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[VFN] Reminder - Investment Talk March 19 - Prof. Elroy Dimson
by si-researchcenter 04 Mar '14

04 Mar '14

INVITATION (apologies for duplicated mails!) We are pleased to invite you to our next Investment Talk, organized by the Spängler IQAM Research Center. The Center is a joint initiative of TU Vienna (Vienna University of Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM Invest and provides a platform for exchange in the field of asset management between academics, practitioners and the public. Both the topic and the speaker for our next event are particularly interesting. We will be discussing the risk and return characteristics of five long-established Bordeaux wines, with price histories that go back more than 100 years. Our speaker is Professor Elroy Dimson, who is well-known for his important contributions in the field of asset management, such as his work on estimating betas or his work on risk premia in the stock markets. INVESTMENT TALK Date: Wednesday, March 19, 2014 - 4 pm Speaker: PROF. ELROY DIMSON Topic: "THE PRICE OF WINE" ABSTRACT: We examine the impact of aging on wine prices and the performance of wine as a long-term investment using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest appreciation rates for young high-quality wines that are still maturing. Our results also suggest that owners of famous wines receive non-pecuniary benefits-especially for old bottles-even though this "psychic" dividend is probably small relative to financial returns. Using an arithmetic repeat-sales regression, we estimate an annualized real financial return to wine investments (net of insurance and storage costs) of 4.1% between 1900 and 2012. Wine returns are lower than equity returns but positively correlated with them, yet wine does outperform government bonds, art, and stamps. We note that the historical returns on wine documented here may have exceeded ex ante expectations. ABOUT ELROY DIMSON: Elroy Dimson co-directs the Centre for Endowment Asset Management at Cambridge Judge Business School, chairs the Strategy Council for the Norwegian Government Pension Fund, chairs the Policy Committee for FTSE Group, and is Emeritus Professor of Finance at London Business School. His publications include Triumph of the Optimists, Endowment Asset Management, and the Global Investment Returns Yearbook. He has been an Associate Editor of Journal of Finance, Review of Finance and other journals. A co-designer of the FTSE 100 index, Elroy chairs FTSE's advisory board and serves on the Financial Analysts Journal board. He is on the investment committees of Guy's & St Thomas' Charity and the Foundation for Social Entrepreneurs. He is past president of the European Finance Association, and Honorary Fellow of the CFA Society of the UK (FSIP) and of the Institute of Actuaries. He recently received the CFA Institute's James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs Levy award. REGISTRATION IS REQUIRED. We kindly ask to register before March 10th at office(a)si-researchcenter.at LOCATION: WU, Building LC (Library & Learning Center), Festsaal 1 (http://gis.wu.ac.at/index.html?roomShow=LC.0.100) Welthandelsplatz 1, 1020 Vienna Contact and further information: WU, Institute for Finance, Banking and Insurance att. Martina Schlichting Welthandelsplatz 1, Building D4, 4th Floor 1020 Vienna Phone: +43 1 31336 6315 Mail: office(a)si-researchcenter.at, Web: www.si-researchcenter.at

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[VFN] INVITATION - 7th Financial Risks International Forum 2014 - Paris, March 20 & 21, 2014
by Institut Louis Bachelier 17 Feb '14

17 Feb '14

INVITATION 7th Financial Risks International Forum BIG DATA IN FINANCE AND INSURANCE Paris, March 20 & 21 2014 The Louis Bachelier "Finance and Sustainable Growth" Laboratory is pleased to invite you to the 7th Financial Risks International Forum. In the current context, this year's forum will focus on "BIG DATA IN FINANCE AND INSURANCE". Papers will address topics such as: - Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear Principal Component Analysis, Construction of Indexes from Large Data Sets; - Behavioral Scores, Real Time Updating of Scores and Rankings - Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and Fund Managers Behavior, of Risk Appetite Indicators Given on Google; - Analysis of Markets with Highly Differentiated Products: Pricing the Quality Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods - Contagion and Systemic Risk, Regulation in a Large Dataset Environment, Non Regulated Web Currencies - Effect of Big Data on the Organization of the Markets (Web Market Monitoring), on the Role of Intermediaries, on the Product Design - High Frequency Data, Market Microstructure. The aim of this event is to showcase the very best of international research, selected by our international scientific committee, chaired by Marie BRIERE - Amundi, Paris-Dauphine University and Université Libre de Bruxelles -. Panel sessions will be led by industry professionals, with workshops that encourage dialog among researchers and working financial professionals. The scientific committee's rigorous requirements, combined with the outstanding quality of the papers, ensure an event meets the highest level of international standards. Our guest speakers for this edition are: - Liran EINAV, Stanford University - Joseph Joey ENGELBERG, University of California, San Diego - Roberto RIGOBON, MIT Sloan School of Management The forum will take place on March, Thursday 20th and Friday 21rst, 2014 at the Paris Ile-de-France Regional Chamber of Commerce and Industry / Chambre de Commerce et d'Industrie de Région Paris-Ile-de-France. CCIP, 27 avenue de Friedland, 75008 Paris. Click here for the most recent agenda: http://risk2014.institutlouisbachelier.org If you would like to join us for interactive debates, please kindly register online: http://www.financialrisksforum.com/cgi-bin/risk2014/risk-inscrire?e=2014

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[VFN] Job Offer WU - Universitätsassistent/in prae doc
by Fuchs, Daniela 13 Feb '14

13 Feb '14

Im INSTITUTE FOR FINANCE, BANKING AND INSURANCE ist voraussichtlich ab 1. April 2014 bis 31. März 2020 eine Stelle für einen Universitätsassistenten/eine Universitätsassistentin prae doc (Teaching and Research Associate) (Angestellte/r gemäß Kollektivvertrag für die Arbeitnehmer/innen der Universitäten, monatliches Mindestentgelt: 1.961,85 € brutto, Anrechnung von tätigkeitsbezogenen Vordienstzeiten möglich) Beschäftigungsausmaß: 75% (30 Std./Woche) zu besetzen. AUFGABENGEBIET: Unterstützung und Mitarbeit in der Lehre und Forschung im Bereich Finance, Risk Management oder Insurance NOTWENDIGE KENNTNISSE UND QUALIFIKATIONEN: Wirtschaftswissenschaftliches Studium mit Schwerpunkt in Finanzwirtschaft bzw. einer benachbarten Wissenschaftsdisziplin oder Abschluss des Studienzweiges Wirtschaftsmathematik, Statistik oder Physik; Voraussetzungen für die Aufnahme bzw. Absolvierung eines wirtschaftswissenschaftlichen Doktoratsstudiums (prae doc) ERWÜNSCHTE KENNTNISSE UND QUALIFIKATIONEN: Starkes Interesse am wissenschaftlichen Arbeiten mit Anwendungen in Corporate Finance, Corporate Risk Management, Insurance oder Fair Value Accounting und Kapitalmarktregulierung mit dem Ziel der Promotion; sehr gute Kenntnisse im Bereich quantitativer und analytischer Methoden in den Wirtschaftswissenschaften; sehr gute Englischkenntnisse, Teamfähigkeit und Selbständigkeit Kennzahl: 2005 Ende der Bewerbungsfrist: 12. März 2014 http://www.wu.ac.at/jobs Daniela Fuchs _______________________________________________________ Office FAS (D4) Department of Finance, Accounting and Statistics WU Wirtschaftsuniversität Wien Vienna University of Economics and Business Welthandelsplatz 1, Building D4, Entrance A, 4th floor, 1020 Vienna, Austria [T] +43 1 31336/4691 [F] +43 1 31336/904691 [E] daniela.fuchs(a)wu.ac.at<mailto:daniela.fuchs@wu.ac.at> www.wu.ac.at/finance<http://www.wu.ac.at/finance>

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[VFN] INVITATION - 7th Financial Risks International Forum 2014 - Paris, March 20 & 21, 2014
by Institut Louis Bachelier 29 Jan '14

