-- From: VFN-L admin * Andreas Schamanek <vfn-admin(a)fam.tuwien.ac.at> --
# Quantitative Methods in Finance 2017 Conference
12-15 December 2017
Hilton Hotel Sydney
http://www.qfrc.uts.edu.au/qmf/
## Focus
Pensions, Model Risk, Insurance, Regulation, Options, Credit Risk,
Risk Measurement, Systemic Risk, Liquidity, Commodities and other
areas of Quantitative Finance
## Plenary speakers include
Alexandre Antonov, Nick Bingham, Patrick Cheredito, Rama Cont, Jakša
Cvitanić, Min Dai, Mark Davis, Freddy Delbaen, Robert Elliott, Martino
Grasselli, Lane Hughston, Jan Kallsen, Constantinos Kardaras, Masaaki
Kijima, Dilip Madan, Alexander Melnikov, Marek Musiela, Ludger
Overbeck, George Papanicolaou, Philip Protter, Andrea Roncoroni,
Michael Schmutz, Michael Sørensen, Stefan Tappe
## Bruti-Liberati lecture
Nicolas Perkowski
## Pre Conference Workshop "Beyond the Classical Paradigm"
Speakers: Cheredito, Cont, Davis, Grasselli, Kardaras, Madan, Platen,
Protter, Tappe
## Organizers
Professor Eckhard Platen, Professor Erik Schlögl and the
Quantitative Finance Research Centre, University of Technology Sydney
***
-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
Reminder - INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Tuesday, January 17, 2017 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Kent Smetters
https://bepp.wharton.upenn.edu/profile/smetters/
Title: "A Sharper Ratio"
Abstract
Deriving a sufficient statistic for the standard Expected Utility (EU) problem with a risk-free asset and a risky asset following a non-Normal risk distribution has been a problem that has dogged economists since at least Samuelson (1970). This problem is only heightened by modern trading strategies that produce non-Normal returns and where the classic Sharpe Ratio is no longer sufficient. We prove a new lemma about root selection in a complex plane, allowing us to derive a minimal, sufficient statistic that requires less information than the original EU problem. Moreover, we prove that the sufficient statistic transforms non-Normal, non-identical risks into a Normally-distributed function space, while preserving the original EU ordering. As a result, the sufficient statistic supports parametric-based hypothesis testing, which we show is substantially more powerful than non-parametric hypothesis testing required for the EU problem.
About Kent Smetters
Kent Smetters is the Boettner Chair Professor at the University of Pennsylvania's Wharton School and a Faculty Research Fellow at the National Bureau of Economic Research. His research focuses on applied theory, optimal fiscal policy, personal finance and asset pricing. Previous policy positions include the Congressional Budget Office (1995 to 1998) as well as Deputy Assistant Secretary (Economic Policy) for the United States Treasury (2001-2002). He has published academic articles in leading journals, including American Economic Review, Journal of Political Economy, and The Quarterly Journal of Economics. Kent Smetters received his PhD in Economics from Harvard University.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: VieCo2017 <vieco2017(a)univie.ac.at> --
Dear colleagues,
please allow us to draw your attention to the
"*Vienna-Copenhagen Conference on Financial Econometrics*"
March 9-11, 2017, Vienna
http://vieco2017.univie.ac.at/
The Vienna-Copenhagen event is a natural (and happy) continuation of the
past bi-annual Humboldt-Copenhagen events.
We are glad to be able to continue our recent tradition of top level
financial econometrics discussions and interchanges in an informal and -
we hope - highly welcoming atmosphere.
The deadline for registration
<http://vieco2017.univie.ac.at/conference-registration/> is *January
31st*, 2017.
Please circulate this information to colleagues who might be interested.
We look forward to seeing many of you in Vienna!
Best regards,
Nikolaus Hautsch (U Vienna)
Anders Rahbek (U Copenhagen)
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-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
INVITATION
The WU Gutmann Center wishes you Merry Christmas and a Happy New Year and cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Tuesday, January 17, 2017 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Kent Smetters
https://bepp.wharton.upenn.edu/profile/smetters/
Title: "A Sharper Ratio"
Abstract
Deriving a sufficient statistic for the standard Expected Utility (EU) problem with a risk-free asset and a risky asset following a non-Normal risk distribution has been a problem that has dogged economists since at least Samuelson (1970). This problem is only heightened by modern trading strategies that produce non-Normal returns and where the classic Sharpe Ratio is no longer sufficient. We prove a new lemma about root selection in a complex plane, allowing us to derive a minimal, sufficient statistic that requires less information than the original EU problem. Moreover, we prove that the sufficient statistic transforms non-Normal, non-identical risks into a Normally-distributed function space, while preserving the original EU ordering. As a result, the sufficient statistic supports parametric-based hypothesis testing, which we show is substantially more powerful than non-parametric hypothesis testing required for the EU problem.
