Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
EINLADUNG
Sie sind herzlich zur Teilnahme am 15. Workshop der Austrian Working
Group on Banking and Finance eingeladen. Um sich anzumelden,
retournieren Sie bitte das Anmeldeformular, zu finden im WWW unter
http://info.tuwien.ac.at/E330/tu3306/einladung.doc
Mit freundlichen Gruessen
Wolfgang Aussenegg
Stefan Pichler
Walter Schwaiger
Helmut Uhlir
Technische Universität Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezüglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Mit freundlichen Grüßen
Helmut Uhlir Stefan Pichler
Announcement: Talk with Elroy Dimson, London Business School
Date: 5.11.2001
Time: 04:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien, Mezzanin
Title of the talk: High frequency performance mointoring
Abstract: The presentation shows optimal strategies for monitoring
performance of asset managers on a quarterly, weekly or even daily basis.
registration: until 2.11.2001 under sonja.zeiner(a)gutmann.at or phone: 502
20-357
Announcement: Talk by Hansjörg Albrecher, Department of Mathematics, Graz
University of Technology
Title of the talk: On some generalizations of the classical ruin model in
risk theory
Date: We, 24.10.2001
Time: 17:00
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Abstract:
The classical model in collective risk theory for the development of the
free reserve of an insurance portfolio is characterized by a Poisson claim
number process, independent and identically distributed claims and a
constant premium density. Several generalizations of this model are
considered. In a ruin model allowing for a constant force of inflation and
interest on the free reserve, we investigate when it is suitable to
represent the finite-time survival probability as a gamma series and
derive some exact analytical solutions for exponentially distributed claim
sizes. In a model with dividend payments according to a non-linear
dividend barrier strategy, integro-differential equations for the survival
probability and the expected discounted dividend payments are derived and,
using integral operators, efficient number-theoretic solution methods are
developed. Moreover we investigate the behavior of the Lundberg exponent
when dependence structures among consecutive claims are considered.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Announcement: Talk by Kerry Back, John M. Olin School of Business,
Washington University in St. Louis
Date: 23.10.2001
Time: 16:30
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: Information in Securities Markets: Kyle meets Glosten
and Milgrom
Abstract:
We study a model of informed trading in which trades arrive sequentially,
uninformed trades arriving as a Poisson process. We characterize an
equilibrium in which the single informed trader plays a mixed strategy - a
point process with stochastic intensity. In this equilibrium, informed and
uninformed trades arrive probabilistically, as they are assumed to do in
Glosten-Milgrom models. We study a sequence of such markets in which
uninformed trades become smaller and arrive more frequently, approximating
a Brownian motion. We show that if the equilibria converge, then their
limit is the equilibrium of a Kyle-type continuous auction model.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgendem Workshop ein:
Otto Randl, Universität Wien
"Chinese Walls in German Banks"
Freitag, 19.10.2001, 15.30-17.00
Wiener Börse, Wallnerstrasse 8, 1010 Wien.
Voraussichtliche weiter Termine entnehmen Sie bitte dem file, das mit
diesem email versandt wird, sowie der Seite
http://info.tuwien.ac.at/ccefm/workshop/work.htm.
Announcement: Talk by Robert Tompkins
Date: 16.10.2001
Time: 17:30 (note: this is one hour later than the usual weekly seminar at
the Institute of Financial and Actuarial Mathematics)
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at: http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: The relation between implied and realised probability
density functions
Abstract:
By Iliana Anagnou, Mascia Bedendo, Stewart Hodges and Robert Tompkins
A number of financial regulators [see Neuhaus (1995), Bahra (1996, 1997),
McManus (1999) and Shiratsuka (2001)] have suggested that risk neutral
densities (RND) associated with options markets could provide useful
indicators of future market turbulence. Critical to this assumption is
that such RNDs should provide an unbiased forecast of realised probability
density functions. To date, this assumption has not been fully examined.
