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1159 discussions

[VFN] 21. Austrian Working Group on Banking and Finance
by Alexander Brauneis 13 Sep '06

13 Sep '06

Sehr geehrte Damen und Herren, ich darf Sie auf folgende Veranstaltung aufmerksam machen: 21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 24. / 25. November 2006 ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT Last CALL for PAPERS http://www.uni-klu.ac.at/fgk/assets/images/AWG/AWG-21_CfP.pdf Bitte REGISTRIEREN Sie Ihre Teilnahme unter http://www.uni-klu.ac.at/fgk/html/Anmeldeformular.html Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem 25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at eingereicht werden. Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 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: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of (Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance - Financial Innovations - Financial Markets Research - International Banking and Finance - Investment Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk Management - Security Analysis.

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[VFN] Workshop on Optimisation & Stochastic Programming
by Xiaochen Sun 03 Aug '06

03 Aug '06

(Apologies for any cross-listings!) Business Applications of Optimisation, Stochastic Programming & Portfolio Planning: *Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using SCRIPTING and COM Objects, 16 - 17 October, CARISMA, Brunel University, West London *Decision Making under Uncertainty: Stochastic Programming, 18 - 19 October, CARISMA, Brunel University, West London *Financial Planning Using Integer Quadratic Programming, 20 October, CARISMA, Brunel University, West London Dear Colleague We are pleased to announce the above workshops, which are organised by CARISMA, Brunel University, OptiRisk Systems and UNICOM Seminars. The workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, quantitative analysts, risk analysts, DSS application developers, consultants, and academic researchers. The courses will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL Modelling System, CPLEX, FortMP, FortSP and SPInE. They are most comprehensive and cover the latest developments in the field, with plenty of hands-on examples, which help you develop stochastic programming applications for your sector, be it financial planning, portfolio selection, supply chain, or energy systems planning. Guest Presentation: *Scenario Generation - Hidden Markov Model Enza Messina, University of Milan, Italy *Sloving Integer Stochastic Programming Suvrajeet Sen, University of Arizona, USA For further details please go to www.unicom.co.uk/optimise, either download brochure or email mapgxcs(a)brunel.ac.uk for a PDF filer. We look forward to welcoming you to the workshops; please also make your colleagues aware of it. Thank you. Best regards CARISMA ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Middlesex Uxbridge, UB8 3PH United Kingdom * xiaochen.sun(a)brunel.ac.uk http://people.brunel.ac.uk/~mapgxcs http://mam3xs.blogspot.com/ ((+44) (0)1895 265625 ((+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] Workshop Risikomanagement
by Michael Hanke 01 Aug '06

01 Aug '06

Sehr geehrte Damen und Herren, am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop zum Thema Risikomanagement statt. Organisiert wird der Workshop vom Institut für Banken und Finanzen der Universität Innsbruck. Als Keynote Speaker konnte Frau Prof. Uhrig-Homburg von der Universität Karlsruhe gewonnen werden. Nähere Informationen und einen Call for Papers finden Sie unter http://www.uibk.ac.at/congress/krm/ Wir würden uns freuen, Sie im November in Obergurgl begrüßen zu dürfen. Mit besten Grüßen aus Tirol, Matthias Bank & Michael Hanke -- Univ.Prof. Dr. Michael Hanke University of Innsbruck Department of Banking and Finance Universitaetsstrasse 15 6020 Innsbruck, Austria Phone: +43 512 5077552, Fax: +43 512 5072846

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[VFN] [ccfz] Credit Risk Summit (New York , 20 Oct 2006) (fwd)
by Walter Schachermayer by way of Andreas Schamanek 26 Jul '06

