Workshop Announcement
---------------------
"Extremal Events and Dependence Modelling
with Applications to Financial Risk Management"
Location: Swiss Re Rüschlikon (Switzerland), Centre for Global Dialogue
Date: Nov. 12 - 13, 2001
For detailed information and links see
http://www.math.ethz.ch/finance/Ruschlikon2001.html
Seminar Leaders:
- Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich)
- Prof. Dr. Alexander McNeil (Department of Mathematics, ETH Zürich)
- Dr. Uwe Schmock (RiskLab Research Director, ETH Zürich)
Target audience: insurance risk managers, actuaries, financial risk
managers, interested mathematicians and physicists
Registration fee: CHF 500.-;
For students, assistants and other academic staff CHF 100.-
Accommodation: Hotel facilities are available at Rüschlikon upon request.
Registration: Please send your e-mail registration to the responsible
event manager Nadine Schuhmacher
(mailto:Nadine_Schuhmacher@swissre.com), phone no. ++41-1-704 88 31,
indicating your full name, address, phone number.
Registration deadline: Friday, October 19, 2001
Aim of the Workshop
-------------------
Risk managers are primarily concerned with the risk of
low-probability events that could lead to catastrophic losses. Yet
traditional VaR methods tend to ignore extreme events. In particular,
it is often assumed that log-returns are multivariate normally
distributed, and little attention is paid to the distribution of the
(possibly dependent) extreme returns we are most concerned about. The
danger is then that our models are prone to fail in situations when
they are needed most - in the event of large market or credit losses.
Attempts to estimate the probability and severity of such large
losses are hampered by the lack of data - unusually large market or
credit losses are almost by definition rare events. Extreme Value
Theory (EVT) is a set of statistical techniques that have been
developed to deal with these problems.
Financial risk management also confronts us with complex
interdependencies. Of particular concern for risk managers is the
issue of extremal dependence - the phenomenon of increased dependence
and reduced diversification in stress periods. Copulas give us the
very latest tools for understanding and modelling this phenomenon and
show how extreme value theory may be taken to higher dimensions.
Elliptical distributions and the corresponding robust estimation of
dependence are a prominent example.
All these mathematical and statistical techniques help the financial
risk manager to make the best possible use of what little information
we have about the extreme losses and their possible dependence, which
explains why in recent years these techniques have become
increasingly popular as a risk management tool.
This two-day event consists of a systematic introduction to extreme
value theory and dependence modelling with a strong focus on
applications in financial risk management and worked-out case
studies, including live presentations with the latest version of the
free EVIS software routines (Extreme Values in S-Plus) developed at
ETH Zurich as an add-on to S-Plus.
Seminar Outline
---------------
1. Extreme Value Theory (EVT) in Risk Management (RM)
- Rare events, heavy tails and EVT
- General principles of risk measurement
- Measures of tail risk - VaR and coherent measures beyond VaR
2. EVT: Basic Results
- Maxima and worst-case losses
- Limiting distributions for maxima
- Modelling tails of probability distributions
- The peaks-over-thresholds (POT) method
- Software for EVT - the EVIS template
3. Case Study: EVT and Securitisation of Insurance Risk
- Applying EVT to price catastrophe covers
- Data analysis and mastering practical obstacles such as censoring
- The art of modelling and testing for trends
- Identifying and quantifying model risk
- Implementing Monte Carlo scenario generation to assess robustness
- Calculating the coupon value of a CAT bond
4. EVT and Market Risk Management
- Embedding EVT in a stochastic volatility framework
- Dynamic and static risk measurement
- VaR estimation and backtesting
- VaR for longer time horizons - scaling rules
5. Modelling Dependent Risks: Basic Concepts
- Basics of multivariate statistics
- Multivariate normal distributions
- Elliptical models and normal mixture models
- Portfolio theory in an elliptical world
6. Advanced Concepts: Copulas and Extremal Dependence
- Describing dependence with copulas
- Understanding the limitations of correlation
- Alternative dependence measures
- Statistical aspects of dependence modelling
- Tail dependence and dependent extreme values
- A survey of useful copula families
7. Applications: Credit Risk Models
- Multivariate discrete models for credit risks
- Latent variable models and mixture models
- Standard solutions: CreditMetrics, KMV and CreditRisk+
- Mapping between latent variable and mixture models
- Exchangeability and correlation
- Dirichlet-Bernoulli mixture model
- Motivation of the Dirichlet distribution, properties
- What is extreme credit risk?
- Copulas and extreme credit risk
- Improving and extending standard solutions
- Generating risky scenarios - a simulation study
- Alternative risk transfer - basket credit derivatives
- Calibrating credit models to available information
- Modelling rating transitions
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/
Risk Day 2001
-------------
Mini-Conference on Risk Management in Finance and Insurance
organised by RiskLab, ETH Zurich.
Printable and online program with links:
http://www.math.ethz.ch/finance/Risk-Day-2001.html
Time: Friday, October 19, 2001, 9.00 - 17.30
Location: ETH Zurich, Main Building, Lecture Hall HG F7; Refreshments
in the "Uhrenhalle" (main hall, F-floor)
General Information: Participation is free, and there is no official
registration. Everyone is welcome, practitioners are especially
encouraged to attend.
Program:
--------
9.00 - 9.10
Prof. Dr. Hans-Jakob Lüthi (IFOR and RiskLab, ETH Zürich)
"Welcome and Presentation of RiskLab"
9.10 - 9.50
PD Dr. Wolfgang Breymann (RiskLab, Dept. of Math., ETH Zürich)
"Volatility Estimation and Risk Measurement:
>From Short to Long Time Horizons"
Abstract: Market risk management, portfolio optimization and option
pricing methods can only be as good as the model of the underlying
volatility process. An approach will be presented that uses intraday
high-frequency financial data to improve risk measurement at long
time horizons. It takes advantage of the fact that volatility
estimation on a time horizon of the order of days can be improved by
the use of intra-day data. Such data require special methods for data
analysis. The following results will be presented:
- Universal method for deseasonalization of financial time series.