In this research, we test the ability of RNDs for options on the S&P 500
and the British Pound / US Dollar to predict future probability densities.
We consider three approaches to estimate the RNDs, which are consistent
with approaches proposed and used by financial regulators. We also provide
a number of new testing procedures to assess the efficiency and unbiasness
of the forecasts. These tests provide more power than the usual
Komolgorov/Smirnov tests. Using non-overlapping quarterly data from the
mid 1980s to 2000, we find that we can reject the hypothesis that the RNDs
for both the S&P 500 and British Pounds are unbiased forecasts. Even with
a limited number of observations, the tests are powerful enough to allow
rejection. These results are consistent with Weinberg (2001) and are more
robust as this work relied upon the use of overlapping data. These
results tend to support the conclusions of Shiratsuka (2001), that RNDs
should not be used by financial regulators as financial indicators, and
that such use could prove counterproductive; actually increasing future
market turbulence rather than alleviating it.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Frontieres en Finance
http://www.frontiers-in-finance.com/
and
ARTABEL SA
http://www.artabel.net/
have the pleasure of announcing a one-day
Workshop on
Model Calibration:
theoretical and computational aspects.
Journée
Calibration de modèle:
aspects numériques et théoriques.
Paris, Vendredi 26 Octobre 2001.
Paris, Friday 26 October 2001.
8:30 - 18:00.
The use of increasingly sophisticated stochastic models in finance makes
difficult the calibration of model parameters to data. On the other hand,
more and more complex derivatives are created whose prices and hedging
strategies are increasingly sensitive to model parameters and therefore
to the calibration methods used to obtain them. Th goal of this workshop
is to shed some light on some of the theoretical and numerical tools
available to tackle these difficulties: through 4 mini-courses on the
subject, we will present various methods for model calibration, examples
of their application in option pricing and finally a numerical
implementation of each method on a parallel architecture.
La sophistication croissante des modèles financiers rend difficile et
delicat la calibration des parametres de modele. D autre part, l'arrivee
sur le marche d'instruments de plus en plus complexes augmente la
sensibilite des prix et des strategies de couverture aux parametres de
modele, rendant le resultat encore plus sensible a la procedure utilisee
pour la calibration. L'objectif de cette journee sera de proposer une
approche scientifique de ce probleme et de presenter un panorama des
methodes numeriques disponibles pour le resoudre. L'exposition de chaque
methode theorique sera accompagne d'une demonstration numerique et de
commentaires sur les aspects pratiques de l'implementation.
Exposés / Talks:
Rama CONT
Centre de Mathematiques Appliquees
CNRS - Ecole Polytechnique.
Beyond Dupire:
model calibration by regularization and optimization.
Fabio MERCURIO
Banca San Paolo, Milan.
Joint Calibration of the LIBOR Market Model to Caps and Swaptions.
Stephane CREPEY
Artabel SA
Calibration of volatility surfaces I:
deterministic penalization approach.
Claude MARTINI -- Steven FARCY
Artabel SA.
Calibration of local volatility surfaces II:
stochastic control approach..
Inscriptions/ Registrations
To register, fill out and send us the registration form with your payment
or proof of bank transfer before Oct 19, 2001.
http://www.fiquam.polytechnique.fr/finance/261001.html
E-mail registration is not accepted. PhD students should include a letter
describing their subject of research.
Pour vous inscrire, renvoyez le formulaire d'inscription:
http://www.fiquam.polytechnique.fr/finance/261001.html
avec votre reglement par courrier ou télécopie au 01 41167171 avant le
19 Octobre 2001
Renseignements / Information :
For more information contact: tikhonov(a)frontiers-in-finance.com
Pour plus de renseignements, contacter: tikhonov(a)frontiers-in-finance.com
------------------------------------------------------
Frontières en Finance
http://www.frontiers-in-finance.com/
E-mail: info(a)frontiers-in-finance.com
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/