The VIENNA GRADUATE SCHOOL OF FINANCE
www.vgsf.ac.at
OFFERS
6 SCHOLARSHIPS FOR ITS PhD PROGRAM 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 Vienna University of Economics and Business Administration – invites
applications for its doctoral program. Upon admission, applicants can
expect to obtain a top-quality education for an academic career or a
highly specialized position in business or international institutions.
HIGHEST ACADEMIC CREDENTIALS
The Vienna Graduate School of Finance draws on the academic resources of
three established academic institutions, with a faculty specializing in
various fields of finance, including asset pricing, corporate finance,
financial institutions, risk management, and market microstructure.
Well-established within the research community, the local faculty not
only focuses on questions of fundamental theoretical and empirical
importance in finance, but also on policy-oriented issues and practical
applications.
DISTINGUISHED INTERNATIONAL FACULTY
Leading scholars in the field are regularly invited to teach advanced
courses on a topic with either important practical applications or high
potential for future research. For example, in the last three years
courses have been taught by Kerry Back (St. Louis), David Bates (Iowa),
Tomas Björk (Stockholm), Tim Bollerslev (Durham), Michael Brennan
(UCLA), Zsuzsanna Fluck (Michigan State), David Lando (Copenhagen),
Antonio Mele (LSE), Mojmir Mrak (Ljubljana), Stefan Reichelstein
(Stanford), Neal Stoughton (UC Irwine), Suresh Sundaresan (Columbia),
Russ Wermers (Maryland), Jan Werner (Minnesota), and Stanley Zin
(Carnegie Mellon).
PROGRAM
The program consists of two years of intensive course work, followed by
thesis writing. All courses are taught in English. In addition to good
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 should 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 stated
below.
SCHOLARSHIP
Successful applicants will receive generous financial support.
Approximately 6 applicants will be admitted to the program.
Please send your application package not later than
------FEBRUARY 15th, 2006-----
to the following address:
VGSF - Prof. Josef Zechner
University of Vienna
Department of Finance
Brünnerstrasse 72
1210 Vienna (Wien), Austria.
FURTHER INFORMATION AND APPLICATON DETAILS:
--------------- http://www.vgsf.ac.at--------------------------
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 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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
Dear VFN-L,
Josef Hofbauer from the Department of Mathematics of University
College London informed us of a vacant Chair in Financial Mathematics.
Details are to be found at
http://www.maths.lse.ac.uk/Chair_in_Financial_Mathematics.html
Regards,
--
-- Andreas Schamanek
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 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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
This is a reminder for the VGSF Research Seminar that is going to take
place today, Friday Dec. 2nd, from 15:30 to 17:00 at the BWZ in
Floridsdorf (University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/ ) in lecture room 3
(HS 3).
Prof. Burcin Yurtoglu from the University of Vienna is going to give a
talk on "The Effects of Ownership Concentration and Identity on
Investment Performance: An International Comparison". For further
information regarding Prof. Yurtoglu look at
http://homepage.univie.ac.at/besim.yurtoglu/
For further information and upcoming visitors, please refer to
http://www.vgsf.ac.at.
Best,
Michael Halling
Sehr verehrte Damen, sehr geehrte Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien,
Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl,
sind voraussichtlich ab 1. Jänner 2006 bis 30. September 2008 zwei Stellen
eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin
vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei Stellen
unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48
(Bewerbungsfrist: 21. Dezember 2005).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung
an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Alexander Veverka
----------------------------------------------------------------------------------------
Dr. Alexander Veverka, Assistant Professor
Institute for Finance and Financial Markets
Chair for Investmentbanking and Catallactics
Vienna University of Economics and Business Administration
Althanstrasse 39-45, 1090 Vienna, Austria, Europe
Phn: +43 1 31336 4183
Fax: +43 1 31336 761
email: alexander.veverka(a)wu-wien.ac.at
----------------------------------------------------------------------------------------