VFN-L

vfn-l@fam.tuwien.ac.at

1159 discussions

[VFN] Call for Research Proposals for the 2nd Annual GARP Risk Management Research Program
by Eugen Puschkarski 27 Dec '07

27 Dec '07

GARP SPONSORS RISK MANAGEMENT RESEARCH GARP advances practitioner-oriented research in risk management Contact: Greg Winsper Global Association of Risk Professionals Phone 201.719.7240 Fax 201.222.5022 111 Town Square Suite 1215 Jersey City, NJ 07310 New York, London; December 17, 2007: The Global Association of Risk Professionals (GARP: www.garp.com ( http://www.garp.com/ )), a leading professional Association dedicated to the advancement of the financial risk profession, announced today a Call for Research Proposals for the 2nd Annual GARP Risk Management Research Program. The GARP Risk Management Research Program seeks to fund research projects that offer unique approaches for current global risk management issues that ultimately bridge the gap between theory and practice. Areas of particular interest for 2008 include credit risk measurement and management (particularly focused on mortgages, securitization or liquidity), risk management in emerging markets and energy risk management. A Research Committee made up of risk management practitioners, academics and researchers will select at least 5 research proposals to fund in 2008. The Research Committee is co-chaired by Professors René Stulz of The Ohio State University and Peter Tufano of Harvard University. Selected research proposals will be notified in May 2008, and recipients will receive a grant of USD $12,000. *As a thought-leader in risk management, GARP seeks to support the *new and noteworthy* in risk management research. Last year we received proposals from researchers in 13 countries representing the best research institutions globally, and we expect even greater and broader participation this year.* states Chris Donohue, PhD, Managing Director of the GARP Research Center. GARP will accept research proposals through the end of March 2008. Additional information on the GARP Risk Management Research Program is available on the GARP website at www.garp.com/university/Research.asp. GARP recently launched other initiatives to advance financial risk management research. GARP now sponsors the GARP Risk Management Research Award, presented at the annual meeting of the European Financial Management Association (EFMA) to an outstanding paper in the field of financial risk management, and the Best Dissertation in Risk Management Award, presented at the annual meeting of the Financial Management Association (FMA). Recep Bildik, PhD, Senior Researcher in the GARP Research Center, notes, *These initiatives demonstrate GARP*s commitment to keeping the academic community engaged in the most relevant topics to risk management practitioners.* About GARP Research Center The GARP Research Center serves as the driving force for practitioner-oriented research by illuminating future trends and opportunities, supporting and conducting research, and sharing these activities with the risk management community around the world. The Research Center focuses on thought leadership and aims to be a recognized bridge between the academic research and practitioner communities. For more information about the GARP Research Center and its sponsorship of risk management research, please visit www.garp.com/university/research.asp. About GARP The Global Association of Risk Professionals (GARP) is a not-for-profit independent association of over 67,000 risk mana gement practitioners and researchers representing banks, investment management firms, government agencies, academic institutions, and corporations from more than 167 countries worldwide. It also administers the Financial Risk Manager (FRM*), the world*s premier certification for the financial risk professional. GARP*s mission is to be the leading professional association for risk managers, managed by and for its members dedicated to the advancement of the risk profession through education, training and the promotion of best practices globally. www.garp.org ( http://www.garp.org/ )

1 0

[VFN] OeAW: Paul Embrechts: Quantitative Risk Management
by Andreas Schamanek * VFN-L admin 21 Dec '07

