Skip to Content

Seminars and Visitors

Our Visitors

2015

Matt McCarten

  • 9 December

Ying Gan

  • 8 December

Dr Youguo Zhang

  • 4 Nov - 16 Nov

Prof Edward Altman

  • 20 Oct - 20 Nov

Prof Marc Gronwald

  • 24 Sep - 13 Oct

Prof Marco Pagano

  • 28 Sep - 2 Oct

Moshe Milevsky

  • 25 August

Mark Trede

  • 18 Aug

Julian Inchaupse

  • 15 - 30 Aug

Tom Nohel

  • 6 Aug

Moritz Lukas

  • 3 - 30 Aug

Mario Wuethrich

  • 28 May

Huanhuan Zheng

  • 31 Mar

Luca Schneider

  • 1 Apr - 31 Jul

Frank Shiemann

  • 1 Mar - 1 Apr

Professor Rudi Zagst

  • 16 Feb - 16 Mar

Professor Helmut Luetkepohl

  • 15 Feb -13 March

2014

Andrija Mihoci

  • 16 Dec

Christopher Neely

  • 1 Dec - 2 Dec

Lars Winkelmann

  • 29 Nov - 2 Dec

Liu-Jiajun

  • 19 - 25 Nov

Professor Don Chance

  • 3 - 14 Nov

Kristina Schluessler

  • 5 Sep - 27 Oct

Silvia Pastorekova

  • 8 Sep - 26 Feb 15

Moritz Lukas

  • 11 Aug - 30 Sep
Martin Hain
  • Jun - Oct
Professor Nick Apergis
  • 5-7 June
Alexander Ristig
  • 13 Jan - 15 June
Professor Wolfgang Haerdle
  • 12 - 16 March
Klaus Mayer
  • 9 Jan - 31 March
2013
Paolo Krischak
  • 15 Dec13 - 15 March 14
Professor Yongzhong Wang
  • 2 Dec - 15 Dec
Professor Lian Cheng
  • 28 Nov - 11 Dec
Professor Terry Walter
  • 24 Sep
Professor Edward Altman
  • 15 Mar - 15 Apr
Prof Wolfgang Haerdle
  • 2 - 9 Mar
2012
Hilke Hollander

  • 1 November - 20 December 2012
Olaf Korn
  • 4 September - 30 October 2012
Christophe Hurlin
  • 21 - 24 August 2012
Bertrand Candelon
  • 21 - 24 August 2012
Prof Wolfgang Haerdle
  • 23 - 31 August 2012
Assistant Prof Reza Aghdam
  • 11 June - 25 August 2012
Prof Sanjiv Das
  • 27 - 30 March 2012
Prof Rafal Weron
  • 19 - 30 March 2012

2016 Seminars and Visitors

Investment Funds – Research and Applications Masterclass

  • Presenter: Professor Marco Wilkens University of Augsburg
  • Dates: Monday 22 Feb, Wednesday 24 Feb and Friday 26 Feb 2016
  • Venue: Macquarie University E4B Tutorial Rooms: Monday E4B 314; Wednesday & Friday E4B 316
  • Time: 9-4pm
  • Course overview: Participants will acquire profound knowledge of different kind and particularities of investment funds, the funds' regulatory framework and state-of-the-art methods to assess their performance. Participants will become familiar with theoretical and practical aspects of investment funds.

2015 seminars and courses

Welcome back? Economic consequences of CEO reappointments

  • Speaker: Ying Gan, Erasmus University Rotterdam
  • Date: Tuesday 8 December
  • Time: 10am – 11:30am
  • Place: E4A 523

Lobbying and securities class actions pre- and post-SOX

  • Speaker: Matt McCarten, University of Otago
  • Date: Wednesday 9 December
  • Time: 11am-12.30pm
  • Place: E4B 308 Tutorial Room

Outlook for Global Credit Markets – Is it a Bubble?

A joint event with the Centre for International Finance and Regulation (CIFR).

  • Speaker: Professor Edward Altman, Stern School of Business, New York University
  • Date: Thursday, 19 November
  • Time: 12.30pm - 2.00pm (Registration 12.00pm; light lunch provided)
  • Place: Macquarie Applied Finance Centre
                       Level 3, Swire House
                       10 Spring Street
                       Sydney NSW 2000
  • Registration has now closed for this event as all places have been filled.

Prof Altman will present a second seminar, hosted jointly by the Department of Applied Finance and Actuarial Studies and the Centre for Financial Risk:

How Risky are Private Equity Sponsored LBOs?

The Economics of Bitcoins - News, Uncertainty and Jumps

  • Speaker: Dr Marc Gronwald, University of Aberdeen Business School
  • Date: Tuesday 6 October
  • Time: 2 - 3pm
  • Place: E4A 623


FIRN Masterclass: Market Microstructure

  • Speaker: Professor Marco Pagano, University of Naples Federico II, Italy
  • Date: FIRN Masterclass: 28 September - 2 October.
  • Time: Mon - Thurs 10am - 4.30pm, then 1 - 3pm Friday for course exam
  • Place: 75T 6.02 (Luxottica Building, 75 Talavera Rd, enter from Innovation Rd behind the hospital)
  • Register: Registration is now closed

Prof Pagano will also present a public seminar:

Banks Exposures and Sovereign Stress Transmission

  • Date: Friday 2 October
  • Time: 3.30 - 5pm
  • Place: E7B T2

Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating

  • Speaker: Moshe Milevsky, Schulich School of Business, York University
  • Date: Tuesday 25 August
  • Time: 11.30am - 12.30pm
  • Place: E4A 623

The Case for Herding is Stronger than You Think

  • Speaker: Mark Trede, University of Muenster
  • Date: Tuesday 18 August
  • Time: 2-3.30pm, with afternoon tea following the presentation
  • Place: E4A 623

Leverage Decisions in Portfolio Management

  • Speaker:Tom Nohel, Loyola University of Chicago
  • Date: Thursday 6 August
  • Time: 11am
  • Place: E4A 623

Financial Bubble Implosion

  • Speaker: Dr Shu-ping Shi, Macquarie University
  • Date: Friday 12 June
  • Time: 2-3:30pm with afternoon tea after the presentation
  • Place: E4A 523

From Ruin Theory to Solvency in General Insurance

  • Speaker: Mario Wuethrich, ETH Zurich
  • Date: Thursday 28 May
  • Time: 2-3.30pm, with afternoon tea after the presentation
  • Location: E4A 623

Information Transparency and Market Risk

  • Speaker: A/Prof Huanhuan Zheng
  • Date: Tuesday 31 March
  • Time: 2.30-4pm
  • Location: E4A 623

Discrete Time Finance Course

  • Speaker: Prof Rudi Zagst, Technical University Munich (TUM)
  • Dates and time: A two-and-a-half day course of 10 sessions: 9.30am - 5pm  Wednesday 18 February and Thursday 19 February, and 9.30am -1 pm Friday 20 February 
  • Location: E4A 523
  • Cost: Free, but please register early as places are strictly limited by the room's capacity
  • Register: Registration is now closed

Previous seminars and courses

End of year Double Seminar on Currency and Interest Rates Markets

  • Speakers: Dr Lars Winkelmann, Freie University of Berlin and Christopher Neely, Federal Reserve Bank of St Louis
  • Date: Monday 1 December 2014

Spatial Analysis of Carbon Emissions And Introduction of  CDM  In China

  • Speaker: Dr Liu-Jiajun, Chinese Acadamy of Social Sciences (CASS)
  • Date: Thursdsay 20 November 2014
Research in Derivatives and Risk Management: How We Got Here, Where We're Going, and Is There a Future? and When Actions Speak Louder than Words: Currency Management in Non-Financial Corporations
  • Speaker: Professor Don Chance, Louisiana State University
  • Date: Wednesday 5 November
On Historical and Implied Risk Measures for Major Agricultural Commodity Markets
  • Speaker: Kristina Schluessler, Georg-August University of Goettingen
  • Date: Wednesday 22 October
Mortgage Lending: Bank Competition and Customer Behaviour
  • Speaker: Moritz Lukas, University of Hamburg
  • Date: Wednesday 17 September 2014

Risk Factors and Their Associated Risk Premia: An Empirical Analysis of the Crude Oil Market

  • Speaker: Martin Hain, Karlsruhe Institute of Technology
  • Date: Wednesday 13 August