- Use of intra-day data to improve volatility estimates
at daily or longer time horizons.
- Modelling financial time series by means of a hierarchical
volatility model containing a cascade from long to short time
horizons.
An outlook will be given on how to use these techniques for portfolio
optimisation and risk management at longer time horizons.
9.50 - 10.30
Enrico De Giorgi (RiskLab, Dept. of Math., ETH Zürich)
"An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios"
Abstract: In December 2000 Swiss banks held about 505 billion CHF
debts in the form of mortgages. Nonetheless, current models for
credit risk are not designed to capture the specific dependence
characteristics of a large mortgage portfolio. Given the huge size of
the mortgage market, it is surprising that the issue has been largely
ignored by academic research. Our attention lies in a proper way of
modeling default risk for individual residential mortgages, which is
affected by macro-economic factors such as unemployment, mortgage and
factors specific to the obligor. We consider the time to default,
using a non-parametric proportional hazard model for the intensity
process, which is assumed to depend on a set of factors
(macro-economic, mortgage and obligor specific). A technique from
generalized additive models is used for estimation and the
contribution of each factor to the default intensity is computed.
10.30 - 11.00 Coffee Break (Main Hall, F-Floor, Uhrenhalle)
11.00 - 11.30
Filip Lindskog (RiskLab, Dept. of Math., ETH Zürich)
"Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions"
Abstract: The class of elliptical distributions provides a rich
source of multivariate distributions which share many of the
tractable properties of the multivariate normal distribution and
enables modelling of multivariate extremes and other forms of
non-normal dependences. In this talk I aim to clarify dependence
properties of elliptical distributions and give examples how these
results can be applied. (Joint work with Henrik Hult.)
11.30 - 12.00
Alessandro Juri (Dept. of Math., ETH Zürich)
"Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks"
Abstract: The theory of copulae is known to provide a useful tool for
modelling dependence in integrated risk management. For given risks
X_1,...,X_n and a real-valued functional f on R^n, bounds for the
Value-at-Risk of the global position f(X_1,...,X_n) are provided. The
key point is that we do not have specific dependence information on
X_1,...,X_n. A further issue is how these bounds change when specific
dependence information is assumed. Various examples highlight the
methodology introduced. (Joint work with Andrea Höing and Prof. P.
Embrechts.)
12.00 - 13.40 Lunch Break
13.40 - 14.10
Pierre Patie (RiskLab, Dept. of Math., ETH Zürich)
"Risk Management for Derivatives in Illiquid Markets"
Abstract: In this talk, we study the hedging of derivatives in
illiquid markets. We consider a model where the implementation of a
hedging strategy affects the price of the underlying security. We
derive a formula for the feedback effect of dynamic hedging on market
volatility and characterize perfect hedging strategies by a nonlinear
version of the Black-Scholes PDE. Then we extend our approach to
portfolios of derivatives by providing a pricing rule for the
individual claims in a portfolio assuming that we know the overall
hedge cost and the replicating strategy for the large trader. We
solve numerically the PDE and we provide results (option prices and
greeks) for different kinds of options. On the topic of risk
management, we suggest a methodology to measure liquidity based on
the estimation of implied parameters obtained from real option
prices. Finally, simulations are used to assess the performance of
various hedging strategies under market illiquidity. (Joint work with
Prof. Rüdiger Frey, ISB, University of Zurich.)
14.10 - 14.40
Dr. Jesper Lund Pedersen (RiskLab, Dept. of Math., ETH Zürich)
"An Optimal Selling Strategy Based on Predicting the Ultimate Maximum Price"
Abstract: In this talk I will present an optimal selling strategy for
an asset in the following sense: An investor with a long position in
one asset decides to close the position before a given time. The
investor continuously observes the asset price performance and has to
determine the point in time (selling strategy) to close out the
position so that the asset price is as close as possible to the
ultimate maximum price over the given period. The probable proximity
is measured by a probability distance. Thus, the investor's objective
is to maximize, over all strategies, the probability that the asset
price when the position is closed out is greater than a given
percentage of the ultimate maximum price.
14.40 - 15.10
Dr. Larbi Alili (Dept. of Math., ETH Zürich)
"Exponential Functionals of Brownian Motion and Asian Options"
Abstract: Exponential functionals of Brownian motion play an
important role in the valuation and hedging of Asian options. The aim
of this talk is to provide an elementary method for computing the
distribution of the latter functionals.
15.10 - 15.50 Coffee Break (Main Hall, F-Floor, Uhrenhalle)
15.50 - 16.20
Dr. Dirk Tasche (RiskLab, Dept. of Math., ETH Zürich)
"Expected Shortfall and Beyond"
Abstract: Expected Shortfall (ES) in several variants has been
proposed as a remedy for the deficiencies of Value-at-Risk (VaR),
which in general is not a coherent risk measure. In fact, most
definitions of ES lead to the same results when applied to continuous
loss distributions. Differences may appear when the underlying loss
distributions have discontinuities. In this case even the coherence
property of ES can be lost. The relations between some of the
definitions of ES will be discussed. It will be pointed out that
there is one which is robust in the sense of yielding a coherent risk
measure regardless of the underlying distributions. In contrast to
VaR, this variant of ES can always be estimated naively. Moreover, as
shown recently by S. Kusuoka, it generates in a certain sense the
class of all law invariant coherent risk measures.
