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[VFN] Workshop "Extremal Events and Dependence Modelling ..." (fwd)
by Christopher Summer 08 Oct '01

08 Oct '01

Workshop Announcement --------------------- "Extremal Events and Dependence Modelling with Applications to Financial Risk Management" Location: Swiss Re Rüschlikon (Switzerland), Centre for Global Dialogue Date: Nov. 12 - 13, 2001 For detailed information and links see http://www.math.ethz.ch/finance/Ruschlikon2001.html Seminar Leaders: - Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich) - Prof. Dr. Alexander McNeil (Department of Mathematics, ETH Zürich) - Dr. Uwe Schmock (RiskLab Research Director, ETH Zürich) Target audience: insurance risk managers, actuaries, financial risk managers, interested mathematicians and physicists Registration fee: CHF 500.-; For students, assistants and other academic staff CHF 100.- Accommodation: Hotel facilities are available at Rüschlikon upon request. Registration: Please send your e-mail registration to the responsible event manager Nadine Schuhmacher (mailto:Nadine_Schuhmacher@swissre.com), phone no. ++41-1-704 88 31, indicating your full name, address, phone number. Registration deadline: Friday, October 19, 2001 Aim of the Workshop ------------------- Risk managers are primarily concerned with the risk of low-probability events that could lead to catastrophic losses. Yet traditional VaR methods tend to ignore extreme events. In particular, it is often assumed that log-returns are multivariate normally distributed, and little attention is paid to the distribution of the (possibly dependent) extreme returns we are most concerned about. The danger is then that our models are prone to fail in situations when they are needed most - in the event of large market or credit losses. Attempts to estimate the probability and severity of such large losses are hampered by the lack of data - unusually large market or credit losses are almost by definition rare events. Extreme Value Theory (EVT) is a set of statistical techniques that have been developed to deal with these problems. Financial risk management also confronts us with complex interdependencies. Of particular concern for risk managers is the issue of extremal dependence - the phenomenon of increased dependence and reduced diversification in stress periods. Copulas give us the very latest tools for understanding and modelling this phenomenon and show how extreme value theory may be taken to higher dimensions. Elliptical distributions and the corresponding robust estimation of dependence are a prominent example. All these mathematical and statistical techniques help the financial risk manager to make the best possible use of what little information we have about the extreme losses and their possible dependence, which explains why in recent years these techniques have become increasingly popular as a risk management tool. This two-day event consists of a systematic introduction to extreme value theory and dependence modelling with a strong focus on applications in financial risk management and worked-out case studies, including live presentations with the latest version of the free EVIS software routines (Extreme Values in S-Plus) developed at ETH Zurich as an add-on to S-Plus. Seminar Outline --------------- 1. Extreme Value Theory (EVT) in Risk Management (RM) - Rare events, heavy tails and EVT - General principles of risk measurement - Measures of tail risk - VaR and coherent measures beyond VaR 2. EVT: Basic Results - Maxima and worst-case losses - Limiting distributions for maxima - Modelling tails of probability distributions - The peaks-over-thresholds (POT) method - Software for EVT - the EVIS template 3. Case Study: EVT and Securitisation of Insurance Risk - Applying EVT to price catastrophe covers - Data analysis and mastering practical obstacles such as censoring - The art of modelling and testing for trends - Identifying and quantifying model risk - Implementing Monte Carlo scenario generation to assess robustness - Calculating the coupon value of a CAT bond 4. EVT and Market Risk Management - Embedding EVT in a stochastic volatility framework - Dynamic and static risk measurement - VaR estimation and backtesting - VaR for longer time horizons - scaling rules 5. Modelling Dependent Risks: Basic Concepts - Basics of multivariate statistics - Multivariate normal distributions - Elliptical models and normal mixture models - Portfolio theory in an elliptical world 6. Advanced Concepts: Copulas and Extremal Dependence - Describing dependence with copulas - Understanding the limitations of correlation - Alternative dependence measures - Statistical aspects of dependence modelling - Tail dependence and dependent extreme values - A survey of useful copula families 7. Applications: Credit Risk Models - Multivariate discrete models for credit risks - Latent variable models and mixture models - Standard solutions: CreditMetrics, KMV and CreditRisk+ - Mapping between latent variable and mixture models - Exchangeability and correlation - Dirichlet-Bernoulli mixture model - Motivation of the Dirichlet distribution, properties - What is extreme credit risk? - Copulas and extreme credit risk - Improving and extending standard solutions - Generating risky scenarios - a simulation study - Alternative risk transfer - basket credit derivatives - Calibrating credit models to available information - Modelling rating transitions With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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[VFN] Financial and Insurance Mathematics at ETH Zurich (fwd)
by Christopher Summer 30 Sep '01