'Animal Spirits' are Here: Automated-Machines Generated News and Credit Ratings- Evidence from European Countries with Sovereign Debt Problems

  • Speaker: Professor Nick Apergis, Curtin University
  • Date: Thursday 5 June

Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models

  • Speaker: Alexander Ristig, Humboldt University Berlin
  • Date: Friday 30 May 2014

Adaptive Forward Intensities

  • Speaker: Professor Wolfgang Haerdle, Humboldt University Berlin
  • Date: Thursday 13 March 2014

Market efficiency, production flexibility, and electricity price
volatility

  • Speaker: Klaus Mayer, Technische Universitat Munchen
  • Date: Friday 7 March 2014

Illiquidity Transmission From Spot to Futures Markets

  • Speaker: Paolo Krischak, Georg-August-Universitat Goettingen
  • Date: Friday 14 February 2014

Current Circumstances, Risks and Trends of China's FX Reserve Management

  • Speaker: Professor Yongzhong Wang, Chinese Academy of Social Sciences (CASS)
  • Date: Wednesday 4 December, 2013

Evolution of China's Financial Supervision and Regulation

  • Speaker: Professor Lian Cheng, CASS
  • Date: Friday 29 November, 2013

Workshop for PhD students on 24 September

  • Speaker: Professor Terry Walter
  • Date: Tuesday 24 September, 2013

Credit Risk and Investment Management

  • Half-day workshop
  • Speaker: Professor Edward Altman
  • Date: Wednesday 27 March 2013

CoVaR and Variable Selection

Convenience Yield Risk Premiums

  • Speaker: Professor Olaf Korn
  • Date: Monday 29 October, 2012

Continuous Time Finance Course

Quantile Regression in Risk Calibration

  • Speaker: Professor Wolfgang Haerdle
  • Date: Wednesday 29 August, 2012

Run-my-Code

  • Speaker: Christophe Hurlin
  • Date: Wednesday 22 August, 2012

Financial Crises and Early Warning Systems

  • Speaker: Professor Bertrand Candelon
  • Date: Wednesday 22 August, 2012

Economic Impacts of Contemporary Electricity Reform in OECD: Emphasizing Australia

  • Speaker: Reza Fathollahzadeh Aghdam
  • Date: Wednesday 18 June, 2012

The Term-Structure of Risk and Forward Premiums in Currency Futures Markets

  • Speaker:  Satish Kumar
  • Date: Wednesday 30 May, 2012

Seminar Details

2015

Lobbying and securities class actions pre- and post-SOX

  • Speaker: Matt McCarten, University of Otago
  • Date: Wednesday 9 December
  • Time: 11am-12.30pm
  • Place: E4B 308 Tutorial Room

Abstract: This paper examines the impact lobbying has on the time it takes to detect managerial misconduct and the size of the penalties associated with securities class actions before and after the enactment of SOX. Prior to SOX we find managers of firms that lobbied were able to evade detection for longer and were marginally less likely to have to settle a class action filed against them. After SOX lobbying no longer has an impact on the time it takes to detect misconduct or the outcome of the case. The findings indicate that in the pre-SOX period lobbying caused information asymmetries which made it more difficult to detect managerial malfeasance. The enactment of SOX appears to have improved corporate transparency of lobbying firms making it relatively easier to uncover and prove corporate misconduct.

Welcome back? Economic consequences of CEO reappointments

  • Speaker: Ying Gan, Erasmus University Rotterdam
  • Date: Tuesday 8 December
  • Time: 10am – 11:30am
  • Place: E4A 523

Abstract: We analyse reappointments of former CEOs of US listed firms over the period 1992 – 2013. For a sample of 117 CEO reappointments, we find that shareholders of these firms experience statistically significant negative stock valuation consequences. Our findings are robust to multiple return measurement windows and alternative definitions of abnormal returns. We also document that market reactions depend on certain executive-specific attributes, such as whether she is the founder of the firm or whether she is also appointed as chairman of the board of directors. Finally, we show that firm performance deteriorates after a former CEO is appointed relative to appointing a non-former CEO. Our results provide evidence that the market considers reappointed CEOs as "leaders of last resort" and highlights the importance of CEO succession planning.

The Economics of Bitcoins - News, Uncertainty and Jumps

  • Speaker: Dr Marc Gronwald, University of Aberdeen Business School
  • Date: Tuesday 6 October
  • Time: 2 - 3pm
  • Place: E4A 623

Abstract: This paper contributes to the literature on the economics of Bitcoins by empirically analysing Bitcoin prices. The application of an autoregressive jump-intensity GARCH model allows one to study the role of extreme price movements. The results suggest that this influence is particularly pronounced - larger than in other markets - and remains relatively unchanged over time. These results gain importance as the Bitcoin market has only recently emerged and is characterised by a number of distinct market features which imply that there are fewer uncertainties associated with this market.

Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating

  • Speaker: Moshe Milevsky, Schulich School of Business, York University
  • Date: Tuesday 25 August
  • Time: 11.30am - 12.30pm
  • Place: E4A 623

Abstract: There is growing interest in the design of annuities that insure against idiosyncratic longevity risk while pooling systematic risk; for example Piggot, Valdez and Detzel (2005) or Donnelly, Guillen and Nielsen (2014). In this presentation we generalise the natural retirement income tontine introduced by Milevsky and Salisbury (2015), by combining heterogeneous cohorts into one pool. We engineer this scheme by allocating tontine shares at either a premium or a discount to par based on (i) the age of the investor and (ii) the amount they invest. For example, a 55 year-old allocating $10,000 to the tontine might be told to pay $200 per share and receive 50 shares, while a 75 year-old allocating $8,000 might pay $40 per share and receive 200 shares. They would all be mixed together into the same tontine pool and each tontine share would have equal income rights. On a historical note, this echoes a proposal by Charles Compton (1833) almost two centuries years ago; which hasn't received much attention in the literature. The presentation addresses existence and uniqueness issues and discusses the conditions under which Compton's scheme can be constructed equitably - which is distinct from fairly - although it isn't optimal for any cohort. As such, this also gives us the opportunity to diff erentiate between arrangements that are socially equitable, v actuarially fair v economically optimal.

The Case for Herding is Stronger than You Think

  • Speaker: Mark Trede, University of Muenster
  • Date: Tuesday 18 August
  • Time: 2-3.30pm, with afternoon tea following the presentation
  • Place: E4A 623

Abstract: We challenge the often implemented herding measure by Chang, Cheng, and Khorana (2000) who detect herding by regressing the cross-sectional absolute deviation of returns on the absolute and squared excess market return. A coefficient on the squared excess market return significantly smaller than zero is interpreted as evidence for herding. However, we show that the true coefficient is positive under the null hypothesis of no herding. Hence, their test is biased against finding evidence in favour of herding. An empirical examination for the S&P 500 confirms the misleading implications of Chang, Cheng and Khorana's measure, while our modified test provides clear-cut evidence for herding behaviour.

Leverage Decisions in Portfolio Management

  • Speaker:Tom Nohel, Loyola University of Chicago
  • Date: Thursday 6 August
  • Time: 11am
  • Place: E4A 623

Abstract: We study the leverage decisions of portfolio managers by focusing on domestic closed-end equity and taxable fixed income funds. Over forty percent of the equity funds, and two thirds of the fixed income funds employ significant leverage by borrowing from banks and/or issuing preferred stock. We examine how portfolio fundamentals and managerial characteristics affect the use of leverage. We find that funds investing in ILLIQUID securities tend to use more leverage – equity funds over-weight small cap and value stocks relative to their peers, while fixed income funds overweight high yield bonds.  In addition to differences in investment styles, leverage funds tend to be larger, younger, more expensive (i.e., charge higher fees), and trade more aggressively than their unlevered peers.  In terms of performance, the levered fixed income funds outperform their unlevered peers (and among levered funds, the funds with above median leverage outperform those with below median leverage), while among equity funds, we find no significant performance differences based on leverage use.