16.20 - 16:50
Prof. Dr. Philippe Artzner (RiskLab and Université Louis Pasteur)
"Coherent Acceptability for Multiperiod Risk and Applications"
Abstract: We explain why and how to deal with the definition, the
acceptability and the management of risk in a genuinely multitemporal
way. Acceptable value processes are primitive objects and the measure
of risk of a value process is the initial extra capital which makes
it acceptable. Coherence axioms then provide a representation of a
risk-adjusted valuation as the minimum expected value of an Stieltjes
integral with respect to random measures. Some special cases allowing
for recursive computations are presented. (Joint work with Freddy
Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku.)
17.00 Awarding of the Prize of the Dimitris N. Chorafas Foundation.
Conference Secretary: Mrs G. Baltes, HG G37.2, Phone 01/632 34 00,
E-mail: baltes(a)math.ethz.ch
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/
---------- Forwarded message ----------
Date: Mon, 24 Sep 2001 19:44:54 -0500
From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU>
To: SIMSOC(a)JISCMAIL.AC.UK
Subject: September 2001 news notes on agent-based computational economics
24 September 2001
Just a note to say that the September 2001 news notes on agent-based
computational economics (ACE) are now available on-line in html document
form at
http://www.econ.iastate.edu/tesfatsi/ace0901.htm
Featured items include journal, book, software, research group, on-line
course, and conference announcements. Items of more permanent interest
have been incorporated into the ACE Web site at
http://www.econ.iastate.edu/tesfatsi/ace.htm
ACE is the computational study of economies modelled as evolving systems of
autonomous interacting agents.
Best wishes,
Leigh Tesfatsion
Leigh Tesfatsion Department of Economics
Tel: (515) 294-0138 Iowa State University
FAX: (515) 294-0221 Ames, Iowa 50011-1070
tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/
---------- Forwarded message ----------
Date: Mon, 24 Sep 2001 11:05:31 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position at UBC
Please bring the following opening to the attention of anyone who might be
interested.
The Mathematics Department at the University of British Columbia is seeking
candidates for at least one tenure-track Assistant Professorship, subject
to funding, with a starting date of 1 July 2002. Exceptional candidates at
the Associate Professor or Professor level may be considered. Applicants
must have a superb research record in one of the following areas: Financial
Mathematics, Mathematical Biology, Partial Differential Equations,
Scientific Computing or Industrial/Applied Mathematics. The successful
applicant is expected to interact with related groups in the Mathematics
Department and have demonstrated interest and ability in teaching. The
salary will be commensurate with experience and
research record. Applicants should send a current cv including a list of
publications, statement of research and teaching interests and a list of
four referees to
Professor George Bluman, Head
Department of Mathematics
University of British Columbia
#121 - 1984 Mathematics Road
Vancouver, B.C. Canada V6T 1Z2
Assistant Professorship candidates should arrange for three letters of
recommendation to be sent directly to the same address.
Applications must be received before November 27, 2001.
on wednesday, oct. 10th 4 pm at the institut für höhere studien
(stumpergasse 56, 1060) hs. II, there will be a seminar talk by
kerry back (olin business school, washington university, st. louis)
on "Information in securities markets: Kyle meets Glosten and
Milgrom"
best
gabe lee
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
CALL FOR PARTICIPANTS
The Center for Applied Probability at Columbia University presents the
8th Annual CAP Workshop on Derivative Securities and Risk Management
Friday, November 9, 2001
Columbia University, New York City
This year we present another group of highly distinguished
speakers in the usual informal workshop aimed at fostering
communication between academia and industry.
SPEAKERS:
David Chasman, Sempra Energy Trading
"Managing 'Simple' and Not-So-Simple Energy Risk"
Steve Heston, Goldman Sachs
"The Expectations Puzzle in a Log-Linear Bond Model"
Michael Johannes, Columbia Business School
"The Impact of Jumps in Volatility and Returns"
Alan Lewis, Analytic Investment Management
"A Simple Option Formula for General Jump-Diffusion and other
Exponential Levy Processes"
Keynote Address:
Richard Sandor, Environmental Financial Products
"The Chicago Climate Exchange: Creating a Market for Greenhouse Gas
Emissions Trading"
Philipp Schoenbucher, Bonn University
"Pricing Exotic Credit Derivatives"
Nick Webber, University of Warwick
"Lattice Methods for Levy processes"
Zhifeng Zhang, Morgan Stanley
"Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps"
REGISTRATION FEES:
Academic:
By Nov. 2: $110 ($30 student)
On site: $150 ($40 student)
Corporate:
By Nov. 2: $220
On site: $300
A light lunch will be provided, and a wine and cheese reception will
be held at the end of the day.
REGISTRATION PROCEDURE:
Send Name, Title, Affiliation, Address and E-mail Address (as we
prefer to acknowledge receipt of your registration by e-mail), along
with a check or money order payable to CAP to the address below.
Or, to pay by credit card (MC or Visa ONLY), send the same
information in an e-mail to the address below and, in addition,
include CC#, Exp. Date, Name (as it appears on card), and Billing
Address. If you prefer, you may FAX the information, or a legible
(not too dark) copy of your credit card, to the FAX number listed
below.
CONTACT:
E-mail: cap(a)columbia.edu
WWW: http://www.cap.columbia.edu/
Postal: Center for Applied Probability, ATTENTION: Finance Workshop
601 CEPSR, Columbia University, Mail code 8906
530 West 120th Street, New York, NY 10027
Phone: (212) 854-6096
FAX: (212) 854-6989
LOCATION:
Columbia University, New York City
Exact location TBA.