About Kent Smetters
Kent Smetters is the Boettner Chair Professor at the University of Pennsylvania's Wharton School and a Faculty Research Fellow at the National Bureau of Economic Research. His research focuses on applied theory, optimal fiscal policy, personal finance and asset pricing. Previous policy positions include the Congressional Budget Office (1995 to 1998) as well as Deputy Assistant Secretary (Economic Policy) for the United States Treasury (2001-2002). He has published academic articles in leading journals, including American Economic Review, Journal of Political Economy, and The Quarterly Journal of Economics. Kent Smetters received his PhD in Economics from Harvard University.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: summerschoolmathfi <summerschoolmathfi(a)cmap.polytechnique.fr> --
Dear all,
we are glad to forward the announcement of the conference
Advances in Financial Mathematics
10-13 Jan 2017, Paris
https://fin-risks2017.sciencesconf.org/
Organized in the framework of the research partnership Chaire Risques
Financiers
Organizing committee: A. Alfonsi, L. Bergomi, N. El Karoui, E. Gobet, P.
Henry-Labordère, B. Jourdain, B. Lapeyre, G. Pagès, M. Rosenbaum and
N.Touzi
With best regards
the European Summer School in Financial Mathematics organising committee
-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
Reminder: INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Monday, December 5, 2016 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Elroy Dimson
https://www.london.edu/faculty-and-research/faculty/profiles/dimson-e#.V2fc…
Title: "Does Hiking Damage Your Wealth?"
Abstract
Investors are preoccupied with the impact on financial markets of changes in central-bank interest rates. We use over a century of daily US returns together with 85 years of UK data to examine the immediate effect of rate hikes and cuts on stock and bond markets. We also look globally at the impact of interest rate changes on equity and bond returns using annual data for 21 countries from 1900 to 2015. Using a trading strategy that avoids look-ahead bias, we compare returns over entire interest rate hiking and easing cycles for equities, bonds, bills, currencies, and risk premia. We analyze long-term returns from industry sectors and factors such as size, value, carry and momentum, and also study real asset returns since 1900 on precious metals, collectibles and real estate. In all cases, hiking cycles damage your wealth compared to easing cycles.
About Elroy Dimson
Elroy Dimson chairs the Newton Centre for Endowment Asset Management at Cambridge Judge Business School, and is Emeritus Professor of Finance at London Business School. He is a Non-Executive Director of FTSE International, is on the Steering Committee of the Financial Economists' Roundtable, and is an Advisory Council member for Financial Analysts Journal. He is a Fellow of the Royal Historical Society and of The Risk Institute, and Honorary Fellow of CFA UK and of the Institute of Actuaries. His PhD is from London Business School. Books include Triumph of the Optimists, the Global Investment Returns Yearbook 2016, the Global Investment Returns Sourcebook 2016(all with Paul Marsh and Mike Staunton), Endowment Asset Management(with Shanta Acharya), and Financial Market History (with David Chambers, forthcoming). Publications since 2015 on active ownership (Review of Financial Studies), real assets (Journal of Financial Economics), financial history (Journal of Financial and Quantitative Analysis), endowment strategy (Financial Analysts Journal), long-horizon investing (five book chapters), case studies on manager selection and on stocks for the long run (both Harvard Business School).
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: "gutmann-center(a)wu.ac.at" <gutmann-center(a)wu.ac.at> --
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: Monday, December 5, 2016 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Elroy Dimson
https://www.london.edu/faculty-and-research/faculty/profiles/dimson-e#.V2fc…
Title: "Does Hiking Damage Your Wealth?"
Abstract
Investors are preoccupied with the impact on financial markets of changes in central-bank interest rates. We use over a century of daily US returns together with 85 years of UK data to examine the immediate effect of rate hikes and cuts on stock and bond markets. We also look globally at the impact of interest rate changes on equity and bond returns using annual data for 21 countries from 1900 to 2015. Using a trading strategy that avoids look-ahead bias, we compare returns over entire interest rate hiking and easing cycles for equities, bonds, bills, currencies, and risk premia. We analyze long-term returns from industry sectors and factors such as size, value, carry and momentum, and also study real asset returns since 1900 on precious metals, collectibles and real estate. In all cases, hiking cycles damage your wealth compared to easing cycles.
