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1159 discussions

[VFN] Special Semester on Stochastics with Emphasis on Finance, RICAM, Linz, Austria, Sep-Dec 2008
by Hansjoerg Albrecher 18 Mar '08

18 Mar '08

From September 2008 to December 2008, there will be a Special Semester on Stochastics with Emphasis on Finance at the Johann Radon Institute for Computational and Applied Mathematics (RICAM) of the Austrian Academy of Sciences in Linz. The goal of this Special Semester is to provide a stimulating environment for mathematicians, quantitative economists and, in particular, researchers in the areas of applied probability and analysis, computational methods and finance to jointly address emerging challenges in the interface between stochastics and finance. There will be a series of thematic workshops with leading experts in the field. Experienced researchers, post-docs and doctoral students will have the opportunity to collaborate at RICAM in an interdisciplinary atmosphere in order to gain new perspectives and to develop novel approaches. Funding is available for longer stays during the semester. We particularly encourage young researchers to apply. For more details on the activities planned for the Special Semester as well as for application forms, see the webpage http://www.ricam.oeaw.ac.at/specsem/sef/ Scientific Committee: Hansjörg Albrecher (University of Linz & RICAM, Austria), Karl Kunisch (University of Graz & RICAM, Austria), Hanna Pikkarainen (RICAM, Austria), Wolfgang Runggaldier (University of Padova, Italy (Chair)), Walter Schachermayer (TU Vienna & RICAM, Austria)

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[VFN] VGSF research seminar: Engelbert Dockner
by Youchang Wu 06 Mar '08

06 Mar '08

Professor Engelbert Dockner from Vienna University of Economics and Business Administration is giving a VGSF research seminar on "Choice of Rating Technology and Price Formation in Imperfect Credit Markets" on March 7 (Friday, 13:15-14:45) at Wirtschaftsuniversität Wien - H46 (1190, Heiligenstädter Strasse 46-48), seminar room 2 (ground floor). The paper to be presented will be posted on the VGSF website soon (http://www.vgsf.ac.at/activities/seminars.htm). Please kindly note the new location and the special time of this seminar. Best regards, Youchang

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[VFN] Stellenausschreibung Institut für Risikomanagement und Versicherung
by Alexander Mürmann 28 Feb '08

28 Feb '08

Liebe Kolleginnen und Kollegen, ich bitte auch die weitere Stellenausschreibung am Institut für Risikomamangement und Versicherung zu beachten. Mit besten Grüßen, Alexander Mürmann. __________________________________________________ Alexander Mürmann, Ph.D. Professor of Risk Management and Insurance Institute of Risk Management and Insurance Vienna University of Economics and Business Administration Heiligenstädter Str. 46-48, A-1190 Wien, AUSTRIA Phone + 43-1-31336 4948 Fax + 43-1-31336 712 E-Mail <mailto:alexander.muermann@wu-wien.ac.at> alexander.muermann(a)wu-wien.ac.at Im Institute for Risk Management and Insurance sind 2 Stellen für Wissenschaftliche MitarbeiterInnen oder 1 Stelle für einen Assistenten/eine Assistentin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen. Vertragsdauer: Wissenschaftliche/r Mitarbeiter/in: 1. Mai 2008 bis 30. April 2012 Assistent/in: 1. Mai 2008 bis 30. April 2014 Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für Wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist. Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits einen Assistent/inn/enposten Säule 2 inne hatten, aus rechtlichen Gründen nicht möglich ist. Notwendige Kenntnisse und Qualifikationen: für Wissenschaftliche/n Mitarbeiter/in: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften, Mathematik oder Physik bzw. gleichzuhaltende Qualifikation für Assistent/in: abgeschlossenes oder kurz vor Abschluss stehendes Doktoratsstudium der Sozial- und Wirtschaftswissenschaften oder Mathematik/Statistik mit wirtschaftswissenschaftlicher Ausrichtung bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: für Wissenschaftliche/n Mitarbeiter/in: starkes Interesse am wissenschaftlichen Arbeiten mit Anwendungen im Bereich des Risikomanagements und/oder Versicherungswirtschaft mit dem Ziel der Promotion in Sozial- und Wirtschaftswissenschaften, Bereitschaft zur Unterstützung und Mitarbeit in der Lehre, gute EDV-Kenntnisse, sehr gute Englischkenntnisse für Assistent/in: selbständige Forschungsorientierung mit Interessen im Bereich Risikomanagement und/oder Versicherungswirtschaft mit dem Ziel der Publikation in internationalen Fachzeitschriften, Bereitschaft zur Mitarbeit in der Lehre, sehr gute Englischkenntnisse Kennzahl: 101995 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien ( <mailto:sekretariatpersabt@wu-wien.ac.at> sekretariatpersabt(a)wu-wien.ac.at) zu richten. Ende der Bewerbungsfrist: 19. März 2008 Bitte die Kennzahl unbedingt anführen!