Financial Bubble Implosion

  • Speaker: Dr Shu-ping Shi, Macquarie University
  • Date: Friday 12 June 2015
  • Time: 2-3:30pm with afternoon tea after the presentation
  • Place: E4A 523

Abstract: Expansion and collapse are two key features of a fi nancial asset bubble. Bubble expansion
may be modeled using a mildly explosive process. Bubble implosion may take several
di fferent forms depending on the nature of the collapse and therefore requires some
flexibility in modeling. This paper develops analytics and studies the performance characteristics of the real time bubble monitoring strategy proposed in Phillips, Shi and Yu (2014b,c, PSY)
under alternative forms of bubble implosion that can be represented in terms of mildly integrated
processes which capture various return paths to market normalcy. We propose a
new reverse sample use of the PSY procedure for detecting crises and estimating the date
of market recovery. Consistency of the dating estimators is established and the limit theory
addresses new complications arising from the alternative forms of bubble implosion and the
endogeneity e ffects present in the reverse regression. Simulations explore the finite sample
performance of the strategy for dating market recovery and an illustration to the Nasdaq stock
market is provided. A real-time version of the strategy is provided that is suited for practical
implementation.

From Ruin Theory to Insolvency in General Insurance

  • Speaker: Mario Wuethrich, ETH Zurich
  • Date: Thursday 28 May
  • Time: 2-3.30pm, with afternoon tea after the presentation
  • Location: E4A 623

Abstract: We start from ruin theory considerations in the classical Cramer-Lundberg process. These considerations will be modified step by step so that we arrive at today's modern solvency assessments for general insurance companies. These modifications include discussions about time horizons, risk measures, claims development processes, financial returns and valuation of insurance liabilities.

On the Systemic Risk of International Mutual Funds

Speaker: A/Prof Huanhuan Zheng
Date: Tuesday 31 March
Time: 2.30 - 4pm, with afternoon tea from 3.30pm
Location: E4A 623

Abstract: Using weekly data of 10,570 mutual funds investing internationally from 2000 to 2011, we study contribution of fund-specific risk to the risk inherent to aggregate mutual fund sector. The main findings suggest that systemic risk contribution is negatively associated with investment inflows and return performance during the global crisis of 2007-09, but not in market tranquility.

On the Systemic Risk of International Mutual Funds (PDF)

2014

End-of-Year Double Seminar on Currency and Interest Rates Markets with Lars Winkemann and Christopher Neely

2-3pm: Seminar one:  Lars Winkelmann, Freie University of Berlin

Topic: European Central Bank Monetary Policy Surprises: Identification Through Co-jumps in Interest Rates

Abstract

This presentation proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on co-jumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions.

3-3.30: Afternoon tea

3.30-4.30: Seminar two: Christopher Neely, Assistant Vice President, Federal Reserve Bank of St Louis 

Topic: "Can risk explain the profitability of technical trading in currency markets?"Abstract:It is a robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favour of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis.

Seminar with Dr Liu-Jiajun, Chinese Acadamy of Social Sciences (CASS)

  • Speaker: Dr Liu-Jiajun, Chinese Acadamy of Social Sciences (CASS)
  • Title: Spatial Analysis of Carbon Emissions And Introduction of  CDM  In China
  • Date: Thursdsay 20 November 2014
  • Time: 2.30pm - 4pm, with afternoon tea
  • Location: E4A 523 Seminar Room

Seminar with Dr Liu-Jiajun, CASS

Abstract: This presentation will be a discussion including:

    - The characteristics of carbon emission distribution in China
    - Study on the Shift of CO2 Emissions Gravity Center and Driving Factors
    - A Study On Spatial Spillover And Correlation Effect Of Carbon Emissions Across 30 Provinces In China
    - Exploring a market-based mechanism for GHG emission control
    - China's CDM Statistics
    - China's Policies and Actions for Addressing Climate Change

Workshop with Professor Don M Chance

  • Speaker: Don M Chance, Louisiana State University
  • Title: Part I (Starts 1pm): Research in Derivatives and Risk Management: How We Got Here, Where We're Going, and Is There a Future? Part 2 (starts 2.45pm): When Actions Speak Louder than Words: Currency Management in Non-Financial Corporations
  • Date: Wednesday 5 November
  • Time 1 - 4pm.
  • Location: Level 1 Lecture Theatre, Hearing Hub, 16 University Avenue (5 mins walk from E4A)

Professor Don Chance will present a 3-hour workshop on Research in Derivatives and Risk Management.The workshop will be divided into two parts, with afternoon tea between 2.15 - 2.45pm. You are welcome to attend either half, or both. 

Abstract for Part 2: Using a unique data set with complete firm-level components of currency positions, we examine whether large multinational non-financial firms are speculating or hedging as they manage their currency spot and derivatives positions. We find a notable discord between the stated policies of companies and their actions. We also find that the transactions they undertake are associated with market shock variables. Overall, the evidence strongly suggests that these non-financial firms are speculating instead of hedging when they manage their currency spot and derivatives positions. Moreover, we find that even when they are hedging, they are still attempting to time the market.Prof Don Chance's visit will be hosted jointly by Prof Elizabeth Sheedy, Macquarie Applied Finance Centre, and Prof Stefan Trueck, Centre for Financial Risk, Department of Applied Finance and Actuarial Studies.

Seminar with Kristina Schluessler

  • Speaker: Kristina Schluessler, University of Goettingen
  • Title: On Historical and Implied Risk Measures for Major Agricultural Commodity Markets
  • Date: Wednesday 22 October 2014
  • Time: 2.30-4pm; presentation 2.30-3.30pm, with afternoon tea following
  • Location: E4A 523

This presentation introduces different risk measures to characterise the detailed structure of volatility in agricultural commodity markets. These measures allow for a decomposition of overall price moves into "large" changes with potentially severe economic consequences and "normal" changes. We derive forward-looking estimators of the risk measures that extract market expectations about future commodity price moves from current option prices. In an empirical study for major grain markets, we show that our measures indeed capture different aspects of price volatility, shedding new light on the food price crisis of 2007/08. Another key finding is that option-implied estimators show a much higher information content for future price moves than historical estimators.

Seminar with Moritz Lukas

  • Speaker: Moritz Lukas, University of Hamburg
  • Title: Mortgage Lending: Bank Competition and Customer Behaviour
  • Date: 17 September 2014
  • Time: 2.30pm afternoon tea, presentation 3-4pm
  • Location: E4A 523

Mortgages are important for both, banks' revenues and retail borrowers' financial well-being. Many German retail mortgage borrowers pay too high interest rates after refinancing although interbank competition is high. Matching the results of a survey among mortgage borrowers with market data, we find that surprisingly few borrowers switch to an outside lender even though non-switching borrowers face significantly higher interest rates than those who switch. We identify overestimated switching costs and underestimated switching benefits as likely reasons. Borrowers anchoring on previous interest rates is an important determinant of their insufficient search efforts. Overall, several billion Euros per annum are transferred to lenders.

Seminar with Martin Hain

  • Speaker: Martin Hain, Karlsruhe Institute of Technology
  • Title: Risk Factors and Their Associated Risk Premia: An Empirical Analysis of the Crude Oil Market
  • Date: Wednesday 13 August 2014
  • Time: 3 - 4.30pm with afternoon tea on arrival
  • Location: E4A 523

This presentation investigates the role of volatility and jump risk for the pricing and hedging of derivative instruments and quantifies their associated risk premia in the crude oil futures and option markets. We use a unified estimation approach that uses both return data and a cross section of option prices over time to consistently estimate parameters, latent variables, and to disentangle the various risk premia. Our estimation results show that jump risk is priced with a significant premium, while no evidence for a significant market price of volatility risk exists. Empirical evidence from a pricing and hedging exercise confirms these findings.

Seminar with Nick Apergis

  • Speaker: Nick Apergis, Curtin University
  • Title: 'Animal Spirits' are Here: Automated-Machines Generated News and Credit Ratings- Evidence from European Countries with Sovereign Debt Problems
  • Date: Thursday 5 June 2014
  • Time: 4pm - 5.30pm with afternoon tea on arrival
  • Location: E4A 623 

This study aims to shed light on the role of text line news or 'animal spirits' in the core of the European debt crisis. In particular, it quantifies, for the first time, how this news metric, originated through the communication revealed by statements electronically recorded and divided into positive and negative tones, affects credit ratings. Through a sample of three European countries with the most severe sovereign debt problems, i.e. Greece, Ireland, and Portugal, and daily data spanning the period 2009-2011, the empirical findings document that such a news variable affects both the mean and the conditional volatility of credit ratings. The findings cast a cloudy doubt on the effectiveness of economic modelling on which such ratings are based.