30 Sep '01

Risk Day 2001 ------------- Mini-Conference on Risk Management in Finance and Insurance organised by RiskLab, ETH Zurich. Printable and online program with links: http://www.math.ethz.ch/finance/Risk-Day-2001.html Time: Friday, October 19, 2001, 9.00 - 17.30 Location: ETH Zurich, Main Building, Lecture Hall HG F7; Refreshments in the "Uhrenhalle" (main hall, F-floor) General Information: Participation is free, and there is no official registration. Everyone is welcome, practitioners are especially encouraged to attend. Program: -------- 9.00 - 9.10 Prof. Dr. Hans-Jakob Lüthi (IFOR and RiskLab, ETH Zürich) "Welcome and Presentation of RiskLab" 9.10 - 9.50 PD Dr. Wolfgang Breymann (RiskLab, Dept. of Math., ETH Zürich) "Volatility Estimation and Risk Measurement: >From Short to Long Time Horizons" Abstract: Market risk management, portfolio optimization and option pricing methods can only be as good as the model of the underlying volatility process. An approach will be presented that uses intraday high-frequency financial data to improve risk measurement at long time horizons. It takes advantage of the fact that volatility estimation on a time horizon of the order of days can be improved by the use of intra-day data. Such data require special methods for data analysis. The following results will be presented: - Universal method for deseasonalization of financial time series. - Use of intra-day data to improve volatility estimates at daily or longer time horizons. - Modelling financial time series by means of a hierarchical volatility model containing a cascade from long to short time horizons. An outlook will be given on how to use these techniques for portfolio optimisation and risk management at longer time horizons. 9.50 - 10.30 Enrico De Giorgi (RiskLab, Dept. of Math., ETH Zürich) "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios" Abstract: In December 2000 Swiss banks held about 505 billion CHF debts in the form of mortgages. Nonetheless, current models for credit risk are not designed to capture the specific dependence characteristics of a large mortgage portfolio. Given the huge size of the mortgage market, it is surprising that the issue has been largely ignored by academic research. Our attention lies in a proper way of modeling default risk for individual residential mortgages, which is affected by macro-economic factors such as unemployment, mortgage and factors specific to the obligor. We consider the time to default, using a non-parametric proportional hazard model for the intensity process, which is assumed to depend on a set of factors (macro-economic, mortgage and obligor specific). A technique from generalized additive models is used for estimation and the contribution of each factor to the default intensity is computed. 10.30 - 11.00 Coffee Break (Main Hall, F-Floor, Uhrenhalle) 11.00 - 11.30 Filip Lindskog (RiskLab, Dept. of Math., ETH Zürich) "Multivariate Extremes, Aggregation and Dependence in Elliptical Distributions" Abstract: The class of elliptical distributions provides a rich source of multivariate distributions which share many of the tractable properties of the multivariate normal distribution and enables modelling of multivariate extremes and other forms of non-normal dependences. In this talk I aim to clarify dependence properties of elliptical distributions and give examples how these results can be applied. (Joint work with Henrik Hult.) 11.30 - 12.00 Alessandro Juri (Dept. of Math., ETH Zürich) "Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks" Abstract: The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. For given risks X_1,...,X_n and a real-valued functional f on R^n, bounds for the Value-at-Risk of the global position f(X_1,...,X_n) are provided. The key point is that we do not have specific dependence information on X_1,...,X_n. A further issue is how these bounds change when specific dependence information is assumed. Various examples highlight the methodology introduced. (Joint work with Andrea Höing and Prof. P. Embrechts.) 