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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 26 Jul '15

26 Jul '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), *Center on Sustainable Architecture for Finance (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* (Goethe University), *André Lucas* (VU University Amsterdam), *Loriana Pelizzon* (Ca’ Foscari University of Venice and Goethe University) 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: 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) /Restructuring Failure and Optimal Capital Structure, /Alfred Lehar (University of Calgary) 11.45 - 13.00_Session II: Systemic Risk_ Key-note talk: 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) 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) /Securitisation and Risk Retention in European Banking: The Importance of Collateral and Prudential Regulation, /Alessandro Diego Scopelliti (University of Warwick) 15.15 - 16.15**_Poster Session 1 _16.15 - 18.00_Session IV: Housing Credit Risk_ Key-note talk: 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) /Changes in Buyer Composition and the Expansion of Credit During the Boom, /Manuel Adelino (Duke University, Durham), Antoinette Schoar (MIT Sloan School of Management, Cambridge & NBER) and**Felipe Severino**(Dartmouth, Hanover) 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) /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) /Unsecured Credit Supply over the Credit Cycle: 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) 11.15 - 13.00_Session VI: Interbank Market and Liquidity Risk_ Key-note talk: 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) / The Euro Interbank Repo Market, /Loriano Mancini (Swiss Finance Institute), Angelo Ranaldo (University of St. Gallen) and Jan Wrampelmeyer (University of St. Gallen) 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) /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) 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: Early registrationLate registration (within August 31st)(from September 1st on) Academics: 250 Euro + VAT300 Euro + VAT Practitioners: 800 Euro + VAT1000 Euro + VAT Academics Poster Presenter:130 Euro + VAT130 Euro + VAT Practitioners Poster Presenter: 500 Euro + VAT500 Euro + VAT PhD Students*: 80 Euro + VAT130 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> * Please accept our apologies for any crossed e-mails. GRETA Associati San Polo, 2605 - 30125 Venice, ITALY Phone : +39 041 5238178 - Fax : +39 041 5286166 e-mail: credit(a)greta.it <mailto:credit@greta.it> website: _www.greta.it_ <http://www.greta.it/> -- This message has been scanned for viruses and dangerous content by *MailScanner* <http://www.mailscanner.info/>, and is believed to be clean. -- "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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Postdoc position at Roma Tre
by Pietro Caputo 23 Jul '15

23 Jul '15

Dear Colleague, We would like to draw your attention to two 1-year postdoc positions (assegni di ricerca) based at the Department of Mathematics and Physics of the University of Roma Tre. The first position is focused on Mathematical Physics, more specifically on many-body quantum mechanics and effective theories for condensed matter systems, and it is funded through the FIR grant COND-MATH ("Condensed Matter in Mathematical Physics", principal investigator: Michele Correggi, website www.cond-math.it ). Contact person: M. Correggi michele.correggi(a)gmail.com The second position, funded through the joint project Roma Tre-Marseille "HYPATIE A*MIDEX", has a wider focus and it is open to candidates with a strong background either in Probability Theory (random matrices, random graphs, interacting particle systems, Markov chains) and/or Mathematical Physics (mathematical statistical physics, dynamical systems and quantum mechanics). The local group in Roma Tre active in the above topics include P. Caputo, G. Gentile, A. Giuliani, F. Martinelli, A. Pellegrinotti and E. Scoppola. For this position the detailed research project will be agreed on with the team members. Contact person: A. Giuliani giuliani(a)mat.uniroma3.it Both appointments are for 1 year, starting at the beginning of 2016. The calls will be opened in October 2015 and the examinations of the cv's and the interviews will take place in November/December 2015. Please forward the above information to potentially interested candidates. Thank you in advance, Best regards, Pietro Caputo, Michele Correggi, Guido Gentile, Alessandro Giuliani, Fabio Martinelli, Alessandro Pellegrinotti, Elisabetta Scoppola

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Postdoc positions
by Marco Scarsini 22 Jul '15

22 Jul '15

The Department of Economics and Finance at LUISS has two postdoc positions in the area of Applied Mathematics: 1. Mathematical Models for the Study of Heterogeneous Systems and the Management of Renewable Resources: Stochastic Case 2. Games on Networks Under Uncertainty The application deadline is 2015 September 4. Details can be found at http://tinyurl.com/qeayc2x ******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY URL: http://docenti.luiss.it/scarsini/

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Fwd: 3rd Barcelona Summer School on Stochastic Analysis - July 2016 - CRM
by Marco Romito 20 Jul '15

20 Jul '15

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XXXI ciclo - dottorato di ricerca Univ.Salento e Univ.Basilicata - Bando
by DI NARDO Elvira 19 Jul '15