29 Jan '14

To: vfn-l(a)fam.tuwien.ac.at INVITATION 7th Financial Risks International Forum BIG DATA IN FINANCE AND INSURANCE Paris, March 20 & 21 2014 The Louis Bachelier "Finance and Sustainable Growth" Laboratory is pleased to invite you to the 7th Financial Risks International Forum. In the current context, this year's forum will focus on "BIG DATA IN FINANCE AND INSURANCE". Papers will address topics such as: - Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear Principal Component Analysis, Construction of Indexes from Large Data Sets; - Behavioral Scores, Real Time Updating of Scores and Rankings - Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and Fund Managers Behavior, of Risk Appetite Indicators Given on Google; - Analysis of Markets with Highly Differentiated Products: Pricing the Quality Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods - Contagion and Systemic Risk, Regulation in a Large Dataset Environment, Non Regulated Web Currencies - Effect of Big Data on the Organization of the Markets (Web Market Monitoring), on the Role of Intermediaries, on the Product Design - High Frequency Data, Market Microstructure. The aim of this event is to showcase the very best of international research, selected by our international scientific committee, chaired by Marie BRIERE - Amundi, Paris-Dauphine University and Université Libre de Bruxelles -. Panel sessions will be led by industry professionals, with workshops that encourage dialog among researchers and working financial professionals. The scientific committee's rigorous requirements, combined with the outstanding quality of the papers, ensure an event meets the highest level of international standards. Our guest speakers for this edition are: - Liran EINAV, Stanford University - Joseph Joey ENGELBERG, University of California, San Diego - Roberto RIGOBON, MIT Sloan School of Management The forum will take place on March, Thursday 20th and Friday 21rst, 2014 at the Paris Ile-de-France Regional Chamber of Commerce and Industry / Chambre de Commerce et d'Industrie de Région Paris-Ile-de-France. CCIP, 27 avenue de Friedland, 75008 Paris. If you would like to join us for interactive debates, please kindly register online: http://www.financialrisksforum.com/cgi-bin/viewlink?k=67685055&r=163199678

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[VFN] INVITATION: Investement Talk with Elroy Dimson, March 19
by Schlichting, Martina 21 Jan '14

21 Jan '14

INVITATION We are pleased to invite you to our next Investment Talk, organized by the Spängler IQAM Research Center. The Center is a joint initiative of TU Vienna (Vienna University of Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM Invest and provides a platform for exchange in the field of asset management between academics, practitioners and the public. Both the topic and the speaker for our next event are particularly interesting. We will be discussing the risk and return characteristics of five long-established Bordeaux wines, with price histories that go back more than 100 years. Our speaker is Professor Elroy Dimson, who is well-known for his important contributions in the field of asset management, such as his work on estimating betas or his work on risk premia in the stock markets. INVESTMENT TALK Date: Wednesday, March 19, 2014 - 4 pm Speaker: Prof. Elroy Dimson Topic: "THE PRICE OF WINE" ABSTRACT: We examine the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing the vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest rates of appreciation for young high-quality wines that are still maturing. The findings suggest that the non-financial "psychic return" to holding wines that are substantially beyond maturity is at least 1%. Using an arithmetic repeat-sales regression, we estimate an annualized return to wine investments (net of insurance and storage costs) of 4.1%, in real GBP terms, between 1900 and 2012. Wine underperforms equities over this period, but outperforms government bonds, art, and stamps. Wine and equity returns are positively correlated. Registration is required. ABOUT ELROY DIMSON: Elroy Dimson co-directs the Centre for Endowment Asset Management at Cambridge Judge Business School, chairs the Strategy Council for the Norwegian Government Pension Fund, chairs the Policy Committee for FTSE Group, and is Emeritus Professor of Finance at London Business School. His publications include Triumph of the Optimists, Endowment Asset Management, and the Global Investment Returns Yearbook. He has been an Associate Editor of Journal of Finance, Review of Finance and other journals. A co-designer of the FTSE 100 index, Elroy chairs FTSE's advisory board and serves on the Financial Analysts Journal board. He is on the investment committees of Guy's & St Thomas' Charity and the Foundation for Social Entrepreneurs. He is past president of the European Finance Association, and Honorary Fellow of the CFA Society of the UK (FSIP) and of the Institute of Actuaries. He recently received the CFA Institute's James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs Levy award. REGISTRATION IS REQUIRED. We kindly ask to register before March 10th at office(a)si-researchcenter.at LOCATION: WU, Building LC (Library & Learning Center), Festsaal 1 (http://gis.wu.ac.at/index.html?roomShow=LC.0.100) Welthandelsplatz 1, 1020 Vienna Contact and further information: WU, Institute for Finance, Banking and Insurance att. Martina Schlichting Welthandelsplatz 1, Building D4, 4th Floor 1020 Vienna Phone: +43 1 31336 6315 Mail: office(a)si-researchcenter.at, Web: www.si-researchcenter.at

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[VFN] INVITATION Jan 21: WU Gutmann Center Public Lecture Stephen Satchell: "Psychic Returns to Cultural Investments"
by Alois Geyer 08 Jan '14

08 Jan '14

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE (apologies for duplicated mails!) ************************************************************************* Date: JANUARY 21 (Tuesday), 2014, 4:00 pm Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien Speaker: Prof. Stephen Satchell, University of Sydney and University of Cambridge http://sydney.edu.au/business/staff/stephens Title: "Psychic Returns to Cultural Investments" ABSTRACT: This paper presents procedures for evaluating psychic returns to cultural assets. Measuring the psychic return of art investments is an important issue in cultural economics. We focus on the psychic returns of art relative to equity using British data from 1895 to 2011. However, our arguments are entirely general. We take into account the substantial costs involved in art investment and also discuss the existing estimates of the psychic returns to art in the literature which are typically between 10 to 30 percent. Applying utility based models and equilibrium based models, we construct new estimates of psychic returns based on plausible portfolio weights and also trace the linkages of psychic returns of art to other markets by an examination of trade flows. About Stephen Satchell: Stephen Satchell is working on a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory. He has an interest in both theoretical and empirical problems. Many of his research problems are motivated by practical investment issues. His current research looks at alternative methods of portfolio construction and risk management, as well as on non-linear dynamic models. He is also active in researching the UK mortgage and housing markets. Stephen Satchell is the editor of the Journal of Asset Management, and he has published extensively in various top-journals. He has strong links with Inquire (Institute for Quantitative Investment Research), an organization that finances academic research on quantitative investment. He is also on the management committee of LQG (London Quant Group). Stephen Satchell is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-5238 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics Sabina Krickl www.gutmann-center.at

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[VFN] CALL FOR PAPERS - 7th Financial Risks International Forum (2014 session) - Deadline: December 6, 2013 (fwd)
by VFN-L admin * Andreas Schamanek 28 Nov '13

28 Nov '13

---------- Forwarded message ---------- Date: Thu, 28 Nov 2013 00:13:56 +0100 (CET) From: Institut Louis Bachelier <risk(a)institutlouisbachelier.org> To: "vfn-l(a)fam.tuwien.ac.at" <vfn-l(a)fam.tuwien.ac.at> Subject: CALL FOR PAPERS - 7th Financial Risks International Forum (2014 session) - Deadline: December 6, 2013 To vfn-l(a)fam.tuwien.ac.at CALL FOR PAPERS 7th Financial Risks International Forum ----------------------------------------- BIG DATA IN FINANCE AND INSURANCE Paris, March 20 & 21, 2014 The Financial Risks International Forum on "Big Data in Finance and Insurance" is an International Research Forum for academics and professionals organized by The Louis Bachelier "Finance and Sustainable Growth" Laboratory. We invite academics, professionals and regulators to submit papers for this meeting which will take place in Paris on March 20 & 21, 2014. The aim of this conference is to highlight the methodological, organizational and regulatory challenges posed by the availability of large data sets in Finance. The sets of available data increased for different reasons such as the possibility to collect data on individual contracts, to enlarge the set of observed individual variables, to consider differentiated financial products or to increase the observation frequency. A non limitative list of topics of interest is given below: - Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear Principal Component Analysis, Construction of Indexes from Large Data Sets; - Social Networks, Behavioral Scores, Real Time Updating of Scores and Rankings (Driving Behavior Monitoring from Onboard Sensor's Data, Academic Research Ranking, etc.); - Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and Fund Managers Behavior, of Risk Appetite Indicators Given on Google; - Contagion and Systemic Risk: How to Structure Large Networks?; - Regulation in a Large Dataset Environment: Quick Detection of Anomalies, Control of the Available Information, Technological Risks, Non Regulated Web Currencies; - Microprudential Foundations of Macroprudential Regulation; - Analysis of Markets with Highly Differentiated Products: Pricing the Quality Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods (Real Estate Markets, Art Markets, Commodity Markets, etc.); - Effect of Big Data on the Organization of the Markets (Web Market Monitoring), on the Role of Intermediaries (Crowdfunding), on the Product Design (Effect of an On-Board GPS on the Design and Market of Car Insurance Contracts, etc.); - High Frequency Data (Asymmetric Information vs Asymmetric Treatment of Information), Market Microstructure; - IO Implications of Big Data (Economic Challenges posed by Big Data Access). PAPER SUBMISSION: A complete paper in PDF format must be submitted electronically by December 6, 2013 using the submission form. Click below to submit your paper: http://www.financialrisksforum.com/risk2014/submit_work.phtml The results of the selection procedure will be set by mid-January 2014. For any inquiry: risk(a)institutlouisbachelier.org EXPENSES: The Institut Louis Bachelier may cover part of travel and accommodation expenses for the authors of selected papers (upon request and only for speakers).