Check http://www.cap.columbia.edu for updated information
ORGANIZERS:
M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.
Ausschreibung
Am Institut für Medizinische Statistik ist eine Planstelle mit einem
Universitätsassistenten/in - Ersatzkraft vom 01.10.2001 bis 30.09.2002 zu
besetzen.
Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium (Statistik,
Mathematik oder ein fachverwandtes Studium)
Gewünschte Zusatzqualifikationen: Erfahrung mit Anwendungen von
statistischen Methoden in Medizin, Biologie oder Epidemiologie; Kenntnisse
in statistischer Software; Erfahrung mit statistischmethodischen
Problemstellungen.
Kennzahl: 1735301
Bewerbungsfrist: 10.10.2001
Bewerbungen: Bewerbungsformulare mit Lebenslauf sind an die
Universität Wien
Universitätsdirektion
Personalabteilung/Bundesbedienstete
Allgemeines Krankenhaus Wien
Medizinische Fakultät
Währinger Gürtel 1820, A1090 Wien, zu richten.
Am Institut bestehen statistischmethodische Forschungsschwerpunkte über
sequentielle und adaptive Designs, Qualitätskontrolle in medizinischen
Studien sowie multiple Inferenz und Versuchsplanung.
Darüberhinaus nimmt das Institut für Medizinische Statistik innerhalb der
Fakultät eine Dienstleistungsfunktion bei der Planung und Auswertung von
medizinischen Forschungsprojekten wahr. Dabei kommt es zu Kooperationen mit
medizinischen Fachwissenschaftlern aus den Bereichen medizinischer
Experimente sowie klinischer und epidemiologischer Studien. Für diese
Tätigkeit ist gute Statistiksoftwarekenntnis erforderlich.
Schließlich nimmt auch die Bedeutung der Lehrtätigkeit, schwerpunktsmäßig
zur Einführung in statistische Methoden für das medizinische Umfeld,
ständig zu.
Für weitere Informationen siehe auch http://www.mstat.univie.ac.at
____________________________
Martin Posch
Department of Medical Statistics
University of Vienna
http://Posch.n3.net
---------- Forwarded message ----------
Date: Wed, 12 Sep 2001 15:30:09 +0100
From: cemapre <cemapre(a)iseg.utl.pt>
To: <Undisclosed-Recipient:@mail.iseg.utl.pt;>
Subject: Sixth International Congress on Insurance: Mathematics and
Economics
CEMAPRE is pleased to host the Sixth International Congress on Insurance: Mathematics & Economics, to be held on July 15-17, 2002, at ISEG, Technical University of Lisbon.
We invite you to have a look at our web page at http://www.iseg.utl.pt/~cemapre/ime2002
---------- Forwarded message ----------
Date: Fri, 7 Sep 2001 15:46:51 -0400 (EDT)
From: Jean-Pierre Fouque <fouque(a)unity.ncsu.edu>
Subject: tenure-track position in financial mathematics
Dear colleagues,
Below you will find an announcement
for an assistant professor position in financial mathematics.
It is at:
http://www.math.ncsu.edu/departmental/facpositions.html
Please bring this announcement to the attention
of qualified and interested individuals.
Thanks a lot,
JPF
Jean-Pierre Fouque
Department of Mathematics
NCSU, Box 8205
Raleigh, NC 27695-8205
Phone: (919) 515-8588, Fax: (919) 515-3798
http://www.math.ncsu.edu/~fouque
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
The Department of Mathematics invites applications for a tenure track
appointment at the assistant professor level in financial mathematics,
beginning in the fall of 2002.
Candidates should have a strong ongoing research program and a
demonstrated skill in teaching. The candidate's areas of interest should
complement the current research activities within the department in the
broad areas of stochastic processes, partial differential equations and
scientific computation. The successful candidate will participate in the
creation and development of a multidisciplinary Masters program in
Financial Mathematics.
Applicants should send a vita and three letters of reference
to Financial Mathematics Search Committee,
NC State University,
Mathematics Department, Box 8205,
Raleigh, NC 27695-8205.
Complete applications received before November 30, 2001 will receive full
consideration.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
---------- Forwarded message ----------
Date: Wed, 05 Sep 2001 16:15:05 -0500
From: cywei(a)uts.cc.utexas.edu
To: wschach(a)fam.tuwien.ac.at
Subject: Message from Actuarial Science Society
Dear Walter Schachermayer ,
POSITION IN ACTUARIAL SCIENCE
The Department of Mathematics and Statistics of the Faculty of Arts and
Sciences of the Université de Montréal invites applications for a
tenure-track position in actuarial science at the assistant professor,
associate professor or full professor level. The Department collaborates to
the activities of the Centre de recherches mathématiques (CRM). The position
is subject to budgetary approval. For more information on the Department or
the CRM, visit www.dms.umontreal.ca/ and www.crm.umontreal.ca/ .
DUTIES
Undergraduate and graduate teaching, supervision of graduate students, and
research.
REQUIREMENTS:
To hold a Ph.D. in Actuarial Science or in a related area and to be an
associate member of an actuarial society. An expertise in mathematical
finance is a supplementary advantage. The research record is of prime
importance. The candidate must possess excellent teaching skills. A good
working knowledge of French is required.
SALARY:
The Université de Montréal offers competitive salaries and a complete
package of social benefits.
STARTING DATE:
June 1, 2002.