21 Dec '07

---------- Forwarded message ---------- Date: Fri, 21 Dec 2007 15:09:36 +0100 (CET) From: Marianne Baumgart @oeaw.ac.at Subject: Einladung Embrechts --------------- EINLADUNG --------------- zum nächsten Vortrag im Rahmen der Johann Radon Lectures 2007/08 der Österreichischen Akademie der Wissenschaften (ÖAW) Mittwoch, 9. Jänner 2008, 18:15 Uhr Österreichische Akademie der Wissenschaften, Festsaal 1010 Wien, Dr. Ignaz Seipel-Platz 2 Paul EMBRECHTS, ETH Zürich spricht zum Thema Quantitative Risk Management (QRM) << Über Mathematik und Risiko bei Banken und Versicherungen: Auch in der Welt der Banken und Versicherungen findet sich eine Vielzahl von Beispielen für den heutigen Drang nach Akronymen. Relevant für diesen Vortrag sind die folgenden: QRM (Quantitative Risk Management), ERM (Enterprise Risk Management), GRM (Global Risk Management). QRM befasst sich mit der Fragestellung der quantitativen Analyse von Risiken. Aufsichtsrechtliche Gremien sind ein starker Antrieb für Banken und Versicherungen diese Quantifizierung voran zu treiben. Auf Basis dieser Analyse wird Risikokapital berechnet um mit hoher Wahrscheinlichkeit unerwartete Marktereignisse abfangen zu können. Im Vortrag werden folgende Themen aus dem Bereich des QRM herausgegriffen: Value-at-Risk, Extremalereignisse, Abhängigkeitsmodellierung, Risikoaggregation, Operationelles Risiko. Eine entscheidende Frage für die Praxis ist die Differenzierung zwischen Finanzrisiken, die sich sinnvoll quantitativ erfassen lassen und solchen, bei denen ausschließlich eine qualitative Beschreibung Sinn macht. Neben der quantitativen Messung von Risikozahlen ist auch ihre Aggregation eine wichtige Aufgabe der QRM, deren Lösung anspruchsvolle Mathematik erfordert. Die fundamentale Rolle der Mathematik in den Bereichen der Preisbestimmung und Absicherung von Finanzderivaten (Optionen, Kreditderivate, Swops...) ist unbestritten. Die Hauptthese ist, dass auch bei regulatorischen Fragestellungen aus den Bereichen der Finanz- und Versicherungsaufsicht die Mathematik nicht weg zu denken ist. Anhand mehrerer Beispiele wird versucht diese These zu belegen. Ein wichtiges Korollar ist die Tatsache, dass die Bedeutung von gut ausgebildeten Studenten aus der angewandten Mathematik für die Wirtschaft groß bleiben wird. Schlussendlich bieten Fragestellungen des QRM eine Fülle von äußerst interessanten und anspruchsvollen Forschungsproblemen. Moderator: Walter Schachermayer (TU Wien, ÖAW) Veranstalter: ÖAW und Industriellenvereinigung Wien Weitere Informationen zu den Johann Radon Lectures finden Sie unter: http://www.oeaw.ac.at/shared/news/2007/info_johann_radon_lectures.html Folder & Plakat: http://www.oeaw.ac.at/shared/news/2007/pdf/radon_folder.pdf http://www.oeaw.ac.at/shared/news/2007/pdf/radon_plakat.pdf ---------------------------------------------- Dr. Marianne Baumgart Österreichische Akademie der Wissenschaften Austrian Academy of Sciences Öffentlichkeitsarbeit Public Relations A-1010 Wien, Dr. Ignaz Seipel-Platz 2 Tel: ++43-1-51581-1219 Fax: ++43-1-51581-1227 http://www.oeaw.ac.at/pr

1 0

[VFN] VGSF research seminar:prof. Sheridan Titman
by Youchang Wu 10 Dec '07

10 Dec '07

Sheridan Titman from University of Texas at Austin is giving a VGSF research seminar on "Financial Structure, Liquidity, and Firm Locations" on December 12, Wednesday, from 11:00 to 12:30, at HS 12, BWZ, Bruennerstrasse 72, A-1210 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Please note the special time and location of this seminar!!! Professor Titman is visiting BWZ on December 10-12. If you would like to talk to him at BWZ, please let me know as soon as possible. Best, Youchang This paper investigates the relation between a firm’s location and its corporate finance decisions. We develop a simple model where being located within an industry cluster increases opportunities to make acquisitions, and to facilitate those acquisitions, firms within clusters maintain more financial slack. Consistent with our model we find that firms that are located within industry clusters tend to make more acquisitions, and have lower debt ratios and larger cash balances than their industry peers located outside clusters. In addition, we document that firms in growing cities and technology centers also maintain more financial slack. Overall, these findings, which reveal systematic patterns between geography and corporate finance choices, suggest the importance of growth opportunities in firms’ financial decisions.