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[VFN] AWG 2013 - Program and invitation for participation
by Wolfgang Aussenegg 04 Nov '13

04 Nov '13

Please ignore the first AWG announcement, as the links do not work properly. Sorry for any inconvenience! Program and invitation for participation 28th Workshop of the Austrian Working Group on Banking and Finance 22 and 23 November 2013 Vienna University of Technology We kindly invite all researchers and practitioners interested in the field of Banking and Finance to participate in the 28th Workshop of the Austrian Working Group on Banking and Finance (AWG). The program can be downloaded from our web site: http://www.imw.tuwien.ac.at/fc/awg_2013/ Registration Participation is free. Participants (depart from presenters and a few people that already indicated their participation) are kindly asked to register via e-mail to Wolfgang Aussenegg until Tuesday, 19.11.2013: waussen(a)pop.tuwien.ac.at Conference Dinner The conference dinner (sponsored by BWG) takes place at the restaurant “Gußhaus” (Gußhausstraße 23, 1040 Vienna), starting at 19:30 on Friday, 22.11.2013. We also kindly ask all participants (including presenters) intending to join us for the conference dinner to register via Doodle until 19.11.2013. Link to the online survey: http://doodle.com/5byyzabxs5hrud3e -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Managementwissenschaften Bereich Finanzwirtschaft und Controlling Technische Universität Wien (DVR-Nummer 0005886) Phone: +43-1-58801 - 33082 Fax: +43-1-58801 - 33098 E-mail: waussen(a)pop.tuwien.ac.at Web: http://www.imw.tuwien.ac.at/fc/ Adresse: Theresianumgasse 27 A-1040 Wien Österreich

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[VFN] AWG 2013 - Program and invitation for participation
by Wolfgang Aussenegg 04 Nov '13

04 Nov '13

*Program and invitation for participation* *28^th Workshop of the* *Austrian Working Group on Banking and Finance* *22 and 23 November 2013* *Vienna University of Technology* *http://www.imw.tuwien.ac.at/fc/awg_2013/* ** We kindly invite all researchers and practitioners interested in the field of Banking and Finance to participate in the 28th Workshop of the Austrian Working Group on Banking and Finance (AWG). The program can be downloaded from our web site: (*http://www.imw.tuwien.ac.at/fc/awg_2013/*)*.* *Registration* Participation is free. Participants (depart from presenters and a few people that already indicated their participation) are kindly asked to *register via e-mail* to Wolfgang Aussenegg (*waussen(a)pop.tuwien.ac.at* <mailto:waussen@pop.tuwien.ac.at>) until Tuesday, 19.11.2013. *Conference Dinner* The conference dinner (sponsored by BWG) takes place at the restaurant "Gußhaus" (Gußhausstraße 23, 1040 Vienna), starting at 19:30 on Friday, 22.11.2013. We also kindly ask all participants (including presenters) intending to join us for the conference dinner to *register via Doodle* until 19.11.2013 (link to the online survey: *http://doodle.com/5byyzabxs5hrud3e*). -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Managementwissenschaften Bereich Finanzwirtschaft und Controlling Technische Universität Wien (DVR-Nummer 0005886) Phone: +43-1-58801 - 33082 Fax: +43-1-58801 - 33098 E-mail: waussen(a)pop.tuwien.ac.at Web: http://www.imw.tuwien.ac.at/fc/ Adresse: Theresianumgasse 27 A-1040 Wien Österreich

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[VFN] INVITATION Oct 29: WU Gutmann Center Public Lecture Suleyman Basak LBS: "The Financialization of Commodities"
by Alois Geyer 22 Oct '13

22 Oct '13

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE (apologies for duplicated mails!) ************************************************************************* Date: OCTOBER 29 (Tuesday), 2013, 4:00 pm Location: NOTE! Other than stated in an earlier invitation the public lecture takes place at Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien Speaker: Prof. Suleyman Basak, London Business School and CEPR http://faculty.london.edu/sbasak/ Title: "The Financialization of Commodities " ABSTRACT: A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets. Such financialization of commodities coincided with significant booms and busts in commodity markets, raising concerns of policymakers. In this talk, I explore the effects of financialization in a model that features institutional investors alongside traditional futures markets participants. The institutional investors care about their performance relative to a commodity index. We find that if a commodity futures is included in the index, supply and demand shocks specific to that commodity spill over to all other commodity futures markets. In contrast, supply and demand shocks to a nonindex commodity affect just that commodity market alone. Moreover, prices and volatilities of all commodity futures go up, but more so for the index futures than for nonindex ones. Furthermore, financialization - the presence of institutional investors - leads to an increase in correlations amongst commodity futures as well as in equity-commodity correlations. Consistent with empirical evidence, the increases in the correlations between index commodities exceed those for nonindex ones. We perform a simple calibration and find that financialization accounts for 11% to 17% of commodity futures prices and the rest is attributable to fundamentals. About Suleyman Basak: Dr. Basak is Professor of Finance at London Business School and a Research Fellow to the Center of Economic Policy Research. He was an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania, was a visitor at the Graduate School of Business at the University of Chicago, and acted as a consultant to Goldman, Sachs & Co. He received his Ph.D. in Financial Economics from Carnegie Mellon University. Dr. Basak´s research focuses on asset pricing, asset allocation, risk management, market imperfections, international finance and financial innovation. His work has addressed issues related to portfolio insurance, VaR-based risk management, benchmarking, credit risk, tax arbitrage, incentive problems plaguing institutional asset management, and mispricing, arbitrageurs and monopoly power in financial markets. His research is the recipient of several awards including the American Association of Individual Investors Award for the Best Paper on Investments, and the Alexander Henderson Award for Excellence in Economic Theory. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-5238 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics Sabina Krickl www.gutmann-center.at

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[VFN] INVITATION Investment Seminar - November 26, 2013
by si-researchcenter 22 Oct '13

22 Oct '13

INVITATION We are pleased to invite you to this year's Investment Seminar (formerly Vienna Seminar on Asset Management), organized by the Spängler IQAM Research Center. The Center is a joint initiative of TU Vienna (Vienna University of Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM Invest and combines the strengths of two leading Universities in Austria. It aims to be a platform for exchange in the field of asset management between academics, practitioners and the public. This is achieved by supporting the generation and implementation of knowledge and experience in the process of value creation for investors. INVESTMENT SEMINAR "Asset Management in Europe: Adapting to Institutional Change" Tuesday, November 26, 2013 3:15-3:30 pm WELCOME 3:30-5:00 pm SESSION 1: "Institutional Change in Europe", Session Chair: Engelbert Dockner (WU Vienna University of Economics and Business) 3:30-4:00 pm Lucrezia Reichlin (London Business School), "Post-Recession Europe: What are the Challenges" 4:00-4:30 pm Jan Pieter Krahnen (Goethe University Frankfurt), "Europe's New Bank Regulation: Implications for Investors" 4:30-5:00 pm Discussion 5:00-5:30 pm Coffee break 5:30-6:45 pm SESSION 2: "New Developments in Asset Management", Panel Discussion, Session Chair: Josef Zechner (WU Vienna University of Economics and Business) Discussants: Thomas Dangl (TU Vienna), Raman Uppal (EDHEC Business School), Doron Avramov (The Hebrew University of Jerusalem), Amit Goyal (University of Lausanne) 7:00 pm Refreshments Registration is required. We kindly ask to register at office(a)si-researchcenter.at Location: WU, Building LC (Library & Learning Center), Festsaal 2 (http://gis.wu.ac.at/index.html?roomShow=LC.0.200) Welthandelsplatz 1, 1020 Vienna Contact and further information: WU, Institute for Finance, Banking and Insurance att. Martina Schlichting Welthandelsplatz 1, Building D4, 4th Floor 1020 Vienna Phone: +43 1 31336 6315 Mail: office(a)si-researchcenter.at Web: www.si-researchcenter.at

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[VFN] INVITATION Oct 29: WU Gutmann Center Public Lecture Suleyman Basak LBS: "The Financialization of Commodities"
by gutmann-center＠wu.ac.at 14 Oct '13