The interested candidates must submit a curriculum vitae including a concise
statement of their research interests, at least three letters of reference,
and copies of at most three of their most important research publications
before November 15, 2001 (or until the position is filled), to:
Chair
Département de mathématiques et de statistique
Université de Montréal
C.P. 6128, succursale Centre-ville
Montréal QC H3C 3J7
Phone: (514) 343-6743
FAX: (514) 343-5700
email: mathstat(a)dms.umontreal.ca
In accordance with Canadian immigration requirements, priority will be given
to Canadian citizens and permanent residents of Canada. The Université de
Montréal subscribes to an affirmative action program for women and to
employment equity.
Cordially,
Patrick L. Brockett
**************************************************************************
Actuarial Science Researchers Online International Directory Adminstrator
http://wnt.cc.utexas.edu/~bgbc771/Acs_Dir.cfm
Gus S. Wortham Memorial Chairholder in Risk Management and Insurance
Department of Management Science and Information Systems,
Director, Risk Management Program,
Professor of Finance, Mathematics and Management Science
**************************************************************************
---------- Forwarded message ----------
Date: Fri, 6 Jul 2001 12:56:47 +0200
From: DGF 2001 Conference <dgf.finance(a)univie.ac.at>
Subject: DGF 2001 Conference
Dear Colleague!
I would like to inform you that the preliminary program for this year's
annual meeting of the German Finanance Association is now available on
the Web at http://dgf.univie.ac.at/ . The conference will take place in
Vienna on October 5th and 6th and registration is open now.
I hope to see you at the conference,
Josef Zechner
--
Josef Zechner
Department of Business Studies
University of Vienna
Bruennerstrasse 72
A-1210 Vienna
Austria
Tel: +43-1-4277 38071
Fax: +43-1-4277 38074
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezueglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Einen schönen Sommer wünschen
Helmut Uhlir Stefan Pichler
-------- forwarded message ---------
Date: Wed, 4 Jul 2001 21:04:35 +0800
From: Chia-Hsuan Yeh <spock(a)MS17.URL.COM.TW>
Subject: Call for papers,
The Second International Workshop on Computational
Intelligence in Economics and Finance (CIEF'2002)
The Second International Workshop on Computational Intelligence in
Economics and Finance (CIEF'2002)
Research Triangle Park, North Carolina, U.S.A.
March 8-13, 2002
http://www.ee.duke.edu/JCIS/
Keynote Speech:
Agent-Based Computational Economics: The Computational Study of Evolving
Decentralized Economies
Leigh Tesfatsion
Department of Economics
Iowa State University
Ames, IA 50011-1070, U.S.A.
TBA
Jasmina Arifovic
Department of Economics
Simon Fraser University
Buranby, BC V5A 1S6, Canada
Call for Papers
The Second International Workshop on Computational Intelligence in
Economics and Finance (CIEF'2002) will be held as a part of the Sixth
Joint Conference on Information Science. Computational intelligence,
usually known as a collection of techniques, including artificial
neural networks, fuzzy logic, evolutionary algorithms, etc., is one
of the most important tools in computational economics and finance.
Over the last decade, computational intelligence has been widely used
in various economical and financial modelling, prediction, and analysis.
The most noticeable application of computational intelligence is in
financial data mining.
In addition to financial data mining, computational intelligence has
also been intensively used in the research area known as agent-based
computational economics where global regularities arise from the bottom
up, through repeated local interactions of autonomous agents.
Computational intelligence provides a tool to model these autonomous
agents and their interactions. Issues addressed include the replication
of laboratory results with human subjects, equilibrium selection, the
emergence of the representative agent, rational expectations, markets
and money, simulations of artificial stock markets and other social
processes.
We see now a need to bring together people with different backgrounds
who share the same interests in their closely related studies. This
conference serves this purpose.
Topics of Interest:
Application Areas: Application areas may include, but are not limited to:
Agent-Based Computational Economics
Artificial Stock Markets
Simulation of Social Processes
Evolutionary Game and Industrial Organization
Financial Engineering
Financial Data Mining
Trading Strategies
Hedging Strategies
Portfolio Management
Derivative Pricing
Term Structure Models
Financial Time Series Forecasting and Analysis
Techniques:
Artificial Neural Networks
Fuzzy Logic
Evolutionary Strategies
Evolutionary Programming
Genetic Algorithms
Genetic Programming
Statistical Classifiers
Cluster Analysis
Decision Trees
Inductive Logic Programming
Self-Organized Map
Reinforcement Learning
Wavelet
Rough Sets
Support Vector Machine
Hybrid Systems
Paper Submission
Papers describing new techniques and/or novel applications are solicited.
All papers should be no more than 4 pages of 10-point font, double column,
single-spaced text, with figures and tables included. Papers should
be sent to:
Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
chchen(a)nccu.edu.tw
While hard copies are acceptable, electronic submissions via PS or PDF
files are highly encouraged. Authors who use electronic submissions
should sent a separate email in plain text to indicate this.
All submissions must be received by the 30th of September, 20001.
Contributed papers will be reviewed by the program committee. The
authors will be informed about the decision of the review process by
the 5th of November 2001. All accepted papers will be published in
the conference proceedings.
Important Dates
September 30, 2001 - Deadline for submission of papers
November 5, 2001 - Paper acceptance letters to be sent out to authors
November 5, 2001 - Deadline for invited sessions and exhibition proposals
December 3, 2001 - Deadline for early registration with discounted fee
December 3, 2001 - Publication fee ($180) due for each paper (regular
and invited) to be included
in proceedings. This amount is included in full
registration fee.