Seminar with Alexander Ristig

  • Speaker: Alexander Ristig, Humboldt University Berlin
  • Date: Friday 30 May 2014
  • Time: 11am morning tea; 11.30am presentation
  • Location: E4A 623

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields computationally tractable, consistent and asymptotic efficient estimates of all parameters. We show the asymptotic normality and derive the estimator's asymptotic covariance in dependence of the number of iteration steps. To mitigate the curse of dimensionality in high-parameterized models, we combine the procedure with a penalization approach yielding sparsity and reducing model complexity. Small sample properties of the estimator are illustrated for two time series models in a simulation study. In an empirical application, we use the proposed method to estimate the connectedness between companies by extending the approach by Diebold and Yilmaz (2014) to a high-dimensional non-Gaussian setting.

The discussion paper and the slides of the presentation can also be downloaded by copying/following the links.

Seminar with Professor Wolfgang Haerdle

  • Speaker: Professor Wolfgang Haerdle, Humboldt University Berlin
  • Title: Adaptive Forward Intensities
  • Date: Thursday 13 March 2014
  • Time: 3pm afternoon tea; 3.30pm presentation
  • Location: E4A 623

Calibrating forward intensities to corporate default data is a necessary step in credit risk analysis. The estimated model needs to be revised though as time evolves. This is particularly true when additionally events (different from default) like delisting are incorporated. An adaptive technique that localizes a multiperiod forward intensities model is investigated here. The technique presented adaptively selects a data-driven estimation window allowing flexible forecasts. We found that, in most of rolling window, the two risk levels give the same length of interval of homogeneity and more stable after the crisis. In addition, the selected interval length does not much vary across time. Hence, a priori fixing the length of estimation period is reasonable.

Seminar with Klaus Mayer

  • Speaker: Klaus Mayer, Technische Universitat Munchen
  • Title: Market efficiency, production flexibility, and electricity price
    volatility
  • Date: Friday 7 March 2014
  • Time: 11am morning tea; 11.30am for presentation
  • Location: E4A 623

This seminar analyses abnormal returns around the earnings announcements of energy
utilities. Based on a worldwide dataset covering 25 different electricity markets, we
find that firms with highly flexible power plants exhibit positive abnormal returns in
markets with high electricity price volatility. We also demonstrate that analysts tend
to under-estimate EPS for these firms. This surprising result implies that investors
and analysts are not able to (perfectly) predict firms' earnings based on publicly
available data on their flexibility and electricity prices. Thus, our results indicate
that there exists a market inefficiency with regard to the processing of technical
information.

Seminar with Paolo Krischak

  • Speaker: Paolo Krischak, Georg-August-Universitat Gottingen
  • Title: Illiquidity Transmission From Spot to Futures Markets
  • Date: Friday 14 February 2014
  • Time: 11am morning tea; 11.30am for presentation
  • Location: E4A 623

We develop a theoretical model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The results imply that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with liquidity risk, price risk, and the risk aversion of the market maker. The predictions of the model are tested empirically with data from the stock market and the market for single-stock futures. The results support our model. In particular, they show that the derivative hedge theory is important for the explanation of the liquidity link between spot and futures markets, but provide no evidence in favour of the substitution hypothesis.

2013

Seminar with Professor Yongzhong Wang

  • Speaker: Professor Yongzhong Wang, Chinese Academy of Social Sciences (CASS)
  • Title: Current Circumstances, Risks and Trends of China's FX Reserve Management
  • Date: Wednesday 4 December 2014
  • Time: 12.30-1.30pm
  • Location: Seminar room E4A 623

The PPT attempts to analyse the evolution, currency and security structure, investment yields, sterilization costs, risks and challenges, and trends of China's FX reserve management. In the past decades, the size of China's FX reserve has experienced tremendous growth due to persistent and substantial current balance and FDI capital inflow. Currently, China's FX reserve skyrockets to 3.66tn USD, and whose share in the world total amount is around 30%. China's FX reserve is mainly invested in low yield and highly rated US long-term government and agency bonds, and European and Japanese long-run government securities. Chinese monetary authority has suffered large loss in holding huge foreign reserves since the global financial crisis, due to US QE monetary policy, RMB revaluation and high sterilization cost (high domestic interest rates). Currently, China's FX reserve assets had faced sovereign debt default risk, inflation risk, interest rate risk, and foreign exchange rate risk. Recently, China's FX reserve investment has shown some new trends, such as, giving more emphasis on the target of reward, establishing the mechanisms of entrusted loan and sub-loan, and increasingly rapid expansion in risky alternative investment.

Prof Wang  is Senior Research Fellow  and Deputy Head, Department of International Investment, Institute of World Economics and Politics (IWEP), at the Chinese Academy of Social Sciences (CASS). He is visiting Macquarie University through an exchange arranged with the Global Programs Office.

Seminar with Professor Lian Cheng

  • Speaker: Professor Lian Cheng
  • Title: Evolution of China's Financial Supervision and Regulation
  • Date: Friday 29 November 2013
  • Time: 12 - 1pm
  • Location: Seminar room E4A 623

This presentation discusses the characteristics, philosophy and problems of China's financial regulation and supervision system in the review of its sixty years' evolution process, and proposes some policy recommendation for its future development.

Half-day workshop with Professor Edward Altman

  • Title: Credit Risk and Investment Management
  • Date: Wednesday 27 March 2013
  • Time: 9am - 1pm
  • Location: Macquarie University's Applied Finance Centre, Level 3, 10 Spring Street, Sydney

While in Sydney visiting the Centre for Financial Risk, Professor Ed Altman was interviewed on Sky News.

Event details for "Credit Risk and Investment Management" workshop

Seminar with Professor Wolfgang Haerdle

  • Title: CoVaR and Variable Selection
  • Date: Thursday 7 March 2013
  • Time: 12-1pm
  • Location: Seminar room E4A 623

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a projection-based single-index model specification. For very high dimensional regressors X one faces yet another dimensionality problem and needs to balance precision v dimension. Such a balance may be achieved by combining semiparametric ideas with variable selection techniques. We offer theoretical properties and demonstrate our method with applications to firm risk analysis in a CoVaR context.

2012

Convenience Yield Risk Premiums

  • Speaker: Professor Olaf Korn (University of Goettingen)
  • Date: Monday 29 October
  • Time: 12-1pm
  • Location: E4A 623

The convenience yield is an important risk factor for commodity derivatives. However, very little is known about how convenience yield risk is priced. In this paper, we construct portfolios of commodity futures which directly track the convenience yield risk premium. Our empirical results for a variety of different commodities show that convenience yield risk premiums are consistently positive, which is in line with theoretical considerations. However, their magnitude can vary strongly among different commodities. In addition, we test whether factors like the spot price volatility or the convenience yield volatility can explain any time variation in risk premiums. Our study has important implications for the risk management of commodity positions and investment strategies with commodity derivatives.

Continuous Time Finance Course

  • Professor Olaf Korn (University of Gottingen)
  • Dates: 26-28 September 2012

Course philosophy
The aim of the course is to make PhD students familiar with important models of continuous time finance and to bridge the gap between theory and empirical work. The first part of the course (sessions 1 to 4) provides the theoretical background. The second part of the course (sessions 5 and 6) deals with empirical issues like the specification of econometric models and the estimation of model parameters. The course will illustrate the techniques with examples from equity, fixed income and commodity markets.

  • Session 1: Continuous Time Stochastic Processes as Models of Asset Prices
  • Session 2: Valuation in a Complete Market Setting: Single-Factor Models
  • Session 3: Valuation in an Incomplete Market Setting: Single-Factor Models
  • Session 4: Multi-Factor Models
  • Sessions 5: Estimation of Continuous Time Models: Observed State Variables
  • Sessions 6: Estimation of Continuous Time Models: Unobserved State Variables

Download the full course program (PDF)
Download the course notes (PDF)

Quantile Regression in Risk Calibration

  • Speaker: Prof. Wolfgang Haerdle (Center for Applied Statistics and Economic, Humboldt University, Berlin)
  • Date: Wednesday, August 29
  • Time: 12.30-2.00pm
  • Location: Level 3, 10 Spring Street, Sydney 2000

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a stressful situation for one market participant, one likes to measure how this stress affects other factors. The CoVaR (Conditional VaR) framework has been developed for this purpose. The basic technical elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric modeling framework for CoVaR is proposed. A partial linear model (PLM) is analysed. In applying the technology to stock data covering the crisis period, the PLM outperforms in the crisis time, with the justification of the backtesting procedures. Moreover, using the data on global stock markets indices, the analysis on marginal contribution of risk (MCR) defined as the local first order derivative of the quantile curve sheds some light on the source of the global market risk.