14 Oct '13

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE (apologies for duplicated mails!) ************************************************************************* Date: OCTOBER 29 (Tuesday), 2013, 4:00 pm Location: WU Campus, AD.0.144 (Sitzungssaal 1), Welthandelsplatz 1, 1020 Wien Speaker: Prof. Suleyman BASAK, London Business School and CEPR http://faculty.london.edu/sbasak/ Title: "THE FINANCIALIZATION OF COMMODITIES" ABSTRACT: A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets. Such financialization of commodities coincided with significant booms and busts in commodity markets, raising concerns of policymakers. In this talk, I explore the effects of financialization in a model that features institutional investors alongside traditional futures markets participants. The institutional investors care about their performance relative to a commodity index. We find that if a commodity futures is included in the index, supply and demand shocks specific to that commodity spill over to all other commodity futures markets. In contrast, supply and demand shocks to a nonindex commodity affect just that commodity market alone. Moreover, prices and volatilities of all commodity futures go up, but more so for the index futures than for nonindex ones. Furthermore, financialization - the presence of institutional investors - leads to an increase in correlations amongst commodity futures as well as in equity-commodity correlations. Consistent with empirical evidence, the increases in the correlations between index commodities exceed those for nonindex ones. We perform a simple calibration and find that financialization accounts for 11% to 17% of commodity futures prices and the rest is attributable to fundamentals. About Suleyman Basak: Dr. Basak is Professor of Finance at London Business School and a Research Fellow to the Center of Economic Policy Research. He was an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania, was a visitor at the Graduate School of Business at the University of Chicago, and acted as a consultant to Goldman, Sachs & Co. He received his Ph.D. in Financial Economics from Carnegie Mellon University. Dr. Basak's research focuses on asset pricing, asset allocation, risk management, market imperfections, international finance and financial innovation. His work has addressed issues related to portfolio insurance, VaR-based risk management, benchmarking, credit risk, tax arbitrage, incentive problems plaguing institutional asset management, and mispricing, arbitrageurs and monopoly power in financial markets. His research is the recipient of several awards including the American Association of Individual Investors Award for the Best Paper on Investments, and the Alexander Henderson Award for Excellence in Economic Theory. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-5238 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics Sabina Krickl www.gutmann-center.at

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[VFN] Ausschreibung FH-Professur Bank- und Versicherungswirtschaft
by Mestel Roland 11 Oct '13

11 Oct '13

Das Institut für Bank- und Versicherungswirtschaft der FH JOANNEUM strebt eine führende Position in der berufsbegleitenden akademischen Ausbildung für die Bank- und Versicherungswirtschaft in Österreich an. Zu diesem Zweck gelangt folgende Stelle zur Ausschreibung: FH-Professur für Bank- und Versicherungswirtschaft Anforderungsprofil: Gesucht wird eine Persönlichkeit, die über fundierte theoretische Kenntnisse und umfassende Berufserfahrung in qualifizierter/leitender Position in der Bank- bzw. Versicherungswirtschaft verfügt. Wünschenswert sind Know-how bzw. Projekterfahrung in einem der nachstehenden Bereiche in der Bank- bzw. Versicherungswirtschaft: Asset Management, Aufsicht und Regulierung, Controlling und Unternehmenssteuerung, Geschäftsprozessmanagement, Privat- und Geschäftskunden, Produktentwicklung, Risikomanagement, Unternehmensentwicklung, Vertriebsmanagement. Einstellungsvoraussetzungen sind ein abgeschlossenes Hochschulstudium (Master bzw. Diplom), eine fünfjährige einschlägige Berufspraxis, von der möglichst drei Jahre außerhalb einer Hochschule ausgeübt worden sein sollen, sowie die besondere Befähigung zu wissenschaftlicher Arbeit, vorzugsweise belegt durch eine Promotion. Darüber hinaus wird ein Nachweis über eine entsprechende pädagogisch-didaktische Eignung erwartet. BewerberInnen mit einem ausgeprägten versicherungswirtschaftlichen Hintergrund werden bevorzugt behandelt. Aufgabengebiete: - Abhaltung von einschlägigen Lehrveranstaltungen aus Bank- bzw. Versicherungswirtschaft; - Betreuung von akademischen Abschlussarbeiten (Bachelor- und Masterarbeiten); - Akquisition und Durchführung von einschlägigen anwendungsbezogenen Forschungsprojekten; - Engagement beim Auf- und Ausbau von Kooperationen und Schwerpunkten in Forschung und Lehre am Institut; - Bereitschaft zur aktiven Mitgestaltung bei Aufbau und Entwicklung neuer Studiengänge (insbesondere dem Master-Studiengang Bank- und Versicherungsmanagement) sowie Weiterbildungsangeboten des Instituts für Bank- und Versicherungswirtschaft. Beschäftigungsausmaß: 50 - 100% Monatliches Mindestgehalt : EUR 3.850,- brutto bei 100% (Überzahlung möglich) Dienstbeginn: Jänner 2014 Dienstort: Graz Ihre schriftliche Bewerbung mit aussagekräftigen Bewerbungsunterlagen schicken Sie bitte unter Angabe der Kennnummer KN 820 13 004 bis zum Montag, 4. November 2013 an: FH JOANNEUM Gesellschaft mbH, z. H. Herr David Puhl Alte Poststraße 147, 8020 Graz, Österreich Tel: +43 (0)316 54 53-8807, Fax: +43 (0)316 54 53-98807 E-Mail: david.puhl(a)fh-joanneum.at<mailto:david.puhl@fh-joanneum.at> www.fh-joanneum.at/jobs<http://www.fh-joanneum.at/jobs> Nähere Informationen erhalten Sie von: Ao. Univ.-Prof. Dr. Roland Mestel Leiter Institut für Bank- und Versicherungswirtschaft Tel: +43 (0)316 5453-7100 E-Mail: roland.mestel(a)fh-joanneum.at<mailto:roland.mestel@fh-joanneum.at> FH JOANNEUM Gesellschaft mbH Rechtsform/Legal form: GmbH Firmenbuchgericht/Court of registry: Landesgericht für ZRS Graz Firmenbuchnummer/Company registration: FN 125888 f DVR: 0813559 UID-Nr.: ATU 42361001

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[VFN] PRisMa 2013: One-Day Workshop on Portfolio Risk Management
by Sandra Trenovatz 12 Sep '13

12 Sep '13

========================================================== PRisMa 2013: One-Day Workshop on Portfolio Risk Management ========================================================== WEB PAGE: <http://www.fam.tuwien.ac.at/prisma2013/> ORGANIZED BY: - PRisMa Lab <http://www.prismalab.at/> DATE/TIME: Friday, September 27th, 2013, 9:20 - 16:30 plus bread & wine afterwards SPONSORED BY: - Christian Doppler Research Association - Bank Austria - Austrian Federal Financing Agency (ÖBFA) - COR&FJA - Österreichische Kontrollbank (OeKB) LOCATION: Vienna University of Technology Karlsplatz 13, 1040 Vienna, Austria Lecture Hall 6 (Main Building "Hauptgebäude" of TU Wien, ground floor) Participation is free. See information for registration below. Everyone is welcome, practitioners are especially encouraged to attend. PROGRAM: 9:20 - 9:30 Prof. Dr. Uwe Schmock Welcome 9:30 - 10:30 Prof. Dr. Andreas Kyprianou Censored Stable Processes 10:30 - 10:50 Coffee Break 10:50 - 11:30 Dr. Christa Cuchiero An HJM Approach to Multiple-Curve Modeling 11:30 - 12:00 Sühan Altay, MSc Yield Curve Scenario Generation with Independent Component Analysis 12:00 - 13:30 Lunch Break 13:30 - 14:15 PD Dr. Stefan Gerhold Local Volatility Models: Approximation and Regularization 14:15 - 15:00 Jonas Hirz, MSc Risk Measures: From the Unconditional to the Conditional Case 15:00 - 15:20 Coffee Break 15:20 - 16:00 Dr. Julia Eisenberg Optimal Consumption Under Deterministic Income 16:00 - 16:30 DI I. Cetin Gülüm On the Existence of an Equivalent Martingale Measure in the Dalang-Morton-Willinger Theorem, which Preserves the Dependence Structure 16:30 - 18:00 Bread and Wine ABSTRACTS and LINKS: <http://www.fam.tuwien.ac.at/prisma2013/> REGISTRATION: Participation is free, and there is no official registration - nevertheless for administrative reasons we would be happy if you write a short email to our secretary (see below) with your name and university or company. Everyone is welcome, practitioners are especially encouraged to attend. For actuaries, this workshop counts up to 5 points for their continuing professional development (morning and afternoon part each 2.5 points). For a corresponding certificate, please register in advance for the morning and/or afternoon part of the workshop by sending an email with your name and postal address to the workshop secretary (see below) and sign up when you actually attend the workshop. Organisers: - Prof. Dr. Uwe Schmock (FAM @ TU Wien) - Prof. Dr. Thorsten Rheinländer (FAM @ TU Wien) Workshop Secretary: Ms. Sandra Trenovatz and Mr. Martin Trenovatz (FAM @ TU Wien) Phone: +43-1-58801-10511 E-mail: fam(a)fam.tuwien.ac.at FURTHER EVENTS: Lecture Series in Financial and Actuarial Mathematics ===================================================== Monday, September 16, 2013, 16:30 Vienna University of Technology, 1040 Wien, Wiedner Hauptstrasse 8, Freihaus building, yellow area, 2nd floor, lecture hall "Freihaus Hörsaal 3" Prof. Dr. Nikolai V. Kolev (Department of Statistics, University of Sao Paulo, Brazil) "Continuous Bivariate Distributions with Linear Sum of the Hazard Gradient Components and Actuarial Applications" http://www.fam.tuwien.ac.at/vr/20130916.php For actuaries, this talk counts 1 point for their continuing professional development. EAJ 2014 - 2nd European Actuarial Journal Conference 2014 ========================================================= Wednesday, September 10 - Friday, September 12, 2014 Vienna University of Technology, Wiedner Hauptstraße 8, 1040 Wien http://www.fam.tuwien.ac.at/eaj2014/

