Leopold Sögner from the Vienna University of Technology is giving a VGSF
research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS
Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
ABSTRACT
We provide a thorough investigation of the US corporate credit default swap
(CDS) market. We take a full parametric approach with an observable,
multi-factor, affine reduced-form model that accommodates jumps in the
riskless, as well as default-risky discount rates. Our empirical results
reveal that a multifactor formulation is imperative for fitting, both, the
time-series and in particular the cross-section of CDS premia. Model implied
loss given default (LGD) is well identified; it appears to be positively
related to a firm's credit quality. Incorporation of jumps significantly
improves the model's capability to reproduce the time-series behavior of CDS
premia.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: January 25th, 2007, 4.00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management
http://personal.anderson.ucla.edu/pedro.santa-clara/
Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS?
Abstract:
We propose a novel approach to optimizing portfolios with large numbers
of assets. We model directly the portfolio weight in each asset as a
function of the asset's characteristics. Our approach is computationally
simple, easily modified and extended, produces sensible portfolio
weights, and offers robust performance in and out of sample. In
contrast, the traditional approach of first modeling the joint
distribution of returns and then solving for the corresponding optimal
portfolio weights is not only difficult to implement for a large number
of assets but also yields notoriously noisy and unstable results.
About Pedro Santa-Clara:
Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson
School of Management, where he has been since 1996. He received his
Ph.D. degree in Management from INSEAD, France. He is a research
associate of the National Bureau of Economic Research and an associate
editor of the Journal of Financial and Quantitative Analysis, Journal of
Business and Economic Statistics, and Management Science.
Professor Santa-Clara's research interests are focused on theoretical
models of asset pricing and the development of econometric methods to
estimate them, particularly in the areas of equity and bond pricing,
option valuation, and portfolio choice. His contributions, including the
string model of the term structure, the MIDAS model of conditional
variance, and dynamic portfolio choice by extending the asset space,
have gained wide acceptance by academics and finance professionals. His
research has been published in the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and other leading
journals in Economics and Finance.
Professor Santa-Clara founded Atrium Investments, an asset management
company and has worked as a consultant to multiple investment banks and
hedge funds on pricing derivatives and developing investment strategies.
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
Die Donau-Universität Krems ist Europas einzige staatliche Weiterbildungsuniversität und Österreichs führender Anbieter postgradualer Master-Studien. Mehr als 3.000 Studierende sind in über 120 Universitätslehrgängen eingeschrieben.
Zur Verstärkung im Department für Wirtschafts- und Managementwissenschaften/Zentrum für Finance suchen wir ab sofort eine/n engagierte/n
Wissenschaftliche/r Mitarbeiter/in
38,5 Stunden pro Woche
Ihre Aufgaben:
* Mitwirkung bei der Durchführung von Universitätslehrgängen
* Betreuung der Studierenden
* Unterstützung bei der Planung und Durchführung von Forschungsprojekten
Ihr Profil:
* abgeschlossenes Hochschulstudium im Bereich Wirtschaftswissenschaften, vorzugsweise mit Schwerpunkt Finanzwirtschaft/Finance
* ausgewiesene Kenntnisse in der Finanzwirtschaft/Finance, insbesondere in der empirischen Kapitalmarktforschung
* ausgezeichnete Englischkenntnisse
* Teamfähigkeit sowie ausgeprägte kommunikative Kompetenzen
Ihre Perspektive:
Freuen Sie sich auf eine anspruchsvolle Tätigkeit in einem kreativen, hoch motivierten Team. Gestalten Sie mit uns die erfolgreiche Zukunft der jüngsten Universität Österreichs.
Wir freuen uns auf Ihre überzeugende Bewerbung! Wenden Sie sich bitte schriftlich bis spätestens 29.12.2006 an die Personalabteilung der Donau-Universität Krems, Dr.-Karl-Dorrek-Straße 30, A-3500 Krems, astrid.adam(a)donau-uni.ac.at
Denis Gromb from London Business School is giving a VGSF research seminar on
"Financially Constrained Arbitrage and the Cross-section of Market
Liquidity" (no paper available) on FRIDAY, Dec. 15th, from 13:00 to 14:30 at
the WU Wien (Seminarraum A619 - 6th floor Red Sector, UZA 4, Nordbergstrasse
15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan).
