des Außenhandels
Wirtschaftsuniversität Wien
Althanstraße 51
A 1090 Wien
P +43 1 31336-4371
F +43 1 31336-751
http://www.wu-wien.ac.at/auha
Professor Felix Meschke from University of Minnesota is giving a VGSF
research seminar on "The Rise and Fall of Portfolio Pumping Among U.S.
Mutual Funds" on October 12 (Friday, 15:30-17:00), at Institute for
Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download
the paper to be presented at the VGSF webpage (Activities & Events-->
Research Seminars). The abstract of the paper is attached below.
Professor Meschke is going to visit BWZ in the morning of Oct 12. If you
would like to meet him at BWZ on Oct 12, please let me know as soon as
possible.
Kind regards,
Youchang Wu
We construct a new measure that tightens the link between stock return
patterns around quarter-
ends and the likelihood that these patterns result from mutual fund
portfolio pumping. Both the
level and the concentration of mutual fund ownership explain temporary
stock price increases at
the end of the quarter. We show that pumping is particularly pronounced
among the best- and
worst-performing funds and document a distinctive increase in this
activity during the 1997-2001
period. The sharp decrease in portfolio pumping after 2001 is most
likely due to academic and
media attention that spawned investor activism and SEC enforcement
actions. These changes in
regulatory attention and scrutiny markedly affected the behavior of
mutual fund managers.
Professor Gordon Phillips from University of Maryland is giving a VGSF research seminar on "Real and Financial Industry Booms and Busts" on October 5 (Friday, 15:30-17:00), at Institute for Advanced Studies(SZ VI),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Professor Phillips is going to visit BWZ in the afternoon of Oct 10. If you would like to meet him at BWZ on Oct 10, please let me know as soon as possible.
Kind regards,
Youchang Wu
We examine how industry valuation and product market competition affect firm cash flows and stock returns. In competitive industries we find that operating
cash flows and stock returns decrease with industry-level stock-market valuation, investment and new financing. We find weak and generally insignificant
results in concentrated industries. In competitive industries, firms in the most highly valued industry quintile have abnormal stock returns that are
four percentage points lower than those in the least valuable industry quintile. Overall our results are consistent with a small probability of a new era of very high subsequent growth, or high competition among firms that affects both industry cash flows and stock prices in competitive industries.
Adlai Fisher from University of British Columbia is giving a VGSF research seminar on "Conditional Risk, Overconditioning, and the Performance of Momentum Strategies" on September 7, Friday, from 15:30 to 17:00, at HS 3, BWZ, Bruennerstrasse 72, A-1210 Vienna. See the VGSF webpage (Activities & Events--> Research Seminars) for a map of the location, and the paper to be presented.
The abstract of the paper is attached below.
Best,
Youchang
Abstract:
Recent empirical studies evaluate the performance of investment strategies using contemporaneously measured loadings to proxy for conditional risk. We demonstrate that such procedures lead to potentially large biases in alpha when payoffs are nonlinear. We combine lagged portfolio and component realized betas with standard instruments to improve performance analysis, and .nd that conditioning information reduces momentum alphas by 20-40% relative to unconditional estimates. Overconditioned alphas are up to 2:5 times larger than appropriately conditioned measures.