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[VFN] 2nd Call for Papers - Workshop of the AWG
by Wolfgang Aussenegg 30 Aug '13

30 Aug '13

*2nd Call for Papers* *28^th Workshop of the Austrian Working Group on Banking and Finance* ** *22 and 23 November 2013, Vienna University of Technology* *http://www.imw.tuwien.ac.at/fc/awg_2013/* *Jointly Organized by* Financial Enterprise Management Group (Bereich Finanzwirtschaft und Controlling), Vienna University of Technology, Vienna, Austria Austrian Society for Bank Research (BWG), Vienna, Austria *Aim and Topics* The aim of the workshop is to generate a discussion forum for theoretical and empirical research in all areas of banking and financethroughout Austria. All researchers (especially also junior researchers) at universities and other research institutions as well as practitioners of the financial industry (including finance departments of industrial and service companies) are highly welcome to submit and present their research. Junior researchers are, e.g. encouraged to present one of their PhD Thesis papers/projects. Full papers or detailed abstracts (about 2 pages) in all areas of banking and finance are welcome. Topics can include but are not limited to: Arbitrage Pricing, Behavioral Finance, Capital Market Theory, Capital Requirements of Financial Institutions, Commercial Banking, Contingent Claims Analysis, Corporate Finance, Financial Innovations, Financial Markets Research, Intermediaries, International Banking and Finance, Investment Banking, Options and Futures, Performance Measurement, Portfolio Management, Risk Management, Security Analysis. *Submissions and Important Dates* Those wishing to present their research at the workshop are invited to submit a full paper or a detailed abstract of about 2 pages via e-mail to _waussen(a)pop.tuwien.ac.at_, by *15 October 2013*. _Deadline_for Paper/Abstract Submission: *15 October 2013* _Notification_of acceptance by: 25 October 2013 (or earlier) _Registration_via e-mail to _waussen(a)pop.tuwien.ac.at_(if possible by 15 November 2013 (or earlier)) _Workshop dates_: Friday, 22 November 2013 (afternoon), Saturday, 23 November 2013 (morning) /Please note: There is NO submission or registration fee for the workshop./ Those that wish to have (in addition to comments and recommendations from the audience) a discussant for their paper should indicate this when submitting the paper. In this case a full paper has to be submitted by 1 October 2013. *Workshop Venue* The Workshop will take place at the following location: Vienna University of Technology, 1040 Vienna, Karlsplatz 13, Main Building, 1^st floor, Boecklsaal -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Managementwissenschaften Bereich Finanzwirtschaft und Controlling Technische Universität Wien (DVR-Nummer 0005886) Phone: +43-1-58801 - 33082 Fax: +43-1-58801 - 33098 E-mail: waussen(a)pop.tuwien.ac.at Web: http://www.imw.tuwien.ac.at/fc/ Adresse: Theresianumgasse 27 A-1040 Wien Österreich

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[VFN] Reminder - Invitation Spängler IQAM Invest Round Table July 2, 2013
by vsam 26 Jun '13

26 Jun '13

INVITATION - REMINDER The WU Institute for Finance, Banking and Insurance and Spängler IQAM Invest are pleased to invite you to a SPÄNGLER IQAM INVEST ROUND TABLE (apologies for duplicated mails!) DATE: Tue, July 2, 2013 - 4:30 pm SPEAKER: Prof. Dr. Douglas W. Diamond / Booth School of Business, University of Chicago TOPIC: "SHORT-TERM DEBT AND FINANCIAL REGULATION" ABSTRACT: Private financial crises are everywhere and always due to problems of short-term debt. Financial regulation can address many aspects of the financial sector, but it should focus on avoiding the excessive use of short-term debt without invoking excessive capital requirements. This is the way to have an impact on the risk of financial crises without destroying access to funding. Regulations based on this framework are proposed and evaluated. ABOUT DOUGLAS W. DIAMOND: Douglas W. Diamond specializes in the study of financial intermediaries, financial crises, and liquidity. His work has appeared in such notable journals as the Journal of Financial Economics, the Journal of Finance, the Review of Economic Studies, the American Economic Review, and the Journal of Political Economy. His research has been funded with grants from the National Science Foundation and the Garn Institute of Finance. He has taught at Yale and was a visiting professor at the Hong Kong University of Science and Technology as well as the University of Bonn. He is a research associate of the National Bureau of Economic Research and worked for the Board of Governors of the Federal Reserve System while a graduate student. In addition to his roles as a researcher and professor, Diamond is co-director of the Fama-Miller Center for Research in Finance at Chicago Booth, a visiting scholar at the Federal Reserve Bank of Richmond, a position he has held since 1990, and is on the Board of Directors of the Center for Research in Security Prices. Diamond is a former president of the American Finance Association and the Western Finance Association. He is also a fellow of the Econometric Society, the American Academy of Arts and Sciences, and the American Finance Association. He joined Chicago Booth in 1979. Diamond earned a bachelor's degree in economics from Brown University in 1975. He earned master's degrees in 1976 and 1977 and a PhD in 1980 in economics from Yale University. Further information about Douglas W. Diamond: http://www.chicagobooth.edu/faculty/directory/d/douglas-w-diamond REGISTRATION IS REQUIRED: We kindly ask to register at VSAM(a)wu.ac.at LOCATION: Seminar room 1 (Ground Floor), WU Institute for Finance, Banking and Insurance, Heiligenstädter Str. 46-48, 1190 Vienna, Austria Contact and further information: WU, Institute for Finance, Banking and Insurance att. Martina Schlichting Heiligenstädter Str. 46-48, 1190 Vienna Phone: +43 1 31336 6315 Mail: vsam(a)wu.ac.at Web: http://www.wu.ac.at/finance/coop/vsam

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[VFN] Invitation Spängler IQAM Invest Round Table July 2, 2013
by vsam 06 Jun '13