Denis is going to be in Vienna during the entire week. Please contact
Michael Halling if you would like to talk to him.
Best,
Michael Halling
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
www.vgsf.ac.at
offers
PhD SCHOLARSHIPS IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance - a joint initiative of the
University of Vienna, the Institute for Advanced Studies, Vienna, and
the Wirtschaftsuniversität Wien - invites applications for its PhD
Program in Finance. The VGSF offers a stimulating learning and research
environment plus financial support to outstanding students from around
the world. VGSF graduates can look forward to a rewarding career at
leading academic institutions.
FACULTY
The VGSF faculty is very well connected in the academic finance
community and complemented by leading international finance scholars.
For example, 2006/07 courses will be taught by Tomas Björk, Nicolae
Garleanu, Ruey Tsay, Jan Werner, and Toni Whited. In addition,
international scholars are regularly invited to present their current
research in the VGSF finance research seminar.
PROGRAM
The VGSF PhD-program in Finance is a four-year program which consists of
two years of rigorous coursework and two years work on the PhD-thesis.
All courses are taught in English. In addition to excellent language
skills, good skills in mathematics and statistics are advantageous to
successfully complete the program.
APPLICATION
The program is open for students from all countries with all academic
specializations, provided they hold a Master degree or equivalent and
have a sufficient level of formal training. Applicants should take a GRE
and/or GMAT and a TOEFL test, and provide proof of basic proficiency in
finance and/or economics (based on either the degree they hold or a
sample of original written work). The application package must also
contain a statement of purpose, as well as copies of any certificates
and diplomas obtained during prior studies, along with certified
translations into English. Finally, each applicant should arrange for at
least two letters of reference to be sent directly to the address below.
SCHOLARSHIP
Successful applicants will receive financial support. Approximately 4-6
scholarships are offered for the curriculum starting in September 2007.
Please send your application package no later than February 15th, 2007,
to the following address:
VGSF - Prof. Dr. Josef Zechner
University of Vienna, Department of Finance, Brünnerstrasse 72, 1210
Vienna (Wien), Austria.
FOR FURTHER DETAILS AND AN APPLICATION FORM PLEASE SEE:
http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at
Department of Finance at the University of Vienna
invites participation in Guest Lecture on
China's Macroeconomy and Monetary Policy under Globalization
Speaker: Prof. Dr. Gang Yi, assistant governor of People's Bank of China,
professor of economics at Beijing University
Time: Dec. 4th (Monday), 2006. 11:00-12:30
Location: Palais Coburg, Coburgbastei 4/1, Vienna (ISK wien)
about Prof. Gang Yi:
Gang Yi is assistant governor of People's Bank of China (the central bank of
China) and professor of economics at Beijing University. Professor Yi holds
a Ph.D in economics from University of Illinois. Before returning to China
in 1994, he was associated professor (with tenure) at Indiana University,
Indianapolis. His research focuses on macroeconomy, monetary policy and
financial markets.
Best regards,
Youchang Wu
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology
(Caltech)
http://www.hss.caltech.edu/~pbs/
Title: NEURO-FINANCE
Abstract:
Finance has always treated humans as black boxes, whereby behavioral
rules are either imposed by decision theory (neoclassical finance) or
derived from observation of actual or hypothetical choice (behavioral
finance). In contrast, neuro-finance attempts to understand behavior by
examining the physiological processes in the human brain when exposed to
financial risk. The talk will illustrate this with the recent discovery
that the brain analyzes monetary gambles by separately encoding their
expected payoff and the payoff variance (even when subjects have never
heard of these concepts). As such the brain uses the same inputs as
Markowitz' portfolio theory. This is in sharp contrast with economics
(which includes Prospect Theory), which represents desirability of
gambles through scores on a single-dimensional utility scale.