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[VFN] Stellenausschreibung Institut für Risikomanagement und Versicherung
by Alexander Mürmann 20 Feb '08

20 Feb '08

Liebe Kolleginnen und Kollegen, am Institut für Versicherung und Risikomanagement an der WU Wien suche ich die Stelle eines/r wissenschaftlichen MitarbeiterIn zu besetzen. Das Institut ist Teil des Departments für Finanzierung und Rechnungswesen. Ich bitte Sie, untenstehende Ausschreibung zu beachten und an potentielle Kandidaten/Innen weiterzuleiten. Mit bestem Dank und Grüßen, Alexander Mürmann. __________________________________________________ Alexander Mürmann, Ph.D. Professor of Risk Management and Insurance Institute of Risk Management and Insurance Vienna University of Economics and Business Administration Heiligenstädter Str. 46-48, A-1190 Wien, AUSTRIA Phone + 43-1-31336 4948 Fax + 43-1-31336 712 E-Mail <mailto:alexander.muermann@wu-wien.ac.at> alexander.muermann(a)wu-wien.ac.at Im Institut für Versicherungswirtschaft ist voraussichtlich ab 1. April 2008 bis 31. März 2012 eine Stelle für einen wissenschaftlichen Mitarbeiter/eine wissenschaftliche Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen. Wir weisen Sie darauf hin, dass der WU-Personalentwicklungsplan für Wissenschaftliche Mitarbeiter/ Wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist. Notwendige Kenntnisse und Qualifikationen: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften, Mathematik oder Physik bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: starkes Interesse am wissenschaftlichen Arbeiten mit Anwendungen im Bereich des Risikomanagements und/oder Versicherungswirtschaft mit dem Ziel der Promotion in Sozial- und Wirtschaftswissenschaften; Bereitschaft zur Unterstützung und Mitarbeit in der Lehre, gute EDV-Kenntnisse, sehr gute Englischkenntnisse Kennzahl: 100295 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien (sekretariatpersabt(a)wu-wien.ac.at) zu richten. Ende der Bewerbungsfrist: 5. März 2008 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt

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[VFN] conference on Corporate Governance
by Andrea Gaunersdorfer 29 Jan '08

29 Jan '08

The European Corporate Governance Institute (ECGI) is organizing a conference on Corporate Governance in Oxford on 10-11 June 2008. The conference is part of the ECGI Corporate Governance Best Paper Competition. Papers included in the conference will be automatically eligible for inclusion in the Competition. They will also be eligible for fast track reviewing for inclusion in the /Review of Finance/ (RoF) free of charge. You are invited to submit a paper for inclusion in the conference and for consideration by the competition. Details of the competition, the conference, the fast track submission and the procedure by which papers will be selected are available at http://www.ecgi.org/competitions/rof/index.php Papers should be submitted by February 15th.

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[VFN] Reminder: Invitation January 31st: Public Lecture with Mark Seasholes "Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues"
by Gutmann Center-D.Grimm 28 Jan '08

28 Jan '08

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: - apologies for duplicated emails! - Date: January 31st, 2008 (Thursday) - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London Business School and INSEAD http://www.seasholes.com/ Title: TIME VARIATION IN LIQUIDITY: THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES Abstract: We use an 11-year panel of NYSE specialist inventory positions and revenues to study two aspects of financial markets: stock price reversals (temporary mispricings) and liquidity. Understanding when stocks are mispriced and when liquidity is drying up is of key importance to asset managers. We show that as stock prices go up, market-makers sell. As stock prices fall, market-makers buy. Market-makers are compensated for taking on risky positions via stock price reversals. Sorting stocks based on inventory positions predict reversals of 33 basis points over the following week and 45 basis points over the following two weeks. Sorting stocks by current returns and inventory positions can predict reversals of over 85 basis points per week. Combining inventory positions with NYSE specialist revenues allows us to predict liquidity (at the market-level) at a daily frequency. As prices fall, market-makers lose money on current positions. They also increase positions and thus risk. The net result is that market-makers are less willing to provide liquidity. Our tests are done at both the market-level and at the specialist firm level. Our results suggest an important role for market makers' financial positions in explaining the time variation of liquidity. About Mark Seasholes: Mark Seasholes is an Assistant Professor of Finance. He received his BA from Wesleyan University and his AM and PhD degrees from Harvard University. Mark's research focuses on investor behavior around the world. He has written on cross-border equity investments, herding behavior of individual investors, and loss aversion. Current work focuses on the role and pricing of liquidity. One project looks at the systematic liquidity demands of individual investors. A second project studies NYSE specialist inventories (a measure of liquidity provided to the market). Mark studied physics at Wesleyan University. After graduating from college, he spent a number of years working on Wall Street and in the emerging markets of East/Central Europe. He has completed a valuation project in Honduras, helped with the Lloyds of London restructuring, and given a series of lectures in the People's Republic of China. Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to 2007 where he won teaching awards in three programs: Daytime MBA, Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to teach in Executive Education programs where he receives top ratings. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] VGSF research workshop: prof. Susan Christoffersen
by Youchang Wu 23 Jan '08