06 Jun '13

INVITATION The WU Institute for Finance, Banking and Insurance and Spängler IQAM Invest are pleased to invite you to a SPÄNGLER IQAM INVEST ROUND TABLE (apologies for duplicated mails!) DATE: Tue, July 2, 2013 - 4:30 pm SPEAKER: Prof. Dr. Douglas W. Diamond / Booth School of Business, University of Chicago TOPIC: "SHORT-TERM DEBT AND FINANCIAL REGULATION" ABSTRACT: Private financial crises are everywhere and always due to problems of short-term debt. Financial regulation can address many aspects of the financial sector, but it should focus on avoiding the excessive use of short-term debt without invoking excessive capital requirements. This is the way to have an impact on the risk of financial crises without destroying access to funding. Regulations based on this framework are proposed and evaluated. ABOUT DOUGLAS W. DIAMOND: Douglas W. Diamond specializes in the study of financial intermediaries, financial crises, and liquidity. His work has appeared in such notable journals as the Journal of Financial Economics, the Journal of Finance, the Review of Economic Studies, the American Economic Review, and the Journal of Political Economy. His research has been funded with grants from the National Science Foundation and the Garn Institute of Finance. He has taught at Yale and was a visiting professor at the Hong Kong University of Science and Technology as well as the University of Bonn. He is a research associate of the National Bureau of Economic Research and worked for the Board of Governors of the Federal Reserve System while a graduate student. In addition to his roles as a researcher and professor, Diamond is co-director of the Fama-Miller Center for Research in Finance at Chicago Booth, a visiting scholar at the Federal Reserve Bank of Richmond, a position he has held since 1990, and is on the Board of Directors of the Center for Research in Security Prices. Diamond is a former president of the American Finance Association and the Western Finance Association. He is also a fellow of the Econometric Society, the American Academy of Arts and Sciences, and the American Finance Association. He joined Chicago Booth in 1979. Diamond earned a bachelor's degree in economics from Brown University in 1975. He earned master's degrees in 1976 and 1977 and a PhD in 1980 in economics from Yale University. Further information about Douglas W. Diamond: http://www.chicagobooth.edu/faculty/directory/d/douglas-w-diamond REGISTRATION IS REQUIRED: We kindly ask to register at VSAM(a)wu.ac.at LOCATION: Seminar room 1 (Ground Floor), WU Institute for Finance, Banking and Insurance, Heiligenstädter Str. 46-48, 1190 Vienna, Austria Contact and further information: WU, Institute for Finance, Banking and Insurance att. Martina Schlichting Heiligenstädter Str. 46-48, 1190 Vienna Phone: +43 1 31336 6315 Mail: vsam(a)wu.ac.at Web: http://www.wu.ac.at/finance/coop/vsam

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[VFN] INVITATION June 11: WU Gutmann Center Symposium “SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT”
by Grimm, Dorothea 27 May '13

27 May '13

INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its seventh symposium. WU GUTMANN CENTER SYMPOSIUM 2013: “SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT” JUNE 11, 2013 – 09:00-17:30 LOCATION: WU (Vienna University of Economics and Business) Augasse 2-6, (UZA 1), Festsaal, 1090 Vienna (Austria) REGISTRATION: Participation is free of charge, but REGISTRATION IS REQUIRED at gutmann-center(a)wu.ac.at CONFERENCE HOMEPAGE: http://www.wu.ac.at/wuw/other/gc/whatwedo/bridging/symposia/2013/index CONTACT AND FURTHER INFORMATION: www.gutmann-center.at Recent years have shown a widespread and largely unexpected increase in sovereign credit risk. Its consequences still affect financial markets, the investment industry and economies around the world. The associated challenge to understand its origins and to investigate its consequences is still a major subject of political, economic and scientific debate, which may well last for another couple of years. The main purpose of the WU Gutmann Symposium 2013 is to discuss various dimensions of sovereign credit risk and its implications for asset management. The papers of the symposium will focus on the following range of topics: sovereign credit risk, risk premia and stock market response; the role of governments and political uncertainty; banks' behavior and their systemic risk; sovereign bond and CDS markets. We are proud to welcome highly renowned experts from all over the world who will present their state-of-the-art research in the field, and cordially invite you to attend the WU Gutmann Center Symposium 2013. Nobel laureate William F. Sharpe, member of the WU Gutmann Center’s Academic Advisory Board, will open the symposium and chair the first session. **PROGRAM** 08:30 Registration 09:00-09:15 WELCOME Alexander Mürmann, Program Chair, WU Gutmann Center Regina Prehofer, Vice-Rector, Financial Affairs and Infrastructure, WU Friedrich Strasser, CIO and Member of the Board of Management, Bank Gutmann AG 09:15-10:45 SESSION I Chair: **William F. Sharpe, Stanford University** THE DYNAMICS OF SOVEREIGN CREDIT RISK Alexandre Jeanneret, HEC Montréal Discussant: Rüdiger Frey, WU THE WORLD PRICE OF CREDIT RISK Gergana Jostova, George Washington University Discussant: Nils Friewald, WU SOVEREIGN BOND RISK PREMIUMS Engelbert J. Dockner, WU Discussant: Kerstin Bernoth, DIW Berlin 10:45-11:15 Coffee Break 11:15-12:45 SESSION II Chair: Elroy Dimson, London Business School THE ASSET PRICING IMPLICATIONS OF GOVERNMENT ECONOMIC POLICY UNCERTAINTY Jonathan Brogaard, University of Washington Discussant: Benjamin Born, University of Mannheim SOVEREIGN DEBT RATING CHANGES, INSTITUTIONAL QUALITY AND THE STOCK MARKET George P. Nishiotis, University of Cyprus Discussant: Hermann Elendner, Humboldt-Universität zu Berlin THE SYSTEMIC RISK OF EUROPEAN BANKS DURING THE FINANCIAL AND SOVEREIGN DEBT CRISES Xin Huang, University of Oklahoma Discussant: David Veredas, Université libre de Bruxelles 12:45-13:45 Lunch Break 13:45-15:15 SESSION III: Chair: Christian Laux, WU GOVERNMENT GUARANTEES AND FINANCIAL STABILITY Agnese Leonello, University of Pennsylvania Discussant: Hendrik Hakenes, University of Bonn THE “GREATEST” CARRY TRADE EVER? UNDERSTANDING EUROZONE BANK RISKS Sascha Steffen, European School of Management and Technology, Berlin Discussant: Josef Zechner, WU SAFER RATIOS, RISKIER PORTFOLIOS: BANKS’ RESPONSE TO GOVERNMENT AID Denis Sosyura, University of Michigan Discussant: Gyöngyi Lóranth, University of Vienna 15:15-15:45 Coffee Break 15:45-17:15 SESSION IV Chair: Robert Korajczyk, Northwestern University CDS AND SOVEREIGN BOND MARKET LIQUIDITY Batchimeg Sambalaibat, Carnegie Mellon University Discussant: Giovanni Calice, University of Birmingham THE EXODUS FROM SOVEREIGN RISK: SOVEREIGN CEILING VIOLATIONS IN CREDIT DEFAULT SWAP MARKETS Jongsub Lee, University of Florida Discussant: Peter Posch, University of Ulm CREDIT-RISK VALUATION IN THE SOVEREIGN CDS AND BONDS MARKETS: EVIDENCE FROM THE EURO AREA CRISIS Sergio Mayordomo (University of Navarra) Discussant: Alois Geyer, WU 17:15 Concluding Remarks and Refreshments

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[VFN] INVITATION June 11: WU Gutmann Center Symposium “SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT”
by Grimm, Dorothea 07 May '13

07 May '13

INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its seventh symposium. WU GUTMANN CENTER SYMPOSIUM 2013: “SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT” http://www.wu.ac.at/gc/whatwedo/bridging/symposia JUNE 11, 2013 – 09:00-17:30 Venue: WU Vienna, Festsaal, UZA 1, Augasse 2-6, 1090 Vienna (Austria) Recent years have shown a widespread and largely unexpected increase in sovereign credit risk. Its consequences still affect financial markets, the investment industry and economies around the world. The associated challenge to understand its origins and to investigate its consequences is still a major subject of political, economic and scientific debate, which may well last for another couple of years. The main purpose of the WU Gutmann Symposium 2013 is to discuss various dimensions of sovereign credit risk and its implications for asset management. The papers of the symposium will focus on the following range of topics: sovereign credit risk, risk premia and stock market response; the role of governments and political uncertainty; banks' behavior and their systemic risk; sovereign bond and CDS markets. We are proud to welcome highly renowned experts from all over the world who will present their state-of-the-art research in the field, and cordially invite you to attend the WU Gutmann Center Symposium 2013. **PROGRAM** THE DYNAMICS OF SOVEREIGN CREDIT RISK, Alexandre Jeanneret, HEC Montréal THE WORLD PRICE OF CREDIT RISK, Gergana Jostova, George Washington University SOVEREIGN BOND RISK PREMIUMS, Engelbert J. Dockner, WU THE ASSET PRICING IMPLICATIONS OF GOVERNMENT ECONOMIC POLICY UNCERTAINTY, Jonathan Brogaard, University of Washington SOVEREIGN DEBT RATING CHANGES, INSTITUTIONAL QUALITY AND THE STOCK MARKET, George P. Nishiotis, University of Cyprus THE SYSTEMIC RISK OF EUROPEAN BANKS DURING THE FINANCIAL AND SOVEREIGN DEBT CRISES, Xin Huang, University of Oklahoma GOVERNMENT GUARANTEES AND FINANCIAL STABILITY , Agnese Leonello, University of Pennsylvania THE “GREATEST” CARRY TRADE EVER? UNDERSTANDING EUROZONE BANK RISKS, Sascha Steffen, European School of Management and Technology, Berlin SAFER RATIOS, RISKIER PORTFOLIOS: BANKS’ RESPONSE TO GOVERNMENT AID, Denis Sosyura, University of Michigan SOVEREIGN BOND AND CREDIT DEFAULT SWAP MARKETS, Batchimeg Sambalaibat, Carnegie Mellon University THE EXODUS FROM SOVEREIGN RISK: SOVEREIGN CEILING VIOLATIONS IN CREDIT DEFAULT SWAP MARKETS, Jongsub Lee, University of Florida CREDIT-RISK VALUATION IN THE SOVEREIGN CDS AND BONDS MARKETS: EVIDENCE FROM THE EURO AREA CRISIS,Sergio Mayordomo, University of Navarra **PLEASE REGISTER not later than June 5, 2013**: gutmann-center(a)wu.ac.at Participation is free of charge Detailed program: http://www.wu.ac.at/gc/whatwedo/bridging/symposia CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU Vienna, Department of Finance, Accounting and Statistics Phone: +43-1-31336-4244 – Mail: gutmann-center(a)wu.ac.at www.gutmann-center.at