About Peter Bossaerts:
Peter Bossaerts is William D. Hacker Professor of Economics and
Management and Professor of Finance at the California Institute of
Technology (Caltech). At present, he is at the Université de Lausanne as
Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD
in Management (Finance) from UCLA. His current research area is
experimental finance, in particular, neuro-finance. He investigates
cognitive biases and their impact on asset prices, through observation
of individual behavior, observation of price formation in large-scale
experimental financial markets, and through analysis of brain activation
while individuals face financial risk.
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
Peter Bossaerts from CalTech (California Institute of Technology) is giving
a VGSF research seminar on "EQUILIBRATION UNDER COMPETITION IN SMALLS:
THEORY AND EXPERIMENTAL EVIDENCE" on FRIDAY, Dec. 1st, from 15:30 to 17:00
at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Monday and Tuesday (Dec. 4th and 5th).
Please contact Michael Halling if you would like to talk to Peter.
Best,
Michael Halling
Abstract
Many real-world markets are competitive only in smalls, taken to mean that
price taking applies only to small orders. Starting from this observation, a
theory of equilibration is derived where orders are optimal merely in a
local sense. Prices are assumed to adjust in the direction of the order
imbalance. In the context of financial markets populated with mean-variance
optimizing agents, the theory predicts that a security's price will
correlate with excess demands in other securities, and the sign of this
correlation is the same as that of the covariance of the final payoffs. In
the short run, prices tend to a local equilibrium where the risk-aversion
weighted endowment portfolio (RAWE) is mean-variance optimal. Relative to
the market portfolio, RAWE overweighs securities that are held
disproportionally by more risk averse agents; RAWE puts less weight on
securities that are held primarily by more risk tolerant agents. Throughout
equilibration, portfolio separation is violated generically, and violations
are more extreme when payoff covariances are positive. For a variety of
patterns of initial allocations (including identical initial holdings), the
equity premium is larger at the outset than at (CAPM) equilibrium. All these
implications are confirmed in experiments.
Youchang Wu from the University of Vienna is giving a VGSF research seminar
on "Intermediated Investment Management" on FRIDAY, Nov. 24th, from 15:30 to
17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090
Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
Abstract
Investment advisers perform the role of assisting clients with their
investments and distributing portfolio management services. While the vast
majority of clients employ advisory services, an important issue is how well
advisers perform in this capacity. Our theoretical model analyzes the
impacts on portfolio performance, fund flows, fund sizes and welfare from
the use of advisers. An important aspect of our analysis is the extent to
which conflicts of interest such as influence activity can bias the asset
allocation decisions of advisers. Interestingly advisory services are
utilized to a greater extent under this circumstance. We show that
investment advisers help to improve social welfare, but much of the welfare
gain is extracted by the portfolio manager. When influence activity is
feasible, investors welfare is adversely affected by the presence of
advisers.
A doctoral position ("Wissenschaftlicher MitarbeiterIn in Ausbildung")
is available at the Department of Finance (Prof. Zechner). The first
contract would be until July 31st 2007 but there is a significant chance
that the contract can be extended. Interested candidates should apply at
Personalabteilung <http://www.univie.ac.at/personalabteilung> der
Universität Wien <http://www.univie.ac.at/>, Dr. Karl Lueger-Ring 1,
A-1010 Wien. *Kennzahl: 37565/MB***
*Prerequisite for Employment:* Degree in Business Administration or
Economics (Diplom- oder Magistergrad).
Please observe the SHORT DEADLINE: November 27^th , 2006
For more information you may contact
Martina Schlichting
University of Vienna
Department of Finance
Brünner Straße 72
1210 Vienna
Austria
Tel.: +43 (0)1 4277-38072
Fax: +43 (0)1 4277-38074
E-Mail: martina.schlichting(a)univie.ac.at
<mailto:martina.schlichting@univie.ac.at>
www.univie.ac.at/finance