12.00 - 13.40 Lunch Break 13.40 - 14.10 Pierre Patie (RiskLab, Dept. of Math., ETH Zürich) "Risk Management for Derivatives in Illiquid Markets" Abstract: In this talk, we study the hedging of derivatives in illiquid markets. We consider a model where the implementation of a hedging strategy affects the price of the underlying security. We derive a formula for the feedback effect of dynamic hedging on market volatility and characterize perfect hedging strategies by a nonlinear version of the Black-Scholes PDE. Then we extend our approach to portfolios of derivatives by providing a pricing rule for the individual claims in a portfolio assuming that we know the overall hedge cost and the replicating strategy for the large trader. We solve numerically the PDE and we provide results (option prices and greeks) for different kinds of options. On the topic of risk management, we suggest a methodology to measure liquidity based on the estimation of implied parameters obtained from real option prices. Finally, simulations are used to assess the performance of various hedging strategies under market illiquidity. (Joint work with Prof. Rüdiger Frey, ISB, University of Zurich.) 14.10 - 14.40 Dr. Jesper Lund Pedersen (RiskLab, Dept. of Math., ETH Zürich) "An Optimal Selling Strategy Based on Predicting the Ultimate Maximum Price" Abstract: In this talk I will present an optimal selling strategy for an asset in the following sense: An investor with a long position in one asset decides to close the position before a given time. The investor continuously observes the asset price performance and has to determine the point in time (selling strategy) to close out the position so that the asset price is as close as possible to the ultimate maximum price over the given period. The probable proximity is measured by a probability distance. Thus, the investor's objective is to maximize, over all strategies, the probability that the asset price when the position is closed out is greater than a given percentage of the ultimate maximum price. 14.40 - 15.10 Dr. Larbi Alili (Dept. of Math., ETH Zürich) "Exponential Functionals of Brownian Motion and Asian Options" Abstract: Exponential functionals of Brownian motion play an important role in the valuation and hedging of Asian options. The aim of this talk is to provide an elementary method for computing the distribution of the latter functionals. 15.10 - 15.50 Coffee Break (Main Hall, F-Floor, Uhrenhalle) 15.50 - 16.20 Dr. Dirk Tasche (RiskLab, Dept. of Math., ETH Zürich) "Expected Shortfall and Beyond" Abstract: Expected Shortfall (ES) in several variants has been proposed as a remedy for the deficiencies of Value-at-Risk (VaR), which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss distributions. Differences may appear when the underlying loss distributions have discontinuities. In this case even the coherence property of ES can be lost. The relations between some of the definitions of ES will be discussed. It will be pointed out that there is one which is robust in the sense of yielding a coherent risk measure regardless of the underlying distributions. In contrast to VaR, this variant of ES can always be estimated naively. Moreover, as shown recently by S. Kusuoka, it generates in a certain sense the class of all law invariant coherent risk measures. 16.20 - 16:50 Prof. Dr. Philippe Artzner (RiskLab and Université Louis Pasteur) "Coherent Acceptability for Multiperiod Risk and Applications" Abstract: We explain why and how to deal with the definition, the acceptability and the management of risk in a genuinely multitemporal way. Acceptable value processes are primitive objects and the measure of risk of a value process is the initial extra capital which makes it acceptable. Coherence axioms then provide a representation of a risk-adjusted valuation as the minimum expected value of an Stieltjes integral with respect to random measures. Some special cases allowing for recursive computations are presented. (Joint work with Freddy Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku.) 17.00 Awarding of the Prize of the Dimitris N. Chorafas Foundation. Conference Secretary: Mrs G. Baltes, HG G37.2, Phone 01/632 34 00, E-mail: baltes(a)math.ethz.ch With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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[VFN] September 2001 news notes on agent-based computational economics (fwd)
by VFN-L admin * Andreas Schamanek 25 Sep '01