About Elroy Dimson
Elroy Dimson chairs the Newton Centre for Endowment Asset Management at Cambridge Judge Business School, and is Emeritus Professor of Finance at London Business School. He is a Non-Executive Director of FTSE International, is on the Steering Committee of the Financial Economists' Roundtable, and is an Advisory Council member for Financial Analysts Journal. He is a Fellow of the Royal Historical Society and of The Risk Institute, and Honorary Fellow of CFA UK and of the Institute of Actuaries. His PhD is from London Business School. Books include Triumph of the Optimists, the Global Investment Returns Yearbook 2016, the Global Investment Returns Sourcebook 2016(all with Paul Marsh and Mike Staunton), Endowment Asset Management(with Shanta Acharya), and Financial Market History (with David Chambers, forthcoming). Publications since 2015 on active ownership (Review of Financial Studies), real assets (Journal of Financial Economics), financial history (Journal of Financial and Quantitative Analysis), endowment strategy (Financial Analysts Journal), long-horizon investing (five book chapters), case studies on manager selection and on stocks for the long run (both Harvard Business School).
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at>
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at<http://www.gutmann-center.at>
Please contact gutmann-center(a)wu.ac.at<mailto:gutmann-center@wu.ac.at> if you do not wish to receive any further invitations from us!
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-- From: "Brauneis, Alexander" <Alexander.Brauneis(a)aau.at> --
Sehr geehrte Damen und Herren,
das Programm des 31. Workshops der Austrian Working Group on Banking & Finance am 25. und 26. November in Klagenfurt kann unter folgender Adresse abgerufen werden:
http://www.uni-klu.ac.at/fin/downloads/AWG_31_Programm_04112016.pdf
Herzliche Grüße,
Alexander Brauneis
********************
Dr. Alexander Brauneis
Associate Professor
Department of Finance and Accounting
Alpen-Adria-University Klagenfurt
Universitaetsstrasse 65-67
A - 9020 Klagenfurt
+43 463 2700 4022
alexander.brauneis(a)aau.at
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-- From: si-researchcenter <si-researchcenter(a)wu.ac.at> --
Spängler IQAM Research Center: Investment Seminar
Dienstag, 22. November 2016
OeKB Reitersaal (EG)
1010 Wien, Strauchgasse 3
„EUROPÄISCHE KAPITALMARKTPERSPEKTIVEN NACH BREXIT“
14:00 Begrüßung
Session 1: EUROPÄISCHE KAPITALMARKTPERSPEKTIVEN NACH BREXIT
Moderator: Univ.Prof. Dr. Dr.h.c. Josef Zechner
Professor of Finance, WU Wirtschaftsuniversität Wien, Stv. Vorsitzender des Aufsichtsrats und Mitglied der Wissenschaftlichen Leitung Spängler IQAM Invest GmbH
14:15
EUROPAS OPTIONEN FÜR BREXIT, EUROPAS OPTIONEN NACH BREXIT?