26 Jul '06

---------- Forwarded message ---------- Date: Mon, 24 Jul 2006 16:15:37 +0200 (CEST) From: Walter Schachermayer ---------- Forwarded message ---------- Date: Thu, 20 Jul 2006 17:22:28 -0400 From: creditrisk <creditrisk(a)finance-concepts.com> Subject: [ccfz] Credit Risk Summit (New York , 20 Oct 2006) FINANCE CONCEPTS and STANDARD & POORS are pleased to announce a forthcoming CREDIT RISK SUMMIT conference The state of the art in credit and correlation modelling New York, October 20th 2006 Download brochure: http://www.finance-concepts.com/training/CreditRisk2006.pdf This event will bring together world experts in the field of credit risk modelling with the aim of presenting the state of the art in quantitative approaches to credit risk and credit derivatives, aimed at investors, market participants and quantitative analysts involved with credit risk. * Speakers: DAMIANO BRIGO, Banca IMI RAMA CONT, Ecole Polytechnique SANJIV DAS, Santa Clara University ARNAUD DE SERVIGNY, Standard & Poors CRAIG FRIEDMAN, Standard & Poors IBRAHIMA KOBAR, IXIS Asset Management DAVID LI, Barclays Capital ALEX LIPTON, Merrill Lynch SVEN SANDOW, Standard & Poors PHILIPP SCHÖNBUCHER, ETH Zürich JAKOB SIDENIUS, JP Morgan STAN URYASEV, University of Florida NICOLAS VICTOIR, JP Morgan Topics covered: * Credit derivatives: pricing and risk management of credit default swaps, single tranche CDOs * Next generation credit products: options on CDO tranches, forward starting tranche swaps, CMCDS * Recent advances in modelling and measurement of default risk * Structured credit products: structuring of synthetic CDOs, actively managed CDOs * Credit rating methodologies for single tranche CDOs and structured credit derivatives * Correlation book management * Cash CDOs: structuring and management * INFORMATION AND REGISTRATION: For information on registration please download the conference brochure on http://www.finance-concepts.com In order to enhance the interaction between participants and speakers, the number of participants is limited and request for registration will be treated in the order of their arrival. We therefore kindly request interested participants to send in their registration as soon as possible but no later than the REGISTRATION DEADLINE: September 30th 2006. For more information please visit our web site http://www.finance-concepts.com or contact us by email: creditrisk(a)finance-concepts.com Finance Concepts Your partner in risk management PARIS - NEW YORK http://finance-concepts.com/ Tel: +33 1 53761146 E-mail: creditrisk(a)finance-concepts.com Fax: +33 1 45016510 _______________________________________________ ccfz mailing list ccfz(a)math.ethz.ch https://mailman.math.ethz.ch/mailman/listinfo/ccfz

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS (EMNet 2007), Conference, Erasmus University Rotterdam, June 2007
by Windsperger Josef 09 Jul '06

09 Jul '06

First Announcement The third international conference on Economics and Management of Networks (EMNet) will take place at the Erasmus University Rotterdam (Rotterdam School of Management), The Netherlands, from June 28 to June 30, 2007. EMNet conferences serve to promote communication and awareness among researchers in economics and management and provide a forum to present current research and to discuss issues of common interest, such as relevant developments in organizational economics and management. The content of EMNet conferences include all forms of networks, such as franchising, joint ventures, virtual organizations, strategic alliances, cooperative networks, clusters, venture capital relations and other forms of hybrids. The call for papers will be sent out in September. Conference information can be found at: http://www.univie.ac.at/EMNET. The latest book from the EMNet-Conference in Budapest on 'ECONOMICS and MANAGEMENT of NETWORKS: Franchising, Strategic Alliances and Cooperatives' (ed. by G. Cliquet, G. Hendrikse, M. Tuunanen, J. Windsperger) will be published in September 2006 (see further information on the web page: http://www.univie.ac.at/EMNET/2005/index2005.htm) Best regards, Josef Windsperger University of Vienna Center of Business Studies Josef.windsperger(a)univie.ac.at -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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[VFN] VGSF Research Seminar by Li Jin (Harvard Business School) on Friday, June 30th
by Michael Halling 24 Jun '06

24 Jun '06

Prof. Li Jin from the Harvard Business School is giving a VGSF research seminar on "Managerial Career Concern and Mutual Fund Short-termism" on FRIDAY, June 30th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Li is going to be in Vienna for the entire week. If you like to meet him and to discuss your research with him, please contact me. Best, Michael Halling Abstract Mutual fund investors reward short run performance with large inflows. Fund managers facing strong performance-related flows are shown to focus more on short horizon investments. Further tests of causality suggest that fund managers short investment horizons are caused by their investors short horizons, but not the other way around.