December 3, 2001 - Deadline for submission of revised camera ready
copies of accepted papers
March 8-14, 2002 - JCIS 2002 Conference
General Chair:
Professor Paul P. Wang
Dept of Electrical & Computer Engineering
P.O. 90291
Duke University
Durham, NC 27708 - 0291
U.S.A
email: ppw(a)ee.duke.edu
Conference Chairs
Professor Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
R.O.C.
tel: +886-2-29387308
fax: +886-2-27386874
e-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
Professor Xin Yao
School of Computer Science
The University of Birmingham
Edgbaston, Birmingham B15 2TT
U.K.
tel: +44 121 414 3747
Fax: +44 121 414 4281
e-mail: x.yao(a)cs.bham.ac.uk
http://www.cs.bham.ac.uk/~xin
Program Chair
Assistant Prof. Chia-Hsuan Yeh
Department of Information Management
I-Shou University
Kaohsiung County, Taiwan 84008
R.O.C.
tel & fax: 886-7-3552758
e-mail: spockyeh(a)ms38.hinet.net
http://econo.nccu.edu.tw/~spock/
Program Committee
Peter Angeline (Natural Selection, Inc, USA)
Kohen Bertels (University of Namur, Beligum)
Shiddhartha Bhattacharyya (University of Illinois at Chicago, USA)
Jane Binner (Nottingham University, UK)
Lai-Wan Chan (The Chinese University of Hong Kong, HK)
Paul Darwen (University of Queensland, Australia)
Herbert Dawid (University of Vienna, Austria)
John Duffy (University of Pittsburgh, USA)
Hitoshi Iba (University of Tokyo, Japan)
Lakhmi Jain (University of South Australia, Australia)
Mahmoud Kaboudan (Penn State University, USA)
Taisei Kaizoji (International Christian University, Japan)
Kin Keung Lai (City University of Hong Kong, Hong Kong)
Ana Marostica (University of Buenos Aires, Argentina)
Michele Marchesi (University of Cagliari, Italy)
Robert Marks (Australian Graduate School of Management, Australian)
Zbigniew Michalewicz (University of North Carolina at Charlotte, USA)
Nikolay Nikolaev (University of London, UK)
Akira Namatame (National Defence Academy, Japan)
Pavel Osmera (Technical University Brno, Czech Republic)
Thomas Riechmann (University of Hannover, Germany)
Hiroshi Sato (National Defence Academy, Japan)
Stephen Smith (Algometrics, UK)
KY Szeto (HK University of Science and Technology, Hong Kong)
Leigh Tesfatsion (Iowa State University, USA)
Nicholas Vriend (University of London, UK)
Lei Xu (Chinese University of Hong Kong, Hong Kong)
Byoung-Tak Zhang (Seoul National University, South Korea)
Zijian Zheng (Deakin University, Australia)
Gilles Zumbach (Olsen & Associates, Switzerland)
FYI, a call for papers for the "International Journal of Intelligent
Systems in Accounting Finance & Management". -- VFN-L administrator
---------- Forwarded message ----------
Date: Wed, 04 Jul 2001 15:57:44 +0200
From: Christian Haefke <christian.haefke(a)econ.upf.es>
Subject: Special issue on Computational Finance
Call For Papers
Special Issue on Computational Finance
Guest Editor: Christian Haefke
Papers are sought that address the use and application of computing and
algorithms for solving finance problems.
Papers on statistics and econometrics that potentially can be used in
finance and involve computer-intensive methods are equally welcome.
Topics of the special issue include, but are not limited to:
Option Pricing
Risk
Volatility
Tactical Asset Allocation
Interest Rate Modelling
Exchange Rate Modelling
Resampling Methods
Nonparametric Methods
Density Estimation
Extreme Value Statistics
Important Dates
===============
Deadline of submissions: 01 December 2001
Submission of Papers
====================
All papers submitted must contain original unpublished work that is
not being submitted for publication elsewhere. Instructions to authors
and information about the International Journal of Intelligent Systems
in Accounting Finance and Management can be found at
http://www.interscience.wiley.com/jpages/1055-615X/
Electronic submission is encouraged. Please e-mail a postscript or PDF
file of your manuscript together with a plain text cover letter to
mailto:christian.haefke@econ.upf.es
Authors unable to submit electronically may send four copies of their
manuscript to the guest editor.
Further information can be obtained by contacting the special issue
editor at the following address:
Christian Haefke
Department of Economics and Business
Universitat Pompeu Fabra
Ramon Trias Fargas 25-27
E-08005 Barcelona, Spain
http://www.econ.upf.es/~chaefke
---------- Forwarded message ----------
Date: Fri, 29 Jun 2001 11:29:34 -0500
From: Bachelier Congress 2002 <bfs2002(a)mail.ma.utexas.edu>
Subject: BACHELIER CONGRESS - CALL FOR PAPERS
B A C H E L I E R F I N A N C E S O C I E T Y
2 N D W O R L D C O N G R E S S
CRETE, GREECE : JUNE 12-15, 2002
-----------------------------
C A L L F O R P A P E R S
The Bachelier Finance Society was founded in 1996 by a group of
researchers in Mathematical Finance to serve as a platform where
academics and practitioners can meet and exchange ideas spanning across
Mathematics, Finance, Economics, Econometrics and Insurance. To achieve
this goal, the BFS organizes every two years an International Congress.
The scientific program of the 2002 BFS Congress consists of plenary
talks and contributed papers. The invited plenary talks will give an
overview of the latest important developments in the field. They will
also present new ideas, directions and methodologies from Finance,
Economics, Econometrics and Mathematics and, discuss pressing problems
in the Finance and Insurance industries. The contributed papers will
complement the plenary talks with recent results and advances.
The overall scope is to create a unique interdisciplinary forum for
discussion of new concepts, incite stronger interaction across the
fields, and, at the same time, define new directions for the future
development of Mathematical Finance.
