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Past Occasional Lectures 2006
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Following is a list of past Occasional Lectures for 2006.
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Speaker:
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Professor Freddy Delbaen, Swiss Federal Institute of Technology (ETH Zurich)
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Title:
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"Monetary Risk Measures" (260 Kb PDF)
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Date:
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Tuesday, 19 September, 2006
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Location:
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University of Technology, Sydney
School of Finance & Economics
Level 3, D Block Room 3.01
1 - 59 Quay Street, Haymarket
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Abstract:
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In this talk it will be shown that the problem of calculating the solution of backward stochastic differential equations (with subquadratic driver) is equivalent to that of finding the monetary utility function induced by a superquadratic penalty function. Results on weak compactness for concave monetary utility functions will be employed.
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Website:
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http://www.math.ethz.ch/~delbaen/
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Speaker:
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Dr. Shaun Bond, Department of Land Economy, University of Cambridge, UK
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Title:
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An Analysis of Commercial Real Estate Returns: Is there a Smoothing Puzzle? (250k PDF)
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Date:
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Tuesday, 15 August, 2006
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Location:
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University of Technology, Sydney
School of Finance & Economics
Level 3, D Block Room 3.01
1 - 59 Quay Street, Haymarket
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Abstract:
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The reduction in global interest rates and the poor performance of stock markets in recent years has seen investors turn to less liquid assets in order to maintain yield or support carry trades. Attention has increasingly focused on asset classes such as commercial real estate, emerging market bonds and hedge funds. However one difficulty for investors in these markets is that readily observable measures of performance based on transactions are not always available. As an example, indices based on infrequent estimates of market price (appraisals) are widely used to measure performance in the commercial real estate sector in contrast to the equity or bond markets, where minute by minute transactions data exists. When current transaction prices for an asset are not readily observed it is necessary to infer market values from the evidence available.
In this paper a key econometric question related to non-transaction based return indices, such as real estate indices, is explored. Using a sample of individual property level returns data from the Investment Property Database (IPD) in the UK, we investigate the relationship between persistence (smoothing) at the individual property level and the amount of persistence in the aggregate appraised-based index. We find that commonly used adjustments to correct index level returns overstate the extent of persistence (smoothing) found at the individual property level. We also find strong support for an ARFIMA representation of appraisal returns in the UK. Our approach may have applications in many areas of finance as it could help to understand other indices such as hedge fund (for example, Getmansky, Lo, and Makarov, 2004), consumer confidence, business survey, or market sentiment indices. Many of these indices suffer similar econometric problems to those investigated in this paper though the effects of each of these issues may differ.
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Website:
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http://www.landecon.cam.ac.uk/staff/bond.htm
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Speaker:
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Stephen Brown, Stern School of Business, New York University, USA
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Title:
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FIRN supported seminar: Caught by the tail: Tail risk neutrality and hedge fund returns
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Date:
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Tuesday, 27 June, 2006
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Location:
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University of Technology, Sydney
School of Finance & Economics
Level 3, D Block Room 3.01
1 - 59 Quay Street, Haymarket
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Abstract:
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We propose a simple and yet robust measure of tail neutrality. By this measure, hedge funds taken as a whole, and a number of distinct hedge fund styles are more sensitive to market risk when the market experiences a substantial decline. This source of risk is not diversifiable, and for this reason funds of funds as portfolios of hedge funds concentrate tail risk exposure rather than mitigate this effect.
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Website:
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http://pages.stern.nyu.edu/~sbrown/sbrown.html
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Speaker:
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Monique Jeanblanc, Université d'Évry Val d'Essonne, France
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Title:
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FIRN Supported Seminar: Hedging of Basket Credit Derivatives in Credit Default Swap Markets
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Date:
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Tuesday, 13 June, 2006
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Location:
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University of Technology, Sydney
School of Finance & Economics
Level 3, D Block Room 3.01
1 - 59 Quay Street, Haymarket
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Abstract:
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The topic of this work is a study of credit default swaps within the framework of a generic reduced-form credit risk model.The main goal is to develop general results dealing with the relative valuation of defaultable claims (e.g., basket credit derivatives) with respect to market values of traded credit-risk sensitive securities. We simply show that a generic defaultable claim (or a generic basket claim, in the case of several underlying credit names) can be replicated by dynamic trading in single-name CDSs.