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[VFN] Reminder Invitation June 29th: Public Lecture with Prof. Ananth Madhavan "Transaction Cost Modeling as a Source of Alpha"
by Gutmann Center-D.Grimm 23 Jun '06

23 Jun '06

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: June 29th, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI) Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA Abstract The impact of realized transaction costs on portfolio performance is now well recognized. Less well understood, however, is the effect of transaction cost on performance in the pre-trade dimension. Intuitively, transaction costs affects performance through the choice of bets the manager undertakes (breadth), the frequency of bets (turnover), and the size of those bets (order size). We show that transaction cost modeling is a source of alpha, increasing skill and breadth. Specifically, accurate transaction cost models allow managers to make better decisions regarding which securities should or should not be traded, and the optimal size of the trade. Further, improved forecasts of costs are critical to determining optimal portfolio turnover. Greater turnover allows for more active bets, increasing breadth, but magnifies the impact of trading costs. Balancing these considerations appropriately yields an optimal turnover level. Transaction cost models thus help reduce not only realized costs, but also improve performance on an ex ante basis. The analysis provides insights into the determinants of optimal fund capacity. We show that capacity problems are manifested gradually in the form of higher expected costs, reduced breadth, and lower turnover. Capacity is an elastic concept that is surprisingly responsive to even relatively modest gains in transaction cost control or forecasting ability. This suggests that fund managers can influence their capacity through investments in better execution research and technology. About Ananth Madhavan: Ananth Madhavan is the Global Head of Trading Research at BGI. He leads BGI's global trading research team with a focus on execution research and trading strategies across different asset classes worldwide. Prof. Madhavan also works closely with the global trading team and BGI’s alpha research and product groups to design and implement trading strategies capturing liquidity-driven market opportunities. Before joining BGI in 2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and a member of the firm’s management and executive committees. Previously, he was the Charles B. Thorton Professor of Finance at the Marshall School of Business at the University of Southern California, and Assistant Professor of Finance at the Wharton School of the University of Pennsylvania. Ananth Madhavan is the author of numerous publications in leading academic and practitioner journals. He received his PhD in Economics from Cornell University and BA from the University of Delhi, India. 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] 21. Austrian Working Group on Banking and Finance
by Alexander Brauneis 21 Jun '06

21 Jun '06

Sehr geehrte Damen und Herren, ich darf Sie auf folgende Veranstaltung aufmerksam machen: 21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 24. / 25. November 2006 ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT First CALL for PAPERS http://www.uni-klu.ac.at/fgk/assets/images/DP/AWG-21_CallPaper.pdf Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem 25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at eingereicht werden. Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 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: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of (Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance - Financial Innovations - Financial Markets Research - International Banking and Finance - Investment Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk Management - Security Analysis.

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[VFN] VGSF Research Seminar by Branco Urosevic on Friday, June 23rd
by Michael Halling 21 Jun '06

21 Jun '06

Prof. Branco Urosevic from the Faculty of Economics, Belgrade (Serbia), and the Department of Economics and Business, Universitat Pompeu Fabra, Barcelona (Spain) is giving a VGSF research seminar on "Ownership Dynamics with Multiple Insiders: The case of REITs" on FRIDAY, June 23rd, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling Abstract We study ownership dynamics of multiple strategic risk-averse insiders facing a moral hazard problem. We show that, when insiders cannot commit, ex-ante, to an ownership policy, the aggregate insider stake gradually declines towards the competitive allocation. Moreover, both the speed of decline and the long-term equilibrium aggregate insider ownership level are greater for companies with a higher number of insiders, ceteris paribus. We, then, test the model on data from the U.S. Real Estate Investment Trusts (REITs) industry and find that the predictions of the model are supported by the data.

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[VFN] Extra-VGSF Research Seminar by Philipp Schönbucher on Monday 19th
by Michael Halling 14 Jun '06

14 Jun '06

Prof. Philipp Schönbucher from the ETH Zurich is giving an Extra-VGSF research seminar on "Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives" on Monday, June 19th, from 18:00 to 19:30 at the Vienna University of Business Administration and Economics (WU Wien, Nordbergstrasse 15, 1090 Wien), SR A619, UZA 4. Please find the paper's abstract below. Best, Michael Halling Abstract In this paper, we present a model for the joint stochastic evolution of the cumulative loss process of a credit portfolio and of its probability distribution. At any given time, the loss distribution of the portfolio is represented using forward transition rates, i.e. the transition rates of a hypothetical time-inhomogeneous Markov chain which reproduces the desired transition probability distribution. This approach allows a straightforward calibration of the model (e.g. to a full initial term- and strike structure of synthetic CDOs including the correlation smile) and it is shown that (except for regularity restrictions) every arbitrage-free loss distribution admits such a representation with forward transition rates. To capture the stochastic evolution of the loss distribution, the transition rates are then equipped with stochastic dynamics of their own, and martingale / drift restrictions on these dynamics are derived which ensure absence of arbitrage in the model. Furthermore, we analyze the dynamics of spreads and STCDO-prices that are implied by the model and show that the input parameters can be viewed as spread move parameters and correlation move parameters. We also show how every dynamic model for correlated individual defaults can be cast into this framework.

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