P L E N A R Y S P E A K E R S
Y. Ait-Sahalia (Princeton), K.J. Arrow* (Stanford), N. El Karoui
(Ecole Polytechnique), V. Kaminski (Enron), I. Karatzas (Columbia),
P.-L. Lions (Paris IX), M. Musiela (BNP Paribas), M. O' Hara (Cornell),
K. Singleton (Stanford), W. Zame (UCLA) (* not yet confirmed)
S C I E N T I F I C C O M M I T T E E
G. Constantinides (Chicago), M.H.A. Davis (Imperial College),
F. Delbaen (ETH), D. Duffie (Stanford), H. Foellmer (Humboldt),
M. Jeanblanc (Evry), E. Platen (UTS), T. Zariphopoulou (UT-Austin)
SUBMISSIONS: Participants are encouraged to submit a research paper.
Submissions can be either a completed paper or an extended summary (two
to four pages long).
The deadline for submissions is November 30, 2001. Instructions
regarding submissions will be posted on the web site of the Congress.
LOCATION: Crete, the largest greek island, offers a unique combination
of natural beauty, historical sites and vibrant life. A land with a
distinct character is one of the most magnificent places in Greece.
The Congress will take place at the Capsis Beach Hotel and Sofitel Capsis
Palace Conference Center (www.capsis.gr) on the peninsula of Agia
Pelagia, a picturesque site on the northern shore of Crete near
Heraklion. A block of rooms at special rates will be available for
the conference participants. Information regarding registration, hotel
reservations, transfers as well as the planned cultural and social events
will be posted in the upcoming months.
FINANCIAL SUPPORT: Depending on the availability of funds, limited
financial support will be provided to students and young researchers. The
application material will be posted on the web site of the Congress.
WEB SITE: http://www.ma.utexas.edu/Bachelier2002
Sehr geehrte Damen und Herren,
Das Seminar "Finanzmathematik" hat vorige Woche seinen Abschluss
gefunden: Wir moechten uns nochmals bei allen Vortragenden sehr
herzlich bedanken fuer Ihr Engagement und Ihre Bereitschaft, einen
Einblick in die "finanzmathematischen Praxis" zu geben; danke auch
an die vielen Zuhoerer fuer Ihr Interesse an unseren Veranstaltungen.
Die Vortragsunterlagen, soweit vorhanden, finden Sie unter
http://www.mat.univie.ac.at/~mfulmek/sess01.html
Wir wuenschen Ihnen einen schoenen und erholsamen Sommer,
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Dr. Peter Schaller (Bank Austria) einen Vortrag zum Thema
"Jenseits der gemeinsamen Normalverteilung:
Zeitreihen von Veraenderungen von Geld- und
Kapitalmarktzinsen"
Zeit: Mittwoch, 20. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
___ ___ _______ _______ _____
| | || ___|| | | ______ | |_
| | || ___|| ||______|| |
\_____/ |___| |__|____| |_______|
Vienna Finance Newsletter <vfn-l(a)fam.tuwien.ac.at>
On June 19, 2001, The Vienna Finance Newsletter is celebrating 6 years
of being and serving and mailing. Read more about the grounding of its
birthday in the posting 'Vienna Finance Newsletter hat Geburtstag' (in
German only, sorry) at
http://www.fam.tuwien.ac.at/pipermail/vfn-l/2000q2/000707.html
We are pleased to announce the following 'birthday lecture':
Martin T. Barlow (University of British Columbia)
A diffusion model for electricity spot prices
Tue, June 19, 2001, 16:30-18:00
University of Technology, Wiedner Hauptstr. 8-10/107
Freihaus, green tower, 6th floor, Seminarraum 107
Abstract:
Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'. We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.
Martin T. Barlow (University of British Columbia)
http://www.math.ubc.ca/people/faculty/barlow/barlow.html
Your VFN-L administrator will be there, too, hopefully with coffee,
some birthday cookies and spikeless electricity.
Yours administratively,
-- Andreas Schamanek
vfn-l administrator
---------------------------------------------------------------------
ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Liebe Kolleginnen, liebe Kollegen,
ich darf Sie auf die folgende Ausschreibung am Institut für Finanzierung
und Finanzmärkte, Ordinariat für Betriebliche Finanzierung, aufmerksam
machen.
Mit besten Grüßen
Stefan Bogner
XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
A U S S C H R E I B U N G
Am INSTITUT für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Ordinariat für Betriebliche Finanzierung (Prof. Bogner), ist ab 1.
September 2001 1 Universitätsassistent/innen/enposten zu besetzen.
Aufgabengebiet:
Mitarbeit im organisatorisch-administrativen Bereich, Entwicklung und
Abhaltung von Lehrveranstaltungen und Mitarbeit an Forschungsprojekten.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse:
- Studienrichtung Betriebswirtschaftslehre/Handelswissenschaften mit
spezieller Fachrichtung 'Finanzierung'
- Vertiefende Kenntnisse auf dem Gebiet der betrieblichen Finanzierung und
der EDV-Anwendung
Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg
(ohne Originalzeugnisse) sind an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2 - 6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 27. Juni 2001
Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des Frauenanteils am
wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdrücklich
Frauen aufgefordert, sich zu bewerben.
Alle Bewerberinnen, welche die gesetzlichen Aufnahme- und
Ernennungserfordernisse sowie die im Ausschreibungstext zusätzlich
gewünschten Kriterien erfüllen, werden zu einem Aufnahmegespräch eingeladen.
An der Wirtschaftsuniversität Wien ist ein Arbeitskreis für
Gleichbehandlungsfragen eingerichtet. Auskunft über Funktion und Mitglieder
des Arbeitskreises für Gleichbehandlungsfragen gibt die Personalabteilung.