Run-my-Code

  • Speaker: Christophe Hurlin (Orleans)
  • Date: Wednesday 22 August
  • Time: 11:45-1:00pm
  • Location: E4A 623

Financial Crises and Early Warning Systems

  • Speaker: Professor Bertrand Candelon (Maastricht University)
  • Date: Wednesday 22 August
  • Time: 10:00am - 11.15am
  • Location: E4A 623

This lecture presents a new generation of Early Warning Systems (EWS) which are dynamic and take into account the potential persistence in the binary crisis indicator. Elaborating on Kauppi and Saikonnen (2008), we offer an exact maximum likelihood estimation method. The empirical application deals with the prediction of currency crises for fifteen countries. It turns out that this new generation of EWS exhibits significantly better predictive abilities than the existing models for both within and without sample forecast.The recent financial turmoil in Latin America and Europe have led to a concatenation of several events from currency, banking and sovereign debt crises. The EWS are thus extended into multivariate dynamic probit, that encompasses the three types of crises - currency, banking and sovereign debt - and allows us to investigate the potential causality between all three crises. To achieve this objective, we propose a methodological novelty consisting of an exact maximum likelihood method to estimate this multivariate dynamic probit model, extending thus Huguenin, Pelgrin and Holly (2009). Using a large sample of data for emerging countries, which experienced financial crises, we find that mutations from banking to currency (and vice-versa) are quite common. More importantly, the trivariate model turns out to be more parsimonious in the case of the two countries which suffered from the three types of crises. These findings are strongly confirmed by a conditional probability and an impulse-response function analysis, highlighting the interaction between the different types of crises and advocating hence the implementation of trivariate models whenever it is feasible.

Economic Impacts of Contemporary Electricity Reform in OECD: Emphasizing Australia

  • Speaker: Reza Fathollahzadeh Aghdam (PhD, Department of Finance and Economics, King Fahd University of Petroleum and Minerals (KFUPM)
  • Date: Wednesday 18 June
  • Time: 12 - 1pm
  • Venue: E4A 623

Since the 1990s, the electricity industry in Australia - like many other countries around the world - has undergone a significant reform. This reform, even though differs from country-to-country in terms of its country-specific features, it mostly follows a common reform-model as an institutional change. The principle rational behind this reform has been that this reform would improve the productivity of the industry, lowering electricity price, and ultimately enhance social well-being of people by contributing to economic growth at large. Several studies have been conducted to substantiate such rationales. Most previous studies are focused on assessing the microeconomic impacts of electricity reform, i.e., analysing reform's impacts on productivity of the industry. With regards to macro-impacts, there are two distinct aspects that researchers have been trying to address: (i) how the causality between electricity and economic growth (i.e., electricity-economy nexus) can be identified? and (ii) how one can assess short- and long-run impacts of electricity reform on such nexus and, subsequently, on economic growth? Review of the literature shows that most of the previous studies are focused on the former.
This presentation re-examines electricity-economy nexus in the context of 19 OECD countries and 7 Australian states. It also aims to analyse the impacts of contemporary electricity reform on such nexus, with a view to assess the impact of reform on macroeconomic variables - real GDP growth, in particular. The results are still preliminary, but seem very intriguing. The results support that electricity demand and GDP growth have a bi-directional long-run relationship. Further, it suggests that reform's key institutional features - specifically functional unbundling, market structure and ownership type - has had insignificant impacts on economic growth, electricity demand and inflation. This is despite the fact that certain extents of the microeconomic impacts of reform on productivity and electricity prices are approved by several studies. Such results would certainly have significant policy implications.

The Term-Structure of Risk and Forward Premiums in Currency Futures Markets

Applications of Text Analytics and Network Modelling in Finance: Some Applications

  • When: Wednesday 28 March 2012
  • Speaker: Professor Sanjiv Das, Professor of Finance at Santa Clara University

Professor Sanjiv Das is Professor of Finance at Santa Clara University's Leavey School of Business. Prof Das has previously held faculty appointments at Harvard Business School and UC Berkeley. He also holds post-graduate degrees in finance and computer science. Before becoming an academic, he worked in the derivatives business in the Asia-Pacific region and was a vice president for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.

Prof Das is also a speaker at Financial Risk Day on Friday 30 March.

Black swans or dragon kings? A simple test for deviations from the power law

  • When: Wednesday 21 March 2012
  • Speaker: Professor Rafal Weron, Professor of Economics at Wroclaw University of Technology

We develop a simple test for deviations from power law tails. Actually, from the tails of any distribution. We use this test - which is based on the asymptotic properties of the empirical distribution function - to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or 'only' as black swans.

Risk patterns and correlated brain activities. Multidimensional statistical analysis of MRI data with application to risk patterns.

  • When: Friday 9 March 2012
  • Speaker: Alena Mysickova (Max Planck Institute, Berlin),

Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated during decisions under risk and which neural processes underlay (risky) investment decisions are important goals in neuroeconomics. Here, we reanalyze functional magnetic resonance imaging (fMRI) data on 17 subjects which were exposed to an investment decision task from Mohr et al. (2010b). We obtain a time series of three-dimensional images of the blood-oxygen-level dependent (BOLD) fMRI signals. Our goal is to capture the dynamic behaviour of specific brain regions of all subjects in this high-dimensional time series data, by a flexible factor approach resulting in a low dimensional representation. We apply a panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and identify task-related activations in space and dynamics in time. Further, we classify the risk attitudes of all subjects based on the estimated low- dimensional time series. Our classification analysis successfully confirms the estimated risk attitudes derived directly from subjects' decision behaviour.

Download PDF of "Risk Patterns and Correlated Brain Activities" (3.6MB)

Implied volatility surfaces presentation using a smoothing filter based on fuzzy transformation

  • When: Friday 3 February 2012
  • Speaker: Tomas Tichy (Technical University Ostrava)

Abstract: We suggest a new alternative method for modeling implied volatility surfaces. The approach is based on discrete functions using the fuzzy transform introduced by Perfilieva (2006). We generalize a recently proposed smoothing filter based on the fuzzy transform to obtain better control on the smoothed functions. For this purpose, a generalization of the concept of fuzzy partition is suggested and the smoothing filter is defined as a combination of the direct discrete fuzzy transform and a slightly modified inverse continuous fuzzy transform. The approximation behaviour, total variation of smoothed functions and statistical properties including the description of the white noise reduction and the asymptotic expression of bias and variance are investigated and discussed. The proposed filter is compared with the Nadaraya-Watson estimator and the results are illustrated using financial data. Within the analysis provided in Holcapek and Tichy (2011), we have suggested a smoothing filter based only on one independent variable. However, many real world problems, including the presentation of option volatility surfaces, are multidimensional in nature. Hence we generalize the fuzzy smoothing filter into two/n dimensions and show its application within a common problem of financial engineering and asset pricing, including some possible extensions.

2011

Financial Risk Workshop

2011 Fiancial Risk Day large

Speakers at the 25 November Financial Risk Workshop (l-r) Prof Daniel Roesch, A/Prof Ken Siu, Dr Benjamin Avanzi, Dr Valentyn Panchenko, Prof Carl Chiarella, Prof Stefan Trueck and Prof Rodney Wolff. Read more about 2011 Financial Risk Workshop

An analytical formula for VIX futures and its applications

  • When: Wed 14th December, 2011
  • Speaker: Dr Guanghua Andy Lian, Lecturer in Applied Mathematics, Auckland University of Technology, New Zealand.

In this seminar we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly-derived formula is then used to show that the well-known convexity correction approximations can sometimes lead to large errors. Utilizing the newly-derived formula, we also conduct an empirical study, the results of which demonstrate that the Heston stochastic volatility model is a good candidate for the pricing of VIX futures. While incorporating jumps into the underlying price can further improve the pricing of VIX futures, adding jumps to the volatility process appears to contribute little improvement for pricing VIX futures. This is joint work with Song-Ping Zhu.

How to Hedge if the Payment Date is Uncertain?

