September 2015 - Random - Mailing list — Dipartimento di Matematica, UniPI

de Finetti Risk seminar - september 2015
by Emanuela Rosazza 08 Sep '15

08 Sep '15

On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture Title: Project Evaluation under Uncertainty: From Minimal Martingale Measures to Implementation. Speaker: Jorge P. Zubelli (IMPA) Abstract: Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. This leads to interesting numerical analysis questions and to connections with BSDEs. LOCATION: The seminar will be held on Thursday, September 17, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30. Take note that de Finetti Risk Seminars will be held on Thursday only for this talk, while they are usually planned on Wednesday. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) **************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *****************************************************

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Visita del Prof. Claudio Macci
by giuliano＠dm.unipi.it 07 Sep '15

07 Sep '15

Il Prof, Claudio Macci, dell'Universita' di Roma Tor Vergata, sara' ospite del Dipartimento di Matematica nei giorni 22-23-24 settembre. Terra' un seminario dal titolo "Asymptotic results for runs and empirical cumulative entropies" Data ora, aula del seminario saranno comunicate non appena possibile. Tutti gli interessati sono invitati a partecipare Rita Giuliano

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Seminario Mingyuan ZHOU
by Matteo Ruggiero 04 Sep '15

04 Sep '15

**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO **************************************************************** Mercoledi 9 Settembre 2015 alle ore 12:30, presso l’Aula Rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario: Mingyuan ZHOU (University of Texas at Austin) THE POISSON GAMMA BELIEF NETWORK Abstract: A key issue in deep learning is to define an appropriate network structure, including both the depth of the network and the width of each hidden layer, which may be naturally addressed with completely random measures. We propose the Poisson gamma belief network (PGBN), which factorizes each of its layers into the product of a connection weight matrix and the nonnegative real hidden units of the next layer, to infer a multilayer representation of high-dimensional count vectors. We use the gamma-negative binomial process together with a layer-wise training strategy to infer the network structure, allowing the width of each hidden layer to grow without bound. We further demonstrate that with a fixed budget on the width of the first layer, the PGBN can increase its number of hidden layers to boost its performance. We propose an efficient upward-downward Gibbs sampler to jointly train all the hidden layers of the PGBN, with example results on text analysis illustrating its efficacy and unique properties. Tutti gli interessati sono invitati a partecipare. Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto. Cordiali saluti, Matteo Ruggiero --- Matteo Ruggiero University of Torino and Collegio Carlo Alberto www.matteoruggiero.it

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Assistant Professor with tenure track RTDB politecnico di milano (fwd)
by Carlo Sgarra 03 Sep '15

03 Sep '15

Politecnico di Milano opened a public selection procedure to recruit one Researcher (RTDB Senior) for sector 13 / D4 - Mathematical Methods for Economics, Actuarial and Financial Science http://www.polimi.it/index.php?id=6196&tx_wfqbe_pi1[ID]=219&L=1 Please circulate the information to all those who might be interested. The deadline is October 20 Carlo Sgarra

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International Conference on "Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk" in Venice - Programme
by Monica Billio 02 Sep '15