25 Sep '01

---------- Forwarded message ---------- Date: Mon, 24 Sep 2001 19:44:54 -0500 From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU> To: SIMSOC(a)JISCMAIL.AC.UK Subject: September 2001 news notes on agent-based computational economics 24 September 2001 Just a note to say that the September 2001 news notes on agent-based computational economics (ACE) are now available on-line in html document form at http://www.econ.iastate.edu/tesfatsi/ace0901.htm Featured items include journal, book, software, research group, on-line course, and conference announcements. Items of more permanent interest have been incorporated into the ACE Web site at http://www.econ.iastate.edu/tesfatsi/ace.htm ACE is the computational study of economies modelled as evolving systems of autonomous interacting agents. Best wishes, Leigh Tesfatsion Leigh Tesfatsion Department of Economics Tel: (515) 294-0138 Iowa State University FAX: (515) 294-0221 Ames, Iowa 50011-1070 tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/

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[VFN] position at UBC (fwd)
by Christopher Summer 24 Sep '01

24 Sep '01

---------- Forwarded message ---------- Date: Mon, 24 Sep 2001 11:05:31 -0700 From: Ulrich Haussmann <uhaus(a)math.ubc.ca> Subject: position at UBC Please bring the following opening to the attention of anyone who might be interested. The Mathematics Department at the University of British Columbia is seeking candidates for at least one tenure-track Assistant Professorship, subject to funding, with a starting date of 1 July 2002. Exceptional candidates at the Associate Professor or Professor level may be considered. Applicants must have a superb research record in one of the following areas: Financial Mathematics, Mathematical Biology, Partial Differential Equations, Scientific Computing or Industrial/Applied Mathematics. The successful applicant is expected to interact with related groups in the Mathematics Department and have demonstrated interest and ability in teaching. The salary will be commensurate with experience and research record. Applicants should send a current cv including a list of publications, statement of research and teaching interests and a list of four referees to Professor George Bluman, Head Department of Mathematics University of British Columbia #121 - 1984 Mathematics Road Vancouver, B.C. Canada V6T 1Z2 Assistant Professorship candidates should arrange for three letters of recommendation to be sent directly to the same address. Applications must be received before November 27, 2001.

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[VFN] prof. kerry back's talk
by Gabriel Lee 24 Sep '01

24 Sep '01

on wednesday, oct. 10th 4 pm at the institut für höhere studien (stumpergasse 56, 1060) hs. II, there will be a seminar talk by kerry back (olin business school, washington university, st. louis) on "Information in securities markets: Kyle meets Glosten and Milgrom" best gabe lee ______________________________________________________________ Gabriel S. LEE Institute for Advanced Studies Department of Economics and Finance Stumpergasse 56 A-1060 Vienna, AUSTRIA Email: gabriel.lee(a)ihs.ac.at Tel: +43.1.59991.141 Fax: +43.1.597.0635 Homepage: http://www.ihs.ac.at/~lee/

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[VFN] CAP Workshop
by Christopher Summer 22 Sep '01