  • When: Wed 7 December
  • Speaker: Alexander Merz , Georg-August-Universität Göttingen

This seminar considers the hedging of price risk if the payment date is uncertain, a problem that frequently occurs in practice. It derives and establishes the variance-minimizing hedging strategy, using forward contracts with different times to maturity. The resulting strategy fully hedges the expected price exposure for each possible payment date and is therefore easy to implement. An empirical study compares the performance of the variance-minimizing strategy with heuristic alternatives, using commodity prices and exchange rates. Our analysis shows that the variance-minimizing strategy clearly outperforms all the alternatives.

Cointegration and stochastic correlations: Application to the pricing of commodity derivatives

  • When: Wed 9th November, 2011
  • Speaker: Dr Jing Zhao, Lecturer in Finance, School of Economics and Finance, La Trobe University

Cointegration and stochastic correlations, including stochastic volatilities, are statistically significant for the spot prices of crude oil and gasoline. As these commodities are not traded on exchange, their futures prices provide us with strong empirical support that cointegration contributes significantly to the stochastic movements of their convenience yields in addition to their storage costs. We develop continuous-time dynamics of cointegrated assets with a stochastic covariance matrix to capture the effects of cointegration and stochastic correlations. Our proposed model allows us to super-calibrate the cointegration parameters by fitting to the observed term structure of futures prices. We demonstrate the model's use in valuing options on a single commodity and on multiple commodities using Fourier transform techniques.

2010

Market risk estimation for FX sensitive portfolio by Lévy marginals and ordinary copulas

  • Speaker: Tomas Tichy
  • Date: 6th December, 2010
  • Venue: Seminar room Level 5, Building E4A

Postgraduate Programs & Industrial Projects and Support (with discussions)

  • Speaker: Xiaoqiang Cai
  • Date: 2nd December, 2010
  • Venue: Seminar room 523 Level 5, Building E4A

Collaboration in Portfolio Selection and Investment: A Multi-Period Cooperative Game

  • Speaker: Xiaoqiang Cai
  • Date: 29th November, 2010
  • Venue: Seminar room 623 Level 6, Building E4A

A Kindergarten Guide to Modern Monetary Theory

  • Speaker: Frank Ashe
  • Date: 22nd November, 2010
  • Venue: Seminar room Level 6, Building E4A

Valuation of Crude Oil and Gas Reserves

  • Speaker: Richard Heaney
  • Date: 16th November, 2010
  • Venue: Seminar room Level 5, Building E4A

Pricing Temperature Risk

  • Speaker: Brenda Lopez Cabrera
  • Date: 23th September, 2010
  • Venue: Seminar Room Level 5, Building E4A

Expected Option Returns and the Structure of Jump Risk Premia

  • Speaker: Christian Schlag
  • Date: 23rd September, 2010
  • Venue: Seminar Room Level 5, Building E4A

Three day workshop on Asset Allocation and Continuous-Time Financial Models

  • Speakers: Prof. Christian Schlag from Goethe University Frankfurt, Germany
  • Date: 21 - 23rd September, 2010
  • Venue: E6A 109

Shape-Preserving Interpolation and Smoothing for Options Market Implied Volatility

  • Speaker: Liqun Qi
  • Date: 6th September, 2010
  • Venue: Seminar Room Level 6, Building E4A

An Empirical Comparison of Alternate Regime-Switching Models for Electricity Spot Prices

  • Speaker: Rafal Weron
  • Date: 18th August, 2010
  • Venue: Seminar Room Level 6, Building E4A

Visitor Details

2015

4 Nov - 16 Nov

Dr Youguo Zhang, Institute of Quantitative Economics and Technical Economics, Chinese Academy of Social Sciences (CASS), Beijing, will work with Prof Stefan Trueck on carbon emission schemes during his visit, arranged by Macquarie University's International Office and ongoing collaboration with CASS.

20 October - 20 November

Professor Edward Altman, Max L. Heine Professor of Finance at the Stern School of Business, New York University, will continue working on research with A/Prof Egon Kalotay, Prof Stefan Trueck, A/Prof Geoff Loudon and Dr Thomas Longden, as part of their Centre for International Finance and Regulation (CIFR)-funded research on Real Estate Cycles and Bank Systemic Risk. Prof Altman will also present a seminar hosted jointly with CIFR on the 'Outlook for Global Credit Markets – Is it a Bubble?' at the Macquarie Applied Finance Centre in Sydney's CBD on 19 November. He will also present a joint AFAS/CFR seminar on 9 November on 'How Risky are Private Equity Sponsored LBOs?'.

24 September - 13 October

Dr Marc Gronwald, University of Aberdeen Business School, will undertake research with Prof Stefan Trueck, discuss future projects and assist with feedback for participants at the annual PhD workshop.

1 May - 31 July

Luca Schneider, Ecole Polytechnique, Paris, will undertake research on the Impact of the Australian Carbon Tax on Wholesale Electricity Prices during his visit, hosted by Prof Stefan Trueck, co-director of the CFR.

1 March - 1 April

Associate Professor Frank Shiemann, University of Hamburg, will be hosted by the Department of Accounting and Corporate Governance while undertaking research with CFR member Andreas Helllman.

16 February -  16 March

Profesor Rudi Zagst is Chair of Mathematical Finance at the Technical University of Munich.  In 2007, Prof Zagst was awarded "Professor of the Year 2007" by the magazine Unicum Beruf for linking practice and education in an outstanding way.

Rudi studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at HypoVereinsbank AG. There he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of RiskLab GmbH - Private Research Institute for Financial Studies in 1997.

Since 1992 Prof Zagst has held various teaching positions at the Universities of Ulm, St Gallen Augsburg, Munich, Toronto, Ulm, and Singapore. After his qualification as a university lecturer at the University of Ulm in 2000, Prof Zagst was appointed a Professor of Mathematical Finance at Technichal University of Munich (TUM) in 2001 where he is Director of the Center of Mathematics and Head of the Chair of Mathematical Finance.

He is the author and editor of many books, including Handbook of Matrices, Applied Time Series Econometricsand New Introduction to Multiple Time Series Analysis.

His visit is being jointly hosted by Centre for Financial Risk members A/Prof Elizabeth Sheedy from Macquarie Applied Finance Centre, and Prof Stefan Trueck, co-director of the Centre for Financial Risk. Prof Zagst will present a 2.5 day course on Continuous Time Finance as part of his visit.

16 February - 13 March

Professor Helmut Luetkepohl has been Dean of the DIW Berlin Graduate Center and Bundesbank Professor in the field of "Methods of Empirical Economics" at the Free University of Berlin since January 2012. Before that, he was Professor of Econometrics at the European University Institute in Florence (2002-2011) and the Faculty of Economics at the Humboldt University of Berlin (1992-2001), Professor of Statistics at the Christian-Albrechts-University, Kiel (1987-1992) and the University of Hamburg (1985-1987) and Visiting Assistant Professor at the University of California, San Diego (1984-85).

He has been on the editorial board of several scientific journals such as Econometric Theory, Journal of Econometrics, Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviews and has published numerous papers in academic journals. He is the author, co-author and editor of many books, including Handbook of Matrices, Applied Time Series Econometrics and New Introduction to Multiple Time Series Analysis.

Professor Leutkepohl's visit is being hosted by The Department of Economics, with additional resources for his workshop provided by the Centre for Financial Risk. The workshop will be held on Tuesday 24 February at MGSM, on Identifying Structural Vector Autoregressive Models via Changes in Volatility.

8 September 2014 - 26 February 2015

Dr Silvia Pastorekova is a post-doctoral research fellow from Technical University of Ostrava, Czech Republic.  She studied operation research and econometrics and completed her doctorate in statistics at University of Economics in Bratislava, Slovakia. As a part of her doctorate studies she also spent one year at University of Carlos III. in Madrid, Spain as visiting doctorate student. Her research focuses on modelling of macroeconomic and financial variables.