Es wird darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt
aufgenommen werden.
Die Bewerber und Bewerberinnen haben keinen Anspruch auf Abgeltung
aufgelaufener Reise- und Aufenthaltskosten, die aus Anlass des
Aufnahmeverfahrens entstanden sind.
XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
--
------------------------------------------------------
Stefan Bogner
Ordinarius für betriebliche Finanzierung
am Institut für Finanzierung und Finanzmärkte
an der Wirtschaftsuniversität Wien
A-1090 Wien, Austria
Tel: 01/31336/4242 Fax: 01/31336/736
e-mail: Stefan.Bogner(a)wu-wien.ac.at
------------------------------------------------------
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Mag. Georg Wachberger (ERSTE Bank) einen Vortrag zum Thema
"Einsatz quantitativer Methoden im Aktienhandel -
statistical equity arbitrage"
Zeit: Mittwoch, 13. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Prof.Dr. Alois Geyer (WU Wien) einen Vortrag zum Thema
"Methoden der univariaten Zeitreihenanalyse (ARIMA-Modelle)
und multivariaten Zeitreihenanalyse
(Vector-AR, Cointegration)."
Zeit: Mittwoch, 6. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract:
In diesem Vortrag werden einige Methoden der univariaten Zeitreihenanalyse
(ARIMA-Modelle) und multivariaten Zeitreihenanalyse (Vector-AR,
Cointegration) vorgestellt. Anhand praktischer Beispiele werden die
Grundidee der Methoden und die Vorgangsweise bei der Modellierung
demonstriert.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" halten Herr
Dr. Andreas Weingessel (ERSTE Bank) und Herr Markus Rossmiller (ERSTE
Bank)
einen Vortrag zum Thema
"Messung operationaler Risiken in der Erste Bank"
Zeit: Mittwoch, 30. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract:
Waehrend bereits seit einiger Zeit in Banken Markt- und Kreditrisiken
mittels statistischer Methoden (z.B.: Value-at-Risk) gemessen und
gesteuert werden, steckt die Betrachtung operationaler Risiken noch in den
Kinderschuhen. Grosze Finanzskandale der letzten Zeit (z.B.: Barings,
Orange County, Bank Burgenland) zeigen die inhaerente Gefahr, die von
diesen Risiken ausgeht. Im neuen Basler Konsultationspapier werden
operationale Risiken zudem erstmals explizit erwaehnt und
unterlegungspflichtig.
Als eine der ersten europaeischen Banken hat die Erste Bank vor ca. einem
Jahr ein Projekt zur Messung operationaler Risiken initiiert. In unserem
Vortrag geben wir einen kurzen Ueberblick ueber Probleme und
Loesungsansaetze in diesem aufstrebenden Gebiet des Risikomanagements.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Dear colleagues,
On Monday, May 28, 2000, 16.00-17.30, SZ VI, IHS, Stumpergasse 56, 1060
there will be a talk by
Dominique Y. Dupont
at EURANDOM and
Board of Governors, Washington
on
"Hedging Barrier Options: Current Methods and Alternatives"
Abstract
This paper applies to the static hedge of barrier options a technique,
mean-square hedging, designed to minimize the size of the hedging error
when perfect replication is not possible. It introduces an extension of
this technique which preserves the computational efficiency of mean-
square hedging while being consistent with any prior pricing model
or with any linear constraint on the hedging residual. This improves
on current static hedging methods, which aim at exactly replicating
barrier options and rely on strong assumptions on the availability of
traded options with certain strikes or maturities, or on the distribution
of the underlying asset.
JEL Classification: G12, G13, C63.
Key words: Barrier Options, Static Hedging, Mean-Square Hedging
best
gabe
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
Workshop on Financial Time Series, Levy Processes, Stochastic
Volatility, and Applications of Shot Noise Processes
May 22-23, 2001
Vienna University of Technology
An updated program with location information
is now available under:
http://www.fam.tuwien.ac.at/g2g/
Friedrich Hubalek
Department of Financial and Actuarial Mathematics
Vienna University of Technology
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" halten Frau
DI Gabriela de Raaij (OeNB) und Herr Dr. Burkhard Raunig (OeNB)
einen Vortrag zum Thema
"Evaluation Density Forecasts of Stock Market Returns"
(Der Vortrag ist auf deutsch, trotz des englischen Titels.)
Zeit: Mittwoch, 23. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract der zugrundeliegenden Arbeit:
The paper deals with the evaluation of density forecasts which have become
quite popular in economics and finance. We use two probability integral
transformations to evaluate such forecasts. The first transformation
implies
that the realizations transformed with respect to the forecasted densities
of a stochastic process should be identically uniformly distributed if the
density forecasts coincide with the densities underlying the true data
generating process. The second transformation generates data that are
identically normally distributed if the correct densities are forecasted.
The second transformation enables us to apply standard statistical
techniques
to test for identically normally distributed data and hence for the
quality
of density forecasts.
We use the methodology to evaluate density forecasts for daily returns of
three stock market indices (S&P 500, DAX and ATX). Various models to
forecast
conditional densities are investigated. We consider the conditional normal
distribution where the variances are estimated by moving averages or
exponentially weighted moving averages, scaled t distributions and
GARCH(1,1)
variants with normally and t-distributed errors, respectively. In- and
out-of-sample results for the density forecasting models are examined.
Using
the proposed methodology we find that GARCH models with t-distributed
errors
perform best in sample as well as out of sample. We are also able to
demonstrate that certain misspecifications of a forecasting model are
quite
naturally reflected in the transformed series used for density forecast
evaluation.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at