22 Sep '01

CALL FOR PARTICIPANTS The Center for Applied Probability at Columbia University presents the 8th Annual CAP Workshop on Derivative Securities and Risk Management Friday, November 9, 2001 Columbia University, New York City This year we present another group of highly distinguished speakers in the usual informal workshop aimed at fostering communication between academia and industry. SPEAKERS: David Chasman, Sempra Energy Trading "Managing 'Simple' and Not-So-Simple Energy Risk" Steve Heston, Goldman Sachs "The Expectations Puzzle in a Log-Linear Bond Model" Michael Johannes, Columbia Business School "The Impact of Jumps in Volatility and Returns" Alan Lewis, Analytic Investment Management "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes" Keynote Address: Richard Sandor, Environmental Financial Products "The Chicago Climate Exchange: Creating a Market for Greenhouse Gas Emissions Trading" Philipp Schoenbucher, Bonn University "Pricing Exotic Credit Derivatives" Nick Webber, University of Warwick "Lattice Methods for Levy processes" Zhifeng Zhang, Morgan Stanley "Simulating Correlated Default Arrival Times and Pricing Basket Default Swaps" REGISTRATION FEES: Academic: By Nov. 2: $110 ($30 student) On site: $150 ($40 student) Corporate: By Nov. 2: $220 On site: $300 A light lunch will be provided, and a wine and cheese reception will be held at the end of the day. REGISTRATION PROCEDURE: Send Name, Title, Affiliation, Address and E-mail Address (as we prefer to acknowledge receipt of your registration by e-mail), along with a check or money order payable to CAP to the address below. Or, to pay by credit card (MC or Visa ONLY), send the same information in an e-mail to the address below and, in addition, include CC#, Exp. Date, Name (as it appears on card), and Billing Address. If you prefer, you may FAX the information, or a legible (not too dark) copy of your credit card, to the FAX number listed below. CONTACT: E-mail: cap(a)columbia.edu WWW: http://www.cap.columbia.edu/ Postal: Center for Applied Probability, ATTENTION: Finance Workshop 601 CEPSR, Columbia University, Mail code 8906 530 West 120th Street, New York, NY 10027 Phone: (212) 854-6096 FAX: (212) 854-6989 LOCATION: Columbia University, New York City Exact location TBA. Check http://www.cap.columbia.edu for updated information ORGANIZERS: M. Broadie, P. Glasserman, C. Heyde, S. Kou and K. Sigman.

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[VFN] Univ. Ass. (Karenzvertretung), Institut fuer medizinische Statatistik
by Christopher Summer 19 Sep '01

19 Sep '01

Ausschreibung Am Institut für Medizinische Statistik ist eine Planstelle mit einem Universitätsassistenten/in - Ersatzkraft vom 01.10.2001 bis 30.09.2002 zu besetzen. Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium (Statistik, Mathematik oder ein fachverwandtes Studium) Gewünschte Zusatzqualifikationen: Erfahrung mit Anwendungen von statistischen Methoden in Medizin, Biologie oder Epidemiologie; Kenntnisse in statistischer Software; Erfahrung mit statistischmethodischen Problemstellungen. Kennzahl: 1735301 Bewerbungsfrist: 10.10.2001 Bewerbungen: Bewerbungsformulare mit Lebenslauf sind an die Universität Wien Universitätsdirektion Personalabteilung/Bundesbedienstete Allgemeines Krankenhaus Wien Medizinische Fakultät Währinger Gürtel 1820, A1090 Wien, zu richten. Am Institut bestehen statistischmethodische Forschungsschwerpunkte über sequentielle und adaptive Designs, Qualitätskontrolle in medizinischen Studien sowie multiple Inferenz und Versuchsplanung. Darüberhinaus nimmt das Institut für Medizinische Statistik innerhalb der Fakultät eine Dienstleistungsfunktion bei der Planung und Auswertung von medizinischen Forschungsprojekten wahr. Dabei kommt es zu Kooperationen mit medizinischen Fachwissenschaftlern aus den Bereichen medizinischer Experimente sowie klinischer und epidemiologischer Studien. Für diese Tätigkeit ist gute Statistiksoftwarekenntnis erforderlich. Schließlich nimmt auch die Bedeutung der Lehrtätigkeit, schwerpunktsmäßig zur Einführung in statistische Methoden für das medizinische Umfeld, ständig zu. Für weitere Informationen siehe auch http://www.mstat.univie.ac.at ____________________________ Martin Posch Department of Medical Statistics University of Vienna http://Posch.n3.net

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[VFN] Sixth International Congress on Insurance: Mathematics and Economics (fwd)
by Christopher Summer 13 Sep '01

13 Sep '01

---------- Forwarded message ---------- Date: Wed, 12 Sep 2001 15:30:09 +0100 From: cemapre <cemapre(a)iseg.utl.pt> To: <Undisclosed-Recipient:@mail.iseg.utl.pt;> Subject: Sixth International Congress on Insurance: Mathematics and Economics CEMAPRE is pleased to host the Sixth International Congress on Insurance: Mathematics & Economics, to be held on July 15-17, 2002, at ISEG, Technical University of Lisbon. We invite you to have a look at our web page at http://www.iseg.utl.pt/~cemapre/ime2002