02 Sep '15

14th INTERNATIONAL CONFERENCE C R E D I T 2015 *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* Venice, Italy 1 - 2 October 2015 The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference this year focuses on *Societal Fault Lines and Credit Risk: The Impact of Current Economic, Institutional and Political Developments on Credit and Risk* and will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference is the *fourteenth* of a series dedicated to various aspects of credit risk. The *co-sponsors* of the Conference are *GRETA Associati* (Venice, Italy), *Research Center SAFE *at Goethe University Frankfurt (Frankfurt, Germany), the *University of Zurich* (Zurich, Switzerland) and *Intesa Sanpaolo *(Milan, Italy). The Conference is organised under the *auspices *of the *Department of Economics of the University Ca’ Foscari of Venice*, *ABI - Italian Banking Association *and *European Investment Bank.* The Scientific Committee for the Conference consists of: *Steven Ongena* (University of Zurich, Programme Chair), *Mark Carey (*Board of Governors of the Federal Reserve System), *Hans Degryse* (KU Leuven), *Jan Krahnen* (SAFE & Goethe University), *André Lucas* (VU University Amsterdam), *Loriana Pelizzon* (SAFE, Goethe University & Ca’ Foscari University of Venice) and *Stephen Schaefer* (London Business School). PROGRAMME Thursday, October 1 2015 9.00 - 9.15_Welcome and Opening Remarks _Monica Billio (Ca’ Foscari University of Venice) Steven Ongena (University of Zurich & Swiss Finance Institute, CREDIT 2015 Programme Chair) 9.15 - 11.00_Session I: Organization and Risk_ Key-note talk: /Information, Credit and Organization,/ Vikrant Vig (London Business School) /Financial Synergies and the Organization of Bank Affiliates: A Theoretical Perspective on Risk and Efficiency, /Elisa Luciano (University of Torino) and Clas Wihlborg (Chapman University) - Discussant: Jean-Edouard Colliard (HEC Paris) /Restructuring Failure and Optimal Capital Structure, /Alfred Lehar (University of Calgary) - Discussant: Jan Pieter Krahnen**(SAFE & Goethe University Frankfurt) 11.45 - 13.00_Session II: Systemic Risk_ Key-note talk: /Risk Premia in Loan Markets,/ Mark Carey (Board of Governors of the Federal Reserve System) /Soft Budget Constraints and Systemic Risk, /Alan D. Morrison (University of Oxford) and Ansgar Walther (University of Oxford) - Discussant: Alessandro Fontana**(Joint Research Center, European Commission) 14.15 - 15.15_Session III: Securitization_ /Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment, /Matthias Efing (Swiss Finance Institute & University of Geneva) - Discussant: Stephen Schaefer**(London Business School) /Securitisation, Bank Capital and Financial Regulation: Evidence from European Banks, /Alessandro Diego Scopelliti (University of Warwick & University of Reggio Calabria) - Discussant: André Lucas**(VU University Amsterdam & Tinbergen Institute) 15.15 - 16.15**_Poster Session 1 _16.15 - 18.00_Session IV: Housing Credit Risk_ Key-note talk: /Beyond Mortgages: Equity Financing of Homes,/ Hayne Leland (University of California, Berkeley) /Loan Product Steering in Mortgage Markets, /Sumit Agarwal (National University of Singapore), Gene Amromin (Federal Reserve Bank of Chicago), Itzhak Ben-David (Ohio State University) and Douglas D. Evanoff (Federal Reserve Bank of Chicago) - Discussant: Geng Li**(Board of Governors of the Federal Reserve System) /Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class, /Manuel Adelino (Duke University, Durham), Antoinette Schoar (MIT Sloan School of Management, Cambridge & NBER) and**Felipe Severino**(Dartmouth, Hanover) - Discussant: Isaac Hacamo**(Indiana University, Bloomington) Friday, October 2 2015 9.00 - 10.30_Session V: Information Asymmetries_ /Rating Agencies and Information Efficiency: Do Multiple Credit Ratings Pay Off? The Case of RMBS Rating Migration, /Stefan Morkoetter (University of St. Gallen), Roman Stebler (University of St. Gallen) and Simone Westerfeld (University of Applied Sciences Northwestern Switzerland) - Discussant: Douglas T. Breeden**(Duke University) /Show Me Yours and I’ll Show You Mine: Sharing Borrower Information in a Competitive Credit Market, /Jaap Bos (Maastricht University), Ralph De Haas (EBRD and Tilburg University) and Matteo Millone (VU University Amsterdam) - Discussant: Reinhard Schmidt**(SAFE & Goethe University Frankfurt) /Information, Contract Design, and Unsecured Credit Supply: Evidence from Credit Card Mailings, /Song Han (Board of Governors of the Federal Reserve System), Benjamin J. Keys (University of Chicago) and Geng Li (Board of Governors of the Federal Reserve System) - Discussant: Arjen Siegmann (VU University Amsterdam) 11.15 - 13.00_Session VI: Interbank Market and Liquidity Risk_ Key-note talk: /Central Bank Policies and Bank Credit Risk,/ Viral Acharya (New York University) /Lending-of-last-resort Is as Lending-of-last-resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area, /Carlos Garcia de Andoain (European Central Bank), Florian Heider (European Central Bank), Marie Hoerova (European Central Bank) and Simone Manganelli (European Central Bank) - Discussant: Marti G. Subrahmanyam**(New York University) / The Euro Interbank Repo Market, /Loriano Mancini (Swiss Finance Institute), Angelo Ranaldo (University of St. Gallen) and Jan Wrampelmeyer (University of St. Gallen) - Discussant: Alain Monfort**(CREST & Banque de France) 14.30 - 15.30_Session VII: Inequality and Credit Risk_ /Does Inequality Cause Financial Distress? Evidence from Lottery Winners and Neighboring Bankruptcies, /Sumit Agarwal (National University of Singapore), Vyacheslav Mikhed (Federal Reserve Bank of Philadelphia) and Barry Scholnick (University of Alberta) - Discussant: Roger M. Stein (MIT Laboratory for Financial Engineering, Cambridge) /Conflicting Security Laws and The Democratization of Credit: France's Reform of the Napoleonic Code, /Kevin Aretz (Manchester Business School), Murillo Campello (Cornell University & NBER) and Maria-Teresa Marchica (Manchester Business School) - Discussant: Matteo Millone (VU University Amsterdam) 15.30 - 16.30_Poster Session 2 _16.30 - 18.00_PANEL Session _ REGISTRATION To register for the Conference you are requested to complete the registration form that is available on our website (http://www.greta.it/credit/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm>). Registration fees are: Academics: 300 Euro + VAT Practitioners: 1000 Euro + VAT Academics Poster Presenter: 130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT PhD Students*: 130 Euro + VAT *VAT is currently 22%* For participants presenting a paper there are no fees. *Students will have to provide valid proof of their student status. The registration fees cover: - Admission to all scientific sessions - Lunches and coffee service during the Conference - Conference kit The registration fees do not fully cover the conference dinner on October 1st, 2015, for which there is an extra charge of 80.00 Euro per person (conference attendees as well as accompanying persons). For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2015/credit2015.htm <http://www.greta.it/credit/credit2015/credit2015.htm> -- "Nota automatica aggiunta dal sistema di posta. Destina il 5 per mille per sostenere con borse di studio gli studenti meritevoli di Ca' Foscari. E' un atto volontario, non costa nulla e non sostituisce l'8 per mille. Scegli Ca' Foscari: codice fiscale 80007720271 Please note that the above message is addressed only to individuals filing Italian income tax returns."

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