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[VFN] Masterstudiengang "Quantitative Asset and Risk Management" (ARIMA)
by Helmreich, Silvia 03 May '13

03 May '13

Sehr geehrte Damen und Herren, Der Studiengang "Quantitative Asset and Risk Management" (kurz: ARIMA) startet heuer im Herbst zum vierten Mal und die ersten AbsolventInnen haben hervorragende Chancen auf dem momentan doch recht schwierigen Arbeitsmarkt. **Für das kommende Studienjahr 2012/13 werden noch Bewerbungen bis zum 15. Juni 2012 entgegen genommen.** Die Entwicklung dieses Programmes erfolgte gemeinsam mit internationalen Partneruniversitaeten in Prag, Istanbul und Katowice und wurde von der EU als Joint Degree Curriculum Development Programm gefoerdert. Im 3. Semester findet daher ein verpflichtender Auslandsaufenthalt (zweimal 3 Wochen geblockt) bei einer der Partneruniversitaeten statt. Daraus ergibt sich auch, dass die Unterrichtssprache durchgaengig Englisch ist. Im Bereich Internationalisierung konnte außerdem mit der Universität Bologna, die einen Master in Quantitative Finance anbietet, ein Double Degree Abkommen abgeschlossen werden Das Ziel von ARIMA besteht darin, den Studierenden ein umfassendes Verstaendnis ueber die Zusammenhaenge zwischen Asset- und Risikomanagement im Finanzbereich zu vermitteln. Die AbsolventInnen erhalten eine fundierte Ausbildung im Risikomanagement (Quantifizierung von Risiken, Risikoaggregation; integrierte Steuerung von Banken und Versicherungen etc.) und Asset Management (Assetklassen, Portfolioselektion, Asset Liability Management, etc.). Hinzu treten methodisch-analytische Kenntnisse und Fertigkeiten, vor allem in Finanzmathematik und Statistik. Voraussetzungen zur Teilnahme am Masterprogramm: Im Anschluss an ein wirtschafts-, sozial-, natur- oder rechtswissenschaftliches oder technisches Studium einer Universitaet oder Fachhochschule kann der vier Semester umfassende und berufsbegleitend organisierte Masterstudiengang ARIMA absolviert werden. Weiters muessen besuchte Lehrveranstaltungen im Bereich Mathematik/Statisitk und Wirtschaftswissenschaften nachgewiesen werden. Aufnahmeverfahren: Formales Kriterium fuer die Teilnahme am Aufnahmeverfahren ist eine schriftliche Bewerbung bis spaetestens 15. Juni 2012. Das Aufnahmeverfahren selbst besteht aus einem strukturierten Interview (kurze Praesentation zu einem aktuellen Finanzthema auf Englisch und zusaetzliche Fragen zur Motivation fuer die Bewerbung) und einem Multiple-Choice Test. Die Literatur fuer den MC-Test kann von der homepage der FH des bfi Wien heruntergeladen werden. Der MC-Test findet am 26. Juni 2012 statt. Die strukturierten Interviews werden von Mitte Mai bis Ende Juni gefuehrt. Lektorenpool aus dem wissenschaftlichen und berufsrelvanten Bereich: Um einerseits theoretische Grundlagen zu vermitteln und andererseits die Anwendung der Theorie in der Praxis aufzuzeigen, konnten namhafte Lektoren aus diesen Bereichen fuer eine Vortragstaetigkeit in ARIMA gewonnen werden. Beispielshaft seien das IHS, die TU Wien, Oesterreichische Grossbanken und die OeNB genannt. Wir hoffen, Ihr Interesse fuer den neuen Studiengang geweckt zu haben und wuerden uns sehr freuen, wenn Sie dieses Schreiben an weiterbildungsinteressierte Personen in Ihrem Unternehmen weiterleiten wuerden. Fuer weitere Fragen stehen wir Ihnen gerne zur Verfuegung (silvia.helmreich(a)fh-vie.ac.at) oder besuchen Sie unsere homepage: http://www.fh-vie.ac.at/en/Degree-Programmes/Master/Quantitative-Asset-and-… Mit freundlichen Gruessen Prof.in (FH) Mag.a Silvia Helmreich Studiengangsleiterin ARIMA Fachhochschule des bfi Wien GmbH Wohlmutstrasse 22 1020 Wien Tel.: +43 1 7201286 - 972 e-mail: silvia.helmreich(a)fh-vie.ac.at http://www.fh-vie.ac.at P.S.: die Kosten des Masterstudienganges betragen EUR 363,36 im Semester. ________________________________ Firmenwortlaut: Fachhochschule des bfi Wien Gesellschaft m.b.H Firmenbuchnummer: 148597 a Firmenbuchgericht: Handelsgericht Wien Firmensitz: Wohlmutstraße 22, 1020 Wien This message contains confidential information and is intended only for the individual named. If you are not the named addressee you should not disseminate, distribute or copy this e-mail. Please notify the sender immediately by e-mail if you have received this e-mail by mistake and delete this e-mail from your system. E-mail transmission cannot be guaranteed to be secure or error-free as information could be intercepted, corrupted, lost, destroyed, arrive late or incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message, which arise as a result of e-mail transmission. If verification is required please request a hard-copy version.

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[VFN] 28. Workshop der AWG
by office＠bwg.at 29 Apr '13

29 Apr '13

Die Austrian Working Group on Banking and Finance (AWG) der Österreichischen Bankwissenschaftlichen Gesellschaft veranstaltet gemeinsam mit der TU Wien, Institut für Managementwissenschaften, Abt. Finanzwirtschaft und Controlling, den 28. WORKSHOP First CALL for PAPERS Der Workshop findet am Freitag, dem 22. November 2013, nachmittags, und am Samstag, dem 23. November 2013, vormittags, an der TU Wien statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 15. Oktober 2013 bei Univ.-Prof. Dr. Wolfgang Aussenegg, Institut für Managementwissenschaften, Abt. Finanzwirtschaft und Controlling, TU Wien, Theresianumgasse 27, 1040 Wien oder e-mail: waussen(a)pop.tuwien.ac.at eingereicht werden. Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 1. Oktober 2013 einzureichen. Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte (Auswahl): Arbitrage Pricing – Behavioural Finance - Capital Market Theory – Capital Requirements of Financial - Commercial Banking – Contingent Claims Analysis – Corporate Finance – Financial Innovations – Financial Markets Research – Intermediaries – International Banking and Finance – Investment Banking – Options and Futures – Performance Measurement – Portfolio Management – Risk Management – Security Analysis.