1 0

[VFN] Habilitationskolloquium Dr. Markus SCHWAIGER
by Brigitte Krammer 10 Dec '07

10 Dec '07

Liebe Kolleginnen und Kollegen! In meiner Eigenschaft als Vorsitzender der Habilitationskommission von Herrn Dr. Markus Schwaiger lade ich Sie sehr herzlich zum öffentlichen Habilitationsvortrag und Habilitationskolloquium ein. Der Habilitationsvortrag von Dr. Markus Schwaiger zum Thema Determinanten der Zinsmargenreduktion in der europäischen Bankenlandschaft am Beispiel von Lokalbanken findet am Dienstag, 18. Dezember 2007, um 9.00 Uhr, im UZA 1, großer Sitzungssaal, Kern D, 2. OG., statt. Das öffentliche Habilitationskolloquium wird im Anschluss an den Habilitationsvortrag am selben Ort abgehalten. Mit herzlichen Grüßen Stefan Bogner eh. =================================================== Brigitte Krammer Wirtschaftsuniversität Wien, Vienna University of Economics and Business Administration Büro des Senats, Senate Office Augasse 2-6, A-1090 Wien Tel: +43 1 31336-5322 Fax: +43 1 31336-792 E-Mail: brigitte.krammer(a)wu-wien.ac.at ===================================================

1 0

[VFN] Visiting Professorship in Finance
by Andrea Gaunersdorfer 07 Dec '07

07 Dec '07

Dear colleagues, the Faculty of Faculty of Business, Economics and Statistics at the University of Vienna invites applications for a Visiting Professorship in Finance. For further information please visit http://personalabteilung.univie.ac.at/index.php?id=11879&no_cache=1 (German) or http://personalabteilung.univie.ac.at/index.php?id=11960 (English) Sincerely, Andrea Gaunersdorfer

1 0

[VFN] VGSF research seminar: prof. Kristian Miltersen
by Youchang Wu 05 Dec '07

05 Dec '07

Professor Kristian Miltersen from Norwegian School of Economics and Business Administration is giving a VGSF research seminar on "REAL OPTIONS WITH UNCERTAIN MATURITY AND COMPETITION" on December 7 (Friday, 15:30-17:00), at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Kristian will visit BWZ on Dec 5-7. If you would like to meet him at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu Abstract. We develop a new approach to dealing with real options problems with uncertain maturity. This approach is highly applicable to analyze R&D investments and mine or oil exploration projects. These projects are characterized by signi.cant on-going investment costs until completion. Since time to completion is uncertain, the total investment costs will also be uncertain. Despite the fact that these projects include complicated American abandonment/switching options until completion and European options at completion (because of .xed .nal investment costs) we obtain simple closed form solutions. We apply the framework to situations in which the owner of the project has monopoly rights to the outcome of the project, and to situations in which there are two owners who simultaneously invest, but where only one of them may obtain the rights to the outcome. We expand the real options framework to incorporate game theoretic considerations, including a generalization of mixed strategies to continuous-time models in the form of abandonment intensities.

1 0

[VFN] Reminder:Dec. 13th: Public Lecture with Michael Brandt: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT: CREDIT QUALITY OR LIQUIDITY?
by Gutmann Center-D.Grimm 04 Dec '07

04 Dec '07

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: - apologies for duplicated emails! - Date: December 13th (Thursday), 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Michael BRANDT, Duke University http://www.duke.edu/~mbrandt Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT: CREDIT QUALITY OR LIQUIDITY? Abstract: Do government bond investors demand credit quality or liquidity? The answer is both, but at different times and for different reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit quality and liquidity across countries, Professor Brandt and coauthors show that the bulk of sovereign yield spreads is explained by differences in credit quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by liquidity. Professor Brandt and coauthors conclude that credit quality matters for bond valuation but that, in times of market stress, investors demand liquidity, not credit quality. About Michael Brandt: Michael W. Brandt is a Professor of Finance and the Finance Area Coordinator at the Fuqua School of Business of Duke University. His is also a Research Associate of the National Bureau of Economic Research (NBER). Professor Brandt's research on quantitative portfolio management, the response of financial markets to news, the role of order flow in price discovery, and the link between financial markets and the macro economy has appeared in leading academic journals. Professor Brandt received the 2001 FAME Research prize for best paper on asset management and finance engineering presented at the American, Western, and European Finance Association meetings and the 2003 Barclays Global Investor prize for best symposium paper presented at the European Finance Association meeting. He is an associate editor of the Journal of Finance, Management Science, and Journal of Econometrics. He is a member of several corporate advisory boards and a consultant to a number of financial institutions. He received an M.Sc. in Economics from the London School of Economics and an M.B.A. and Ph.D. in Finance from the University of Chicago. Prior to joining the Fuqua School of Business, Professor Brandt was on the faculty of the Wharton School of the University of Pennsylvania. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