Mag. Thomas Wieser
Vorsitzender der Euroarbeitsgruppe (Euro Working Group - EWG) und des Wirtschafts- und Finanzausschusses (Economic and Financial Committee - EFC), Brüssel
14:45
POST-BREXIT: AKTUELLE LAGE UND PERSPEKTIVEN FÜR DIE WIRTSCHAFT IN EUROPA
Prof. Dr. Martin Kocher
IHS-Direktor, Institut für Höhere Studien, Wien
15:45 Pause
Session 2: ASSET MANAGEMENT MIT AKTUELLSTEN FUNDAMENTALDATEN
Moderator: Univ.Prof. DDr. Thomas Dangl
Professor of Finance, TU Technische Universität Wien und Mitglied der Wissenschaftlichen Leitung Spängler IQAM Invest GmbH
16:15
NOW-CASTING: ASSET MANAGEMENT MIT AKTUELLSTEN FUNDAMENTALDATEN
Prof. Lucrezia Reichlin - Vorstandsvorsitzende und Mitgründerin, Now-Casting Economics Ltd., London und Professor of Economics, London Business School, Department of Economics, London
Dr. Thomas Steinberger - CIO, Geschäftsführer und Mitglied der Wissenschaftlichen Leitung, Spängler IQAM Invest GmbH
Anschließende Podiumsdiskussion zum Thema
KAPITALMÄRKTE IN ZEITEN WACHSENDEN PROTEKTIONISMUS
Moderator: Univ.-Prof. DDr. Thomas Dangl
Diskussionsteilnehmer: Prof. Dr. Martin Kocher, Dr. Thomas Steinberger, Mag. Thomas Wieser
Um Anmeldung bis 16. November wird gebeten unter si-researchcenter(a)wu.ac.at
Kontakt:
WU, Department of Finance, Accounting and Statistics
Spängler IQAM Research Center
1020 Vienna, Welthandelsplatz 1, Building D4
attn. Martina Schlichting,
Tel: +43 1 31336 6315, Mail: si-researchcenter(a)wu.ac.at, Web: www.si-researchcenter.at
-- From: "Fuchs, Daniela" <Daniela.Fuchs(a)wu.ac.at> --
Im Vizerektorat für Finanzen ist voraussichtlich ab 01.12.2016 vorläufig auf sechs Monate befristet, mit der Möglichkeit einer unbefristeten Verlängerung, eine Stelle für einen Risikomanager - Finanzgebarung/eine Risikomanagerin - Finanzgebarung (Angestellte/r gemäß Kollektivvertrag für die Arbeitnehmer/innen der Universitäten, monatliches Mindestentgelt: 1.130,55 Euro brutto, Anrechnung von tätigkeitsbezogenen Vordienstzeiten möglich), Beschäftigungsausmaß: 20 Std./Woche, zu besetzen.
Aufgabengebiet:
- Eigenverantwortliche Weiterentwicklung bzw. Kontrolle der Einhaltung der Risikorichtlinien/Finanzgebarung
- Erstellung des periodischen Risikomanagementberichts an Rektorat (quartalsweise bzw. anlassbezogen) und Erstellung von Forecast/Risikoentwicklung
- Auswahl/Festlegung und Überprüfung der gem. Risikorichtlinie zugelassenen Banken und Ermittlung, Festlegung, bzw. lfd. (erforderliche) Änderungen der bankenaufsichtsrechtlichen Bankenlimits inkl. Überwachung der Limitauslastungen
- Genehmigung/Freigabe von Finanzgeschäften gem. Risikorichtlinie
- Lfd. Überwachung der volumsgewichteten durchschnittlichen Laufzeitstruktur der Finanzgeschäfte
- Überwachung des Zinsrisikos bzw. Einleitung von (erforderlichen) Gegensteuerungsmaßnahmen
- Ermittlung bzw. Einstufung liquider Märkte für Anleihen
- Finanzmathematische Feststellung/Berechnung der relevanten Kennzahlen (Duration, Modified Duration), Ermittlung der Zinsergebnisse in Cash- und Supportpool
- Leitung des Produkteinführungsprozesses gem. Risikomanagementrichtlinie/Finanzgeschäfte bzw. Führung bzw. lfd. Adaption des Produkthandbuches
- Laufende selbständige Ermittlung, Interpretation und Bereitstellung der Ratings (Standard & Poors, Fitch, Moodys) der ausgewählten Banken
- Mitwirkung bei Projekten im Bereich Risikomanagement
Ihr Profil:
- Studium der Sozial- und Wirtschaftswissenschaften, Mathematik oder Naturwissenschaften mit Schwerpunkt im Bereich Finanzmathematik/Risikomanagement
- Praktische berufliche Erfahrung im Bereich Risikomanagement bzw. Finanzwirtschaft
- Sehr gute Kenntnisse betreffend Banken bzw. Geld- und Kapitalmarkt
- Sehr gute AnwenderInnenkenntnisse /MS-Office insbes. MS-Excel
- SAP-R3 - Kenntnisse bzw. Programmierkenntnisse sind von Vorteil
- Belastbarkeit
- Fähigkeit zu selbständigem Arbeiten
- Genauigkeit
- Sehr gute Kommunikationsfähigkeit
- Freundliches Auftreten
- Hohe soziale Kompetenz
Kennzahl: 3184
Ende der Bewerbungsfrist: 02.11.2016
Bitte bewerben Sie sich auf unserer Homepage unter www.wu.ac.at/jobs<https://www.wu.ac.at/karriere/arbeiten-an-der-wu/jobangebote/>.
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