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[VFN] Ausschreibung FH-Professur Versicherungswirtschaft
by Mestel Roland 27 Apr '13

27 Apr '13

Am Institut für Bank- und Versicherungswirtschaft der FH JOANNEUM gelangt folgende Stelle zur Ausschreibung: FH-ProfessorIn Schwerpunkt Versicherungswirtschaft Anforderungsprofil: Gesucht wird eine Persönlichkeit, die über fundierte theoretische Kenntnisse und umfassende Berufserfahrung in qualifizierter/leitender Position in der Versicherungswirtschaft verfügt. Wünschenswert sind Know-how bzw. Projekterfahrung in einem der nachstehenden Bereiche der Versicherungswirtschaft: Aufsicht und Regulierung, Geschäftsprozessmanagement, Risikomanagement, Versicherungsprodukte für Privat- und Firmenkunden, Versicherungscontrolling und -steuerung, Vertriebsmanagement. Einstellungsvoraussetzungen sind ein abgeschlossenes einschlägiges Hochschulstudium, eine fünfjährige einschlägige Berufspraxis, von der möglichst drei Jahre außerhalb einer Hochschule ausgeübt worden sein sollen, sowie die besondere Befähigung zu wissenschaftlicher Arbeit, vorzugsweise belegt durch eine Promotion. Darüber hinaus wird ein Nachweis über eine entsprechende pädagogisch-didaktische Eignung erwartet. Aufgabengebiete: * Abhaltung von einschlägigen Lehrveranstaltungen im Ausbildungsschwerpunkt Versicherungswirtschaft; * Betreuung von akademischen Abschlussarbeiten (Bachelor- und Masterarbeiten); * Akquisition und Durchführung von einschlägigen anwendungsbezogenen Forschungsprojekten; * Engagement beim Auf- und Ausbau von Kooperationen und Schwerpunkten in Forschung und Lehre am Institut; * Bereitschaft zur Mitarbeit bei Aufbau und Entwicklung neuer Studiengänge sowie Weiterbildungsangebote des Instituts für Bank- und Versicherungswirtschaft. Beschäftigungsausmaß: 75 - 100% Dienstbeginn: Juli 2013 Dienstort: Graz Ihre schriftliche Bewerbung mit aussagekräftigen Bewerbungsunterlagen schicken Sie bitte unter Angabe der KennnummerKN 820 13 001 bis zum Dienstag, 28. Mai 2013 an: FH JOANNEUM Gesellschaft mbH, z. H. Frau Sabrina Maria Auer Alte Poststraße 147, 8020 Graz, Österreich Tel: +43 (0)316 54 53-8867, Fax: +43 (0)316 54 53- 98867 E-Mail: SabrinaMaria.Auer(a)fh-joanneum.at www.fh-joanneum.at/jobs Nähere Informationen erhalten Sie von: Dr. Roland Mestel Leiter Institut für Bank- und Versicherungswirtschaft Tel: +43 (0)316 5453-7100 FH JOANNEUM Gesellschaft mbH Rechtsform/Legal form: GmbH Firmenbuchgericht/Court of registry: Landesgericht für ZRS Graz Firmenbuchnummer/Company registration: FN 125888 f DVR: 0813559 UID-Nr.: ATU 42361001

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[VFN] REMINDER - INVITATION April 11: WU Gutmann Center Public Lecture with Olivia S. Mitchell: "Financial Literacy and Retirement Planning: Implications for the Financial Marketplace and Policy"
by gutmann-center＠wu.ac.at 04 Apr '13

04 Apr '13

REMINDER - INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: APRIL 11 (Thursday), 2013 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Olivia S. MITCHELL, The Wharton School, University of Pennsylvania https://bepp.wharton.upenn.edu/profile/719/ Title: " FINANCIAL LITERACY AND RETIREMENT PLANNING: IMPLICATIONS FOR THE FINANCIAL MARKETPLACE AND POLICY " ABSTRACT: Recent research suggests that levels of financial literacy are woefully low around the world. Professor Mitchell evaluates a number of surveys about workers' financial knowledge and explores the causal links with asset accumulation and decumulation. She concludes with an assessment of "what works" to enhance financial literacy. ABOUT OLIVIA S. MITCHELL: Olivia S. Mitchell is the International Foundation of Employee Benefit Plans Professor at the Wharton School, as well as Professor of Insurance/Risk Management and Business Economics/Policy; Executive Director of the Pension Research Council; and Director of the Boettner Center on Pensions and Retirement Research; all at the Wharton School of the University of Pennsylvania. Concurrently Dr. Mitchell serves as a Research Associate at the NBER; as an independent director on the Wells Fargo Advantage Fund Trusts Board; and as Co-Investigator for the Health and Retirement Study at the University of Michigan and Associate Director of the Financial Literacy Center, a RAND/Wharton/Dartmouth Consortium. Dr. Mitchell's main interests are public and private pensions, insurance and risk management, financial literacy, and public finance. She was awarded and won numerous prizes including the Paul Samuelson Award for "Outstanding Writing on Lifelong Financial Security" from TIAA-CREF for her Social Security reform study. She received the MA and PhD degrees in Economics from the University of Wisconsin-Madison, and the BA in Economics from Harvard University. Author of more than 25 books and numerous articles, she speaks Spanish and Portuguese, having lived and worked in Latin America, Europe, and Australasia. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at

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[VFN] INVITATION April 11: WU Gutmann Center Public Lecture with Olivia S. Mitchell: "Financial Literacy and Retirement Planning: Implications for the Financial Marketplace and Policy"
by gutmann-center＠wu.ac.at 20 Mar '13

20 Mar '13

INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** Date: APRIL 11 (Thursday), 2013 - 4:00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Olivia S. MITCHELL, The Wharton School, University of Pennsylvania https://bepp.wharton.upenn.edu/profile/719/ Title: " FINANCIAL LITERACY AND RETIREMENT PLANNING: IMPLICATIONS FOR THE FINANCIAL MARKETPLACE AND POLICY " ABSTRACT: Recent research suggests that levels of financial literacy are woefully low around the world. Professor Mitchell evaluates a number of surveys about workers' financial knowledge and explores the causal links with asset accumulation and decumulation. She concludes with an assessment of "what works" to enhance financial literacy. ABOUT OLIVIA S. MITCHELL: Olivia S. Mitchell is the International Foundation of Employee Benefit Plans Professor at the Wharton School, as well as Professor of Insurance/Risk Management and Business Economics/Policy; Executive Director of the Pension Research Council; and Director of the Boettner Center on Pensions and Retirement Research; all at the Wharton School of the University of Pennsylvania. Concurrently Dr. Mitchell serves as a Research Associate at the NBER; as an independent director on the Wells Fargo Advantage Fund Trusts Board; and as Co-Investigator for the Health and Retirement Study at the University of Michigan and Associate Director of the Financial Literacy Center, a RAND/Wharton/Dartmouth Consortium. Dr. Mitchell's main interests are public and private pensions, insurance and risk management, financial literacy, and public finance. She was awarded and won numerous prizes including the Paul Samuelson Award for "Outstanding Writing on Lifelong Financial Security" from TIAA-CREF for her Social Security reform study. She received the MA and PhD degrees in Economics from the University of Wisconsin-Madison, and the BA in Economics from Harvard University. Author of more than 25 books and numerous articles, she speaks Spanish and Portuguese, having lived and worked in Latin America, Europe, and Australasia. **Please REGISTER**: Mail: gutmann-center(a)wu.ac.at Phone: +43-1-31336-4244 CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics Mag. Dorothea GRIMM www.gutmann-center.at

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[VFN] INVITATION - 6th Financial Risks International Forum 2013 - Paris, March 25 & 26 2013
by Institut Louis Bachelier 18 Mar '13

18 Mar '13

To: vfn-l(a)fam.tuwien.ac.at INVITATION 6th Financial Risks International Forum LIQUIDITY RISK Paris, March 25 & 26 2013 The Louis Bachelier "Finance and Sustainable Growth" Laboratory is pleased to invite you to the 6th Financial Risks International Forum. In the current context, this year's forum will focus on "LIQUIDITY RISK". Papers will address topics such as: - Market Liquidity; - Funding Liquidity and Counterparty Risk; - Liquidity and Regulation; - Asset Management with Illiquid Assets; - Intraday Liquidity and Optimal Execution; - Investor's Behavior in Liquidity Crises. The aim of this event is to showcase the very best of international research, selected by our international scientific committee, chaired by Marie BRIERE - Amundi, Paris Dauphine University and Université Libre de Bruxelles -. Panel sessions will be led by industry professionals, with workshops that encourage dialog among researchers and working financial professionals. The scientific committee's rigorous requirements, combined with the outstanding quality of the papers, ensure an event meets the highest level of international standards. The forum will take place on March 25 and 26, 2013 at the Paris Ile-de-France regional chamber of commerce and industry / Chambre de commerce et d'industrie de région Paris Ile-de-France. Click here for the most recent agenda: http://www.financialrisksforum.com/cgi-bin/viewlink?k=67685055&r=141363902 If you would like to join us for interactive debates, please kindly register online: http://www.financialrisksforum.com/cgi-bin/viewlink?k=67685055&r=141367998

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