1 0

[VFN] GARP Austrian chapter meeting Monday, December 17th, 2007
by Eugen Puschkarski 29 Nov '07

29 Nov '07

The Global Association of Risk Professionals (GARP) is pleased to announce an Austrian chapter meeting Monday, December 17th, 2007 Time: 6:00 p.m. * 8:30 p.m. Vienna University of Technology Wiedner Hauptstraße 8-10 Green Area, 7th floor, Zeichensaal 3 1040 Vienna Refreshments Please invite colleagues who you think would be interested in attending. We ask only that they register to attend. Registration is desired so that we can plan accordingly. Please register at www.garp.com Topics: I. Ex post risk attribution in a value-at-risk framework Speaker: Eugen Puschkarski (Oesterreichische Nationalbank) Abstract: We will first describe a general procedure to decompose time-variation in Value-at-Risk from one reporting period to the next. Then, using standard methodology from the field of performance attribution, we analytically show how the new VaR Risk Attribution Model (RAM) ascribes these changes to an active trading factor, a market risk changes factor, a passive time decay factor and a resulting cross-product. With a slightly simplified version of the RAM, we subsequently demonstrate how behavioural risk-taking patterns can be detected in practice. We highlight the relevance of using a RAM for central banks and subsequently set the presented RAM into the context of existing risk attribution methods. Eugen Puschkarski is currently a Risk Manager in the Treasury Division at Oesterreichische Nationalbank, Vienna, Austria, where he has worked since 1999. His areas of specialization are Market Risk Measurement, Quantitative Research on Asset Allocation, Pricing Models and Econometric Research. Prior to that, he was in charge of Sales and Support of the Risk Management programs SAILFISH and KONDOR+ in the Risk Management Division at REUTERS America Inc. He earned his Postgraduate in Finance at the Center for Central European Financial Markets and studied International Business Administration at the University of Vienna, Austria. In 2007 Eugen Puschkarski was appointed as co-director of GARP chapter Austria. II. Overview of and personal experience with the FRM exam III. Discussion Mag. Eugen Puschkarski ______________________________________________________________ Oesterreichische Nationalbank (Austria's Central Bank) Treasury - Strategy Division Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria Phone (+43-1) 40420-4419 Fax (+43-1) 40420-4499 e-mail: Eugen.Puschkarski(a)oenb.at http://www.oenb.at ______________________________________________________________

1 0

[VFN] VGSF reasearch workshop: Vikram Nanda
by Youchang Wu 28 Nov '07

28 Nov '07

Professor Vikram Nanda from Arizona State University is giving a VGSF research seminar on "Are Incentive Contracts Rigged by Powerful CEOs?" on November 30 (Friday, 15:30-17:00), at the Institute for Advanced Studies(SZ VI), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Vikram will visit BWZ on Nov 30. If you would like to meet him at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu We argue that powerful CEOs extract rents by rigging the incentive part of their pay. In particular, we contend that CEOs induce their boards to shift the weight on performance measures towards the better performing measures. The intuition is developed in a simple model in which some powerful CEOs exploit superior information and lack of transparency in compensation contracts to extract rents. Our model delivers several testable implications: (1) powerful CEOs are more likely to rig their incentive pay; (2) rigging is expected to increase with CEO human capital intensity and uncertainty about a firm’s future prospects; and (3) firm performance is expected be negatively affected by rigging. Using measures of CEO power and board independence on a large panel of firms in the U.S., we find support for all our predictions. Rigging accounts for 57% of the sensitivity of compensation to performance measures and is increasing in CEO human capital and volatility of a firm’s future prospects. Moreover, the portion of incentive pay that is predicted by power is associated with negative subsequent future profitability of the order of 1.7% per year (a drop of 39% from the sample mean). Overall, our empirical evidence rejects the theory that incentives serve as a substitute for low monitoring in firms with powerful CEOs, supporting instead the theory that CEOs with power can skim rents at the expense of shareholders.

1 0

[VFN] December 13th: Public Lecture with Michael Brandt: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT: CREDIT QUALITY OR LIQUIDITY?
by Gutmann Center-D.Grimm 23 Nov '07

23 Nov '07

1 0

Jump to page:

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

VFN-L