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Website:
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http://www.maths.univ-evry.fr/pages_perso/jeanblanc/
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Speaker:
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Professor Dr. Wolfgang Härdle, CASE - Center for Applied Statistics and Economics, Institute for Statistics and Econometrics, School of Business and Economics, Humboldt-Universität zu Berlin
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Title:
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"GHADA and GHICA - Tools for Modern Risk Management"
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Date:
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Tuesday, 9 May, 2006
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Location:
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Faculty of Business
University of Technology, Sydney
Room B113, Level 1, B-Block
1-59 Quay Street
Ultimo
Sydney, Australia
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Abstract:
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Risk management technology applied to high dimensional portfolios needs simple and fast methods for calculation of Value-at-Risk (VaR). The multivariate normal framework provides a simple off-the-shelf methodology but lacks the heavy tailed distributional properties that are observed in data. A principle component based method (tied closely to the elliptical structure of the distribution) is therefore expected to be unsatisfactory. Here we propose and analyze a technology that is based on Independent Component Analysis (ICA) in combination with Generalized Hyperbolic (GH) distributions. These distributions offer a flexible alternative. We study the proposed GHADA (adaptive choice of volatility) and GHICA methodology in an extensive simulation study and apply it to a high dimensional portfolio situation. Our analysis yields accurate VaRs.
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Website: http://ise.wiwi.hu-berlin.de/
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Software Site: http://www.i-xplore.de/
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Teachware Site: http://www.md-stat.com/
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Speaker:
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Claudio Albanese, Chair of Mathematical Finance, Imperial College, University of London
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Title:
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"Dynamic Credit Correlation Modelling for Synthetic CDOs"
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Date:
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Tuesday, 11 April, 2006
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Abstract:
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Synthetic CDOs are currently traded with strategies quite distinct from the cash-flow market. The established standard for mark-to-market and trading is given by the base correlation framework based on Gaussian copula and an iterative, local calibration procedure. Unfortunately, this framework is not very satisfactory as in general it is not arbitrage free, the base correlation curve is not guaranteed to exist (and indeed it disappeared in May 2005) and, when it exists, is not unique as the inclusion or equity tranchelets shifts it substantially. There is thus an effort towards establishing an alternative pricing framework and in this presentation I review the model I authored for this purpose.
The proposed new modelling framework is dynamic and rating based. The version published last year was based on a through-the-cycle calibration while I am currently developing a new a point-in-time version which is based on more precise statistics and is suitable not only for index tranches but also to concentration bespokes. The model is arbitrage free and can be calibrated to be consistently with rating transition probabilities and historical probability of defaults, single name CDS spreads including an adjustment for the market price of credit risk, index tranche spreads ranging from the think equity tranches to the senior tranches by identifying a market price for correlation risk. The model is numerically very efficient and highly precise and is based on a new class of high dimensional lattice models in continuous time. The many applications range from pricing the index spread to computing high precision single name CDS spread sensitivities, reconstructing the term structure of tranche spreads for off-the-runs and bespoke maturities and pricing hybrids. The point-in-time version being developed is expected to be suitable for pricing concentration bespokes and CDO tranche options consistently with CDS options.
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Speaker:
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Professor Alan Brace, National Australia Bank
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Title:
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"Interest Rate Term Structure Modelling: BGM Lectures "
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Date:
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Thursday, 16 March 2006, and then various dates still to be determined.
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Abstract:
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The Quantitative Finance Research Centre (QFRC) at UTS is pleased to announce a free lecture series by Dr. Alan Brace. Alan worked in industry, university and government jobs before entering finance in 1988. He started as the quant in a trading team at ANZ, later working at Citibank, National Australia Bank, and then BNP-Paribas in New York; all jobs concentrating on interest rate modeling. He is the “B” in BGM, a model named after the authors of the paper "The market model of interest rate dynamics," which now represents a standard widely used in the market in one form or another.
From Thursday, 16 March 2006, Alan will be presenting a lecture series on these models and their further extension, focusing in particular on practical model implementation. In order to ensure a maximum benefit to participants and limit attendance to persons committed to following the full, intensive series of lectures (anticipated to run over two semesters), participation is by invitation only. Senior managers from the industry who wish to nominate a member of their staff to attend should contact Associate Professor Erik Schlögl at Erik.Schlogl@uts.edu.au by Thursday, 9 March 2006. As a service of Alan Brace and the QFRC to the quantitative finance community, participation in this lecture series will be free of charge
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