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[VFN] tenure-track position in financial mathematics (fwd)
by Christopher Summer 12 Sep '01

12 Sep '01

---------- Forwarded message ---------- Date: Fri, 7 Sep 2001 15:46:51 -0400 (EDT) From: Jean-Pierre Fouque <fouque(a)unity.ncsu.edu> Subject: tenure-track position in financial mathematics Dear colleagues, Below you will find an announcement for an assistant professor position in financial mathematics. It is at: http://www.math.ncsu.edu/departmental/facpositions.html Please bring this announcement to the attention of qualified and interested individuals. Thanks a lot, JPF Jean-Pierre Fouque Department of Mathematics NCSU, Box 8205 Raleigh, NC 27695-8205 Phone: (919) 515-8588, Fax: (919) 515-3798 http://www.math.ncsu.edu/~fouque %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% The Department of Mathematics invites applications for a tenure track appointment at the assistant professor level in financial mathematics, beginning in the fall of 2002. Candidates should have a strong ongoing research program and a demonstrated skill in teaching. The candidate's areas of interest should complement the current research activities within the department in the broad areas of stochastic processes, partial differential equations and scientific computation. The successful candidate will participate in the creation and development of a multidisciplinary Masters program in Financial Mathematics. Applicants should send a vita and three letters of reference to Financial Mathematics Search Committee, NC State University, Mathematics Department, Box 8205, Raleigh, NC 27695-8205. Complete applications received before November 30, 2001 will receive full consideration. %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

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[VFN] Message from Actuarial Science Society (fwd)
by Christopher Summer 12 Sep '01

12 Sep '01

---------- Forwarded message ---------- Date: Wed, 05 Sep 2001 16:15:05 -0500 From: cywei(a)uts.cc.utexas.edu To: wschach(a)fam.tuwien.ac.at Subject: Message from Actuarial Science Society Dear Walter Schachermayer , POSITION IN ACTUARIAL SCIENCE The Department of Mathematics and Statistics of the Faculty of Arts and Sciences of the Université de Montréal invites applications for a tenure-track position in actuarial science at the assistant professor, associate professor or full professor level. The Department collaborates to the activities of the Centre de recherches mathématiques (CRM). The position is subject to budgetary approval. For more information on the Department or the CRM, visit www.dms.umontreal.ca/ and www.crm.umontreal.ca/ . DUTIES Undergraduate and graduate teaching, supervision of graduate students, and research. REQUIREMENTS: To hold a Ph.D. in Actuarial Science or in a related area and to be an associate member of an actuarial society. An expertise in mathematical finance is a supplementary advantage. The research record is of prime importance. The candidate must possess excellent teaching skills. A good working knowledge of French is required. SALARY: The Université de Montréal offers competitive salaries and a complete package of social benefits. STARTING DATE: June 1, 2002. The interested candidates must submit a curriculum vitae including a concise statement of their research interests, at least three letters of reference, and copies of at most three of their most important research publications before November 15, 2001 (or until the position is filled), to: Chair Département de mathématiques et de statistique Université de Montréal C.P. 6128, succursale Centre-ville Montréal QC H3C 3J7 Phone: (514) 343-6743 FAX: (514) 343-5700 email: mathstat(a)dms.umontreal.ca In accordance with Canadian immigration requirements, priority will be given to Canadian citizens and permanent residents of Canada. The Université de Montréal subscribes to an affirmative action program for women and to employment equity. Cordially, Patrick L. Brockett ************************************************************************** Actuarial Science Researchers Online International Directory Adminstrator http://wnt.cc.utexas.edu/~bgbc771/Acs_Dir.cfm Gus S. Wortham Memorial Chairholder in Risk Management and Insurance Department of Management Science and Information Systems, Director, Risk Management Program, Professor of Finance, Mathematics and Management Science **************************************************************************

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