2014

November - December

Don M Chance, PhD, CFA, holds the James C Flores Endowed Chair of MBA Studies and is Professor of Finance at the EJ Ourso College of Business at Louisiana State University. He previously held the William H Wright Jr Endowed Chair for Financial Services at LSU, and the First Union Professorship in Financial Risk Management at Virginia Tech.  Prior to his academic career he worked for a large south-eastern bank. He has been a visiting scholar at the National University of Singapore, the University of Adelaide, the University of Strathclyde, the University of North Carolina at Chapel Hill, the Korea Advanced Institute for Science and Technology, and the University of Missouri at Kansas City. Professor Chance has had numerous articles published in academic and practitioner journals and has authored three books: An Introduction to Derivatives and Risk Management (10thed, forthcoming) co-authored with Robert Brooks, Essays in Derivatives: Risk Transfer Tools and Topics Made Easy (2nded), and Analysis of Derivatives for the CFA Program. His most recent research examines asset allocation and performance measurement, corporations that accept blame and blame others, dividend rights as executive compensation, foreign currency risk management, bias in the volatility smile, and benchmarking Type I error in security selection. He is often quoted in the media on matters related to derivatives and risk management as well as financial markets and the economy in general. He has extensive experience conducting professional training programs, and his consulting practice (Omega Risk Advisors, LLC) serves companies, organizations, and law firms. He is also involved in the development and authorship of the derivatives and risk management curriculum in the CFA program.

5 September - 27 October

Kristina Schluessler is a PhD candidate and research assistant at the Chair of Finance at Goettingen University. She studied business administration majoring in finance and accounting at Goettingen University and the University of Bologna. Her research focuses on options' implied information and on volatility in commodity markets. She is a visiting scholar at the Centre of Financial Risk at Macquarie University for two months.

11 August - 30 September

Moritz Lukas is a PhD candidate and research assistant at the Chair of Banking and Behavioural Finance at the University of Hamburg (UHH). He has studied economics and business administration at the University of Muenster (WWU) and at the Norwegian School of Economics (NHH). After working as a management consultant for two years, he started his PhD in 2011. His primary research interests cover behavioural finance, banking, and experimental economics. He is a visiting scholar at the Centre for Financial Risk at Macquarie University for two months.

Jun -  Oct

Martin Hain is a PhD candidate at Karslruhe Institute of Technology. He is a visiting scholar at the Centre for Financial Risk at Macquarie University.

12-16 March

Professor Wolfgang Haerdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin. He is also the director of the "Collaborative Research Center 649: Economic Risk". His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His most recent work is dealing with the modelling of implied volatilities and the statistical analysis of financial risk. Wolfgang has published over 200 articles in numerous prestigious journals including, for example, Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory and Quantitative Finance. He is also on the 'Highly cited Scientist' list of the Institute for Scientific Information since 2003.

9 January - 31 March

Klaus Mayer is a PhD candidate and research assistant at the Center for Energy Markets and the Chair of Financial Management and Capital Markets at Technische Universitat Munchen (TUM). After he studied mathematical finance at TUM and the Hong Kong University of Science and Technology (HKUST), he started his PhD in December 2010. His research interests cover the behaviour of electricity markets, their modeling, and the implications for the valuation of utility companies. He is a visiting scholar at the Center of Financial Risk at Macquarie University for three months.

15 December 2013 - 15 March

Paolo Krischak is PhD candidate at the Chair of Finance, Georg-August-Universitat Goettingen, where he has also been a research assistant since November 2010. He has studied mathematics and finance previously at the University of Hamburg, and mathematics at University of Dundee. His research interests include demand based derivative pricing, liquidity and asset pricing and market microstructure. He is a visiting scholar at the Centre of Financial Risk at Macquarie University for three months.

2013

2 March - 9 March

Professor Wolfgang Härdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin. He is also the director of the "Collaborative Research Center 649: Economic Risk". His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His most recent work is dealing with the modelling of implied volatilities and the statistical analysis of financial risk. Wolfgang has published over 200 articles in numerous prestigious journals including, for example, Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory and Quantitative Finance. He is also on the 'Highly cited Scientist' list of the Institute for Scientific Information since 2003.

15 March - 15 April

Edward I. Altman is the Max L. Heine Professor of Finance at the Stern School of Business, New York University. He is the Director of Research in Credit and Debt Markets at the NYU Salomon Center for the Study of Financial Institutions. He previously chaired the Stern School's MBA Program for 12 years. He has been a visiting Professor at the Hautes Etudes Commerciales and Universite de Paris-Dauphine in France, at the Pontificia CatolicaUniversidade in Rio de Janeiro, Macquarie University, Australian Graduate School of Management, University of Western Australia, Luigi BocconiUniversity in Milan and CEMFI in Madrid.

Dr. Altman was named to the Max L. Heine endowed professorship at Stern in 1988, and has an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis. He was named Laureate 1984 by the Hautes Etudes Commerciales Foundation in Paris for his accumulated works on corporate distress prediction models and procedures for firm financial rehabilitation and awarded the Graham & Dodd Scroll for 1985 by the Financial Analysts Federation for his work on Default Rates on High Yield Corporate Debt. Professor Altman is also the Chairman of the Academic Advisory Council of the Turnaround Management Association. He was inducted into the Fixed Income Analysts Society Hall of Fame in 2001, President of the Financial Management Association (2003) and a FMA Fellow in 2004 and was among the inaugural inductees into the Turnaround Management Association's Hall of Fame in 2008.

Prof Altman was named one of the "100 Most Influential People in Finance" by Treasury & Risk Management magazine in 2005. He also received an Honorary Doctorate from Lund University, Sweden in May 2011. Dr Altman's primary areas of research include bankruptcy analysis and prediction, credit and lending policies, risk management and regulation in banking, corporate finance and capital markets. He has been a consultant to several government agencies, major financial and accounting institutions and industrial companies and has lectured to executives in North America, South America, Europe, Australia-New Zealand, Asia and Africa.

2012

1 November – 20 December

Hilke Hollander is a PhD student at the University of Oldenburg whose research interests include asset securitisation and financial risk. Her most recent work is dealing with the pricing of liquidity risk arising from provision of liquidity facilities for securitisation transactions. Ongoing research considers the long-run cointegration relation between credit spreads and the amount of securitisation recourse liabilities. At Macquarie University, she is extending her research to the empirical measurement of counterparty risk in the Credit Default Swaps market and its implications for regulation.

4 September - 30 October

Olaf Korn is a Professor of Finance at Georg-August-Universität Göttingen, Germany, and a Fellow of the Centre of Financial Research (CFR) in Cologne. From 2010 to 2012 he has been Dean of the Faculty of Economic Sciences. Before coming to Göttingen, he had been a Professor of Corporate Finance at WHU - Otto Beisheim School of Management, and a Research Associate at the Centre for European Economic Research (ZEW) in Mannheim. He holds as Master's degree in statistics and received a PhD in finance from the University of Mannheim. Olaf's research interests are the fields of theoretical and empirical finance, focusing in particular on risk management, derivatives and asset management. He regularly presents his research at academic conferences. Past publications can be found in the Journal of Banking and Finance, Journal of Financial Markets, Journal of Financial Intermediation, Journal of Forecasting, Journal of Futures Markets, Journal of Derivatives and the Review of Derivatives Research, and other titles.

21 - 24 August

Christophe Hurlin is Professor of Economics at the University of Orleans, France, and a founding member of the Methods in International Finance Network (MIFN).

Professor Hurlin is an accomplished researcher in econometrics applied to finance and energy. His key contributions are in the areas of energy demand modelling, financial crises and early warning systems, Value-at-Risk analysis and panel econometrics. He has published widely including the Journal of Financial Econometrics, Journal of Forecasting, Economic Modelling, IMF Economic Review and Finance. He is Head of the Institute d'Economie d'Orléans (IEO). He has recently set up a fascinating new internet company, RunMyCode, which allows anyone to upload their econometric or simulation model to a website, which then becomes available to everyone to run the code using the original data's author, or one's own data. The website has most common software available, such as Matlab, RATS, Ox, Mathematica etc.

21 - 24 August

Bertrand Candelon is Professor in International Monetary Economics at Maastricht University, The Netherlands and Founding Member of the Methods in International Finance Network (MIFN). Professor Candelon is a world-renowned scholar and researcher in the area of international finance and macroeconometrics. His key contributions are in the areas of exchange rates, crises, contagion and the econometrics of financial markets. He has published widely including the Journal of Banking and Finance, Journal of International Money and Finance, Journal of Financial Econometrics, Quantitative Finance, and Oxford Bulletin of Economics and Statistics.

23 - 31 August

Professor Wolfgang Härdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin. He is also the director of the "Collaborative Research Center 649: Economic Risk". His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His most recent work is dealing with the modelling of implied volatilities and the statistical analysis of financial risk. Wolfgang has published over 200 articles in numerous prestigious journals including, for example, Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory and Quantitative Finance. He is also on the 'Highly cited Scientist' list of the Institute for Scientific Information since 2003.

11 June - 25 August

Assistant Professor Reza Aghdam from the Department of Finance and Economics at King Fahd University of Petroleum and Minerals. His interests include energy economics and policy; micro- and macro-economics; international economics; productivity analysis and applied econometrics. Research has focused on contemporary electricity industry reforms, including institutional changes that have taken place in industry's organisation, market structure, regulatory framework, ownership and policy directions. Recent papers include a re-examination of the electricity-economy nexus, world wide electricity reform and implications for economic growth.

27 - 30 March

Professor Sanjiv Das, Professor of Finance at Santa Clara University's Leavey School of Business. Prof Dad previously held faculty appointments at Harvard Business School and UC Berkeley. He also holds post-graduate degrees in finance and computer science. Before becoming an academic, he worked in the derivatives business in the Asia-Pacific region and was a vice president for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.

Research interests include:

  • modelling of default risk
  • machine learning
  • social networks
  • derivatives pricing models
  • portfolio theory and venture capital

19 - 30 March

Professor Rafal Weron, Professor of Economics at Wroclow University of Technology. Professor Weron, who specialises in risk management, forecasting, computational statistics and stochastic modelling, is associate editor of Computational Statistics, Journal of Energy Markets, Operations Research and Decisions, and Surveys in Mathematics and its Applications. His research focuses on developing risk management and forecasting tools for the energy industry and computational statistics as applied to finance and insurance. His other interests include stochastic modeling, time series, heavy tailed distributions, and computer simulations of highly volatile phenomena. He is periodically engaged as a consultant to energy and financial companies and teaches graduate level courses on energy and financial markets at Wroclaw University of Technology and NTNU (Trondheim).

2011

December 2011:

  • Dr Ping Chen from the Centre of Actuarial Studiesat University of Melbourne.
  • Alexander Merz from Georg-August Universitat, Gottingen.

13 - 18 December:

Dr Guanghua (Andy) Lian, Lecturer in Mathematical Finance, School of Computing and Mathematics, Auckland University of Technology, New Zealand. Guanghua received his PhD in Mathematical Finance from the University of Wollongong in 2010, and masters degree in Finance from Huazhong University of Science and Technology, China. Before joining Auckland University of Technology, he was a postdoctoral researcher at the University of Adelaide. Guanghua's research interests focus on pricing volatility derivatives and modeling volatility surface, with several publications in Mathematical Finance and Journal of Futures Markets. In addition he is completing examinations as a Chartered Financial Analyst (CFA), and holds a Certificate of Quantitative Finance.

7 - 11 November:

Dr Steve Su, Assistant Professor in Statistics, School of Mathematics and Statistics, University of Western Australia,Perth. He is an applied statistician with research interest in accounting, food forensics, finance, geology, engineering and medicine with over 25 publications in well regarded academic journals.  He is an associate editor in Journal of Mathematics and Computer Science, International Journal of Medical and Clinical Research, Journal of Medicinal Chemistry Letters and has won a number of external and internal grants. He will be collaborating with A/P Ken Siu on a portfolio optimisation project with representatives from industry during his visit to Macquarie University.

Dr Jing Zhao, Lecturer in Finance, School of Economics and Finance, La Trobe University, Melbourne. She completed her PhD degree at the Chinese University of Hong Kong in 2010. Her research interests are in quantitative finance and risk management. Her articles have featured in academic journals such as Quantitative Finance, Journal of Futures Markets, Operations Research Letters, Computational Statistics and Data Analysis, SIAM Journal on Numerical Analysis.

Dr John W Lau, Assistant Professor in Statistics, School of Mathematics and Statistics, University of Western Australia, Perth. Dr Lau is an expert in Bayesian nonparametric statistics approach and its applications in various disciplines. His interests include Bayesian non-parametric density and failure rate estimations as well as their financial and actuarial applications. He is also interested in option pricing and filtering problems. His main contributions in publications relate to these topics and most of his works are in top ranked journals.

visitors2010 more icon 2010

10 - 20 December

Dilip Madan, Professor of Finance at the Robert H. Smith School of Business, specializing in Mathematical Finance at the University of Maryland. He currently serves as a consultant to Morgan Stanley, Caspian Capital LLC, and Bloomberg and has previously served as consultant to Wachovia Securities and the FDIC. He is a recipient of the 2006 Humboldt award in Mathematics, founding member and past president of the Bachelier Finance Society, managing editor of Mathematical Finance and associate editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, and Journal of Computational Finance, among others.

23 November - 6 December

Xiaoqiang Cai, Professor at the department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He received his B.Eng. degree from the Harbin Shipbuilding Engineering Institute and his M.Eng. and D.Eng. degrees from Tsinghua University. He conducted postdoctoral research at The University of Cambridge and The Queen's University of Belfast. He was Lecturer of Applied Mathematics at The University of Western Australia. He had been the Chairman of the Department of Systems Engineering and Engineering Management during 1996-2003, and Professor since October 2000. His research concentrates on scheduling models and algorithms, logistics management, network optimization, and portfolio optimization. He has published extensively in leading journals in these areas, such as Operations Research, Management Science, Naval Research Logistics, IIE Transactions, and IEEE Transactions.

15 September - 4 October

Christian Schlag, Professor of Finance at Goethe University Frankfurt. Christian received his doctorate in business administration from the University of Karlsruhe in 1994. Prior to joining the faculty of Goethe University Frankfurt in 1997, he held a position as a postdoctoral researcher at the University of Karlsruhe. He has held visiting appointments at Vanderbilt University and at the University of Melbourne. His current research focuses on asset pricing and asset allocation in continuous-time models and on the pricing and hedging of derivative securities.

26 August - 8 September

Liqun Qi, Professor and Head of Department of Applied Mathematics at The Hong Kong Polytechnic University. Liqun is a well-acknowledged world leading authority in Optimisation and its Applications. He was rated as ISI Most Highly Cited Scientist in 1981-1999 (one of the only three in China and Hong Kong) for his research work, and is a Foreign Member of the Petrovskaya Academy of Science and Arts of Russia. He is also a panel member of the Hong Kong Research Grant Council and has held 15 editorial positions. He has won 39 competitive research grants, including 9 years in a row from the Research Grant Council of Hong Kong. His publications include 15 research monographs and 180 journal papers (many in A* and A journals according to the ERA journal rankings).

10 - 25 August

Rafal Weron, Professor of Economics at Wroclaw University of Technology (WUT), Poland. Rafal received his M.Sc. (1995) and Ph.D. (1999) degrees in applied mathematics from the WUT. His research focuses on risk management and forecasting in the power markets and computational statistics as applied to finance and insurance. Rafal is the co-author of three books and over 70 research articles, book chapters, and conference papers. His other interests include stochastic modeling, time series, heavy tailed distributions, and computer simulations of highly volatile phenomena.

Our Visitors

2015

Matt McCarten

  • 9 December

Ying Gan

  • 8 December

Dr Youguo Zhang

  • 4 Nov - 16 Nov

Prof Edward Altman

  • 20 Oct - 20 Nov

Prof Marc Gronwald

  • 24 Sep - 13 Oct

Prof Marco Pagano

  • 28 Sep - 2 Oct

Moshe Milevsky

  • 25 August

Mark Trede

  • 18 Aug

Julian Inchaupse

  • 15 - 30 Aug

Tom Nohel

  • 6 Aug

Moritz Lukas

  • 3 - 30 Aug

Mario Wuethrich

  • 28 May

Huanhuan Zheng

  • 31 Mar

Luca Schneider

  • 1 Apr - 31 Jul

Frank Shiemann

  • 1 Mar - 1 Apr

Professor Rudi Zagst

  • 16 Feb - 16 Mar

Professor Helmut Luetkepohl

  • 15 Feb -13 March

2014

Andrija Mihoci

  • 16 Dec

Christopher Neely

  • 1 Dec - 2 Dec

Lars Winkelmann

  • 29 Nov - 2 Dec

Liu-Jiajun

  • 19 - 25 Nov

Professor Don Chance

  • 3 - 14 Nov

Kristina Schluessler

  • 5 Sep - 27 Oct

Silvia Pastorekova

  • 8 Sep - 26 Feb 15

Moritz Lukas

  • 11 Aug - 30 Sep
Martin Hain
  • Jun - Oct
Professor Nick Apergis
  • 5-7 June
Alexander Ristig
  • 13 Jan - 15 