23 Jan '08

Professor Susan Christoffersen from McGill University is giving a VGSF research seminar on "Fund Flows vs. Family Flows: Evidence from the Cross Section of Brokers" on January 25 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Christoffersen is going to visit BWZ on Jan 25. If you would like to meet her at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Evidence that brokers influence the mutual-fund flows they intermediate suggests that funds’ families make important choices about their use of brokerage. We address these choices by relating the flows in and out of funds to, on one hand, the involvement of brokers who are or aren’t affiliated with the fund, and their revenue-sharing with the family, and on the other hand, the simultaneous flows of other funds in the same family. Among our findings are that affiliated brokers increase recapture of outflows but also cannibalization of inflows, and that consumer sentiment increases the market power of unaffiliated brokers.

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[VFN] VGSF research workshop: Rohit Rahi
by Youchang Wu 14 Jan '08

14 Jan '08

Professor Rohit Rahi from London School of Economics is giving a VGSF research seminar on "Arbitrage Networks" on January 18 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Rahi is going to visit Vienna from Jan 16 to 21. If you would like to meet him, please let me know as soon as possible. Kind regards, Youchang Wu This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit clientele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs. The optimal network for arbitrageurs is of the hub-spoke kind. The equilibrium network, in contrast, is never optimal for arbitrageurs and is never hub-spoke. The reason is that equilibrium networks suffer from a Prisoner’s Dilemma problem that prevents network externalities from being internalized. We show that, as the number of intermediaries grows, equilibrium allocations converge to those of the frictionless complete-markets Arrow-Debreu economy.

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[VFN] Invitation January 31st: Public Lecture with Mark Seasholes "Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues"
by Gutmann Center-D.Grimm 14 Jan '08

14 Jan '08

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[VFN] VGSF research seminar: Alexander Wagner and Jeffrey Zwiebel
by Youchang Wu 08 Jan '08

08 Jan '08

There will be two VGSF research seminars on January 11 at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna: Seminar 1 (14:00-15:30) Speaker: Alexander Wagner (University of Zurich) Topic: The Executive Turnover Risk Premium Seminar 2 (16:00-17:30) Speaker: Jeffrey Zwiebel (Stanford University) Topic: Executive Pay, Hidden Compensation, and Managerial Entrenchment Both papers can be downloaded from the VGSF homepage (Activities & Events--> Research Seminars). The abstracts are attached below. Alexander and Jeff will visit VGSF on Friday (Jan 11) morning. If you would like to meet them at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Abstract 1: Executive compensation has increased dramatically over the past 15 years, but so has forced CEO turnover. Previous research shows that fired CEOs do poorly later on in their careers and some forfeit their previous compensation. We argue that these adverse consequences of forced turnover explain part of the secular rise and cross-sectional variation of CEO pay. We fnd a large premium for exogenous turnover risk for the CEOs of the largest US corporations for the years 1993-2001: a one-percentage point increase in the probability of involuntary turnover is associated with about 10 percent more in terms of risk-neutral compensation. We show that this relation is unlikely to be driven by reverse causation or a general tendency towards stronger performance sensitivity of both pay and turnover. Abstract 2: We consider a "managerial optimal" framework for top executive compensation, where top management sets their own compensation subject to limited entrenchment, instead of the conventional setting where such compensation is set by a board that maximizes firm value. Top management would like to pay themselves as much as possible, but are constrained by the need to ensure sucient effciency to avoid a replacement. Shareholders can remove a manager, but only at a cost, and will therefore only do so if the anticipated future value of the manager (given by anticipated future performance net of future compensation) falls short of that of a replacement by this replacement cost. In this setting, observable compensation (salary) and hidden compensation (perks, pet projects, pensions, etc.) serve different roles for management and have different costs, and both are used in equilibrium. We examine the relationship between observable and hidden compensation and other variables in a dynamic model, and derive a number of unique predictions regarding these two types of pay. We then test these implications and find results that generally support the predictions of our model.

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