19 Jul '15

L'Università del Salento, in convenzione con l'Università degli Studi della Basilicata, ha bandito 7 posti di dottorato, di cui 6 con borsa e 1 senza borsa IN “MATEMATICA E INFORMATICA” Tematiche di ricerca • Algebra: Teoria dei gruppi e delle algebre, combinatoria e teoria delle rappresentazioni. • Geometria: Geometria combinatoria, geometria differenziale. • Analisi Matematica: Calcolo delle variazioni, equazioni alle derivate parziali, analisi funzionale, analisi complessa. • Probabilità e Statistica Matematica: Teoria dei processi stocastici, copule e statistica multivariata; applicazioni alla finanza, biostatistica, teoria dei segnali. • Fisica Matematica: Termodinamica dei sistemi continui, relatività generale e cosmologia. • Analisi Numerica: Teoria dell'approssimazione, trattamento numerico di equazioni differenziali ed integrali. • Informatica: Basi di dati, ingegneria del software, algoritmi, grafica, reti e sistemi distribuiti. Le informazioni relative al bando si trovano su: https://www.unisalento.it/c/document_library/get_file?p_l_id=256165&folderI… La scadenza per la presentazione delle domande è il 3 Agosto 2015. La selezione avverrà per valutazione dei titoli e colloquio: - la prova scritta si terrà il giorno 9 settembre 2015 alle ore 15.00 - il colloquio si terrà il giorno 11 settembre 2015, a partire dalle ore 15.00 Con preghiera di massima diffusione soprattutto fra gli studenti. Cordiali Saluti Elvira Di Nardo -- ...................................................... Elvira Di Nardo Dept. Mathematics, Computer Science and Economics University of Basilicata Viale dell'Ateneo Lucano 10 I-85100 (Potenza) alternative address: dinardo.el(a)gmail.com (room) +390971205890 (cell.) +393470033068 (fax) + 390971205896 (skype) elvira.di.nardo (web) http://oldwww.unibas.it/utenti/dinardo/home.html ......................................................

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Austrian Stochastic Days
by Carlo Sgarra 16 Jul '15

16 Jul '15

Inoltro il seguente annuncio per chi fosse eventualmente interessato. Cordiali Saluti. Carlo Sgarra Dipartimento di Matematica Politecnico di Milano Dear Colleagues, We would like to invite you to participate in the 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ which will be held in Vienna from 28th to 29th of September 2015. Our invited speakers will be Evelyn Buckwar (Johannes Kepler University Linz) Jirí Cerný (University of Vienna) This event shall especially give young researchers the opportunity to present their work and to network with other colleagues from or near Austria. Therefore, we would also ask you to PLEASE FORWARD this announcement to doctoral students and postdocs within your research group and department! Thank you. Every participant is invited to submit a talk. The duration of talks is expected to be about 20 minutes (plus 5 minutes discussion) but depending upon the number of submissions this may slightly be adjusted (+/- 5 minutes). For submission please send title and abstract (plain text) to austrian.stochasticdays(a)gmail.com<mailto:austrian.stochasticdays@gmail.com> until August 15, 2015. We would appreciate if you send in your title/abstract as early as possible as this allows us to estimate the number of participants better. In order to have time to talk to each other we also plan to meet for dinner in the evening of the 28th of September. For more information please visit: https://fam.tuwien.ac.at/asd2015/ Best regards and looking forward seeing you, Friedrich Hubalek and Christian Kühn (Vienna University of Technology) [https://ssl.gstatic.com/ui/v1/icons/mail/images/cleardot.gif]

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Austrian Stochastic Days
by Carlo Sgarra 16 Jul '15

16 Jul '15

Inoltro il seguente annuncio per chi fosse eventualmente interessato. Cordiali Saluti. Carlo Sgarra Dipartimento di MATEMATICA Politecnico di Milano Dear Colleagues, We would like to invite you to participate in the 4th Austrian Stochastics Days https://fam.tuwien.ac.at/asd2015/ which will be held in Vienna from 28th to 29th of September 2015. Our invited speakers will be Evelyn Buckwar (Johannes Kepler University Linz) Jiří Černý (University of Vienna) This event shall especially give young researchers the opportunity to present their work and to network with other colleagues from or near Austria. Therefore, we would also ask you to PLEASE FORWARD this announcement to doctoral students and postdocs within your research group and department! Thank you. Every participant is invited to submit a talk. The duration of talks is expected to be about 20 minutes (plus 5 minutes discussion) but depending upon the number of submissions this may slightly be adjusted (+/- 5 minutes). For submission please send title and abstract (plain text) to austrian.stochasticdays(a)gmail.com until August 15, 2015. We would appreciate if you send in your title/abstract as early as possible as this allows us to estimate the number of participants better. In order to have time to talk to each other we also plan to meet for dinner in the evening of the 28th of September. For more information please visit: https://fam.tuwien.ac.at/asd2015/ Best regards and looking forward seeing you, Friedrich Hubalek and Christian Kühn (Vienna University of Technology)

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Avviso di seminario :: Maggioni@DSS (Scienze Statistiche, Sapienza)
by Pierpaolo Brutti 15 Jul '15

15 Jul '15

----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Martedì 21 Luglio, ore 11:30am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma MAURO MAGGIONI (Duke University, Department of Mathematics) terrà un seminario dal titolo MULTISCALE GEOMETRIC METHODS FOR STATISTICAL LEARNING AND DATA IN HIGH-DIMENSIONS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- ABSTRACT We discuss a family of ideas, algorithms, and results for analyzing various new and classical problems in the analysis of high-dimensional data sets. These methods rely on the idea of performing suitable multiscale geometric decompositions of the data, and exploiting such a decomposition to perform a variety of tasks in signal processing and statistical learning. In particular, we discuss the problem of dictionary learning, where one is interested in constructing, given a training set of signals, a set of vectors (dictionary) such that the signals admit a sparse representation in terms of the dictionary vectors. We discuss a multiscale geometric construction of such dictionaries, its computational cost and online versions, and finite sample guarantees on its quality. We then generalize part of this construction to other tasks, such as learning an estimator for the probability measure generating the data, again with fast algorithms with finite sample guarantees, and for learning certain types of stochastic dynamical system in high-dimensions. Applications to construction of multi-resolution dictionaries for images, with the incorporation of invariances, will be discussed. -- ___________________________________________ INVESTI SUL FUTURO, FAI CRESCERE L’UNIVERSITÀ: *DONA IL 5 PER MILLE ALLA SAPIENZA* CODICE FISCALE *80209930587*

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Marie Skłodowska-Curie Ph.D. studentship in Statistical Sciences at the University of Padua - Italy
by Patrizia Piacentini - PhD 13 Jul '15

13 Jul '15

As a partner of the Marie Skłodowska-Curie European Innovative Training Network called "Advanced Multivariate Analysis for New Physics Searches at the Large Hadron Collider" (AMVA4NewPhysics), the University of Padua offers a PhD scholarship in Statistical Sciences. The early-stage researcher recipient of the scholarship will be enrolled in the three-year PhD program offered by the Department of Statistical Sciences. The research will focus on statistical methods targeting the analysis of data from proton-proton collisions collected by the CMS experiment at the Large Hadron Collider operating at the CERN laboratory in Geneva, Switzerland. The research plan includes the participation to international doctoral schools, workshops, and conferences, as well as visiting periods to CERN and to other European institutions belonging to the Network, plus a three-month secondment at a non-academic institution, attending to a stage centered on industry applications of Machine Learning tools. *Eligibility criteria:*Candidates should have an at least four year full time university education degree in Statistics, Mathematics, Physics or related fields formally enabling them to embark in a doctorate program in the country where the degree was obtained; in any case they should possess a strong background in Statistics and Machine Learning. Additional favorable traits include good computing skills and an interest in the application of statistical methods to fundamental research. The application of females is encouraged as AMVA4NewPhysics applies affirmative-action measures to ensure gender equality in the recruitment process. In addition to the above, at the time of recruitment by University of Padova the eligible candidates must not have resided or carried out their main activity (work, studies, etc) in Italy for more than 12 months in the period October 1, 2012 to September 30, 2015 (short stays such as holidays are not taken into account).Eligible candidates must also be, at the time of recruitment, in the first four years (full-time equivalent) of their research careers and not yet have been awarded a doctoral degree. This is measured from the date when they obtained the degree which would formally entitle them to embark on a doctorate, either in the country in which the degree was obtained or in Italy, irrespective of whether or not a doctorate is envisaged. *Conditions:*The gross scholarship amounts to 3318 euros/month; in addition, a mobility allowance of euro 600/month is provided for, as well as a family allowance of euro 500/month if applicable. The cost of the doctoral courses, as well as all expenses related to travel to schools, workshops, and network-organized events, will be sustained by the network. Call for applications is expected to open in mid August; after a preselection, the most promising candidates will be invited to a colloquium by video-conference at the beginning of October. The PhD program is expected to start at the beginning of November 2015. Further information on the position and on the program of the AMVA4NewPhysics training network can be obtained at_https://homes.stat.unipd.it/giovannamenardi/content/amva4newphysics-0_ or by contacting Dr. Giovanna Menardi at menardi AT stat DOT unipd DOT it

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Seminario di Roberto Fernandez a Roma Tre Venerdi 10 ore 12:30
by Pietro Caputo 09 Jul '15

09 Jul '15

SEMINARIO Probabilita' Roberto Fernandez University of Ultrecht Titolo: Stability of phases and perturbation and discretisation Venerdi' 10 Luglio 2015 ORE 12:30 Dipartimento di Matematica e Fisica Universita' degli Studi Roma Tre AULA 311 (SEMINARI) Largo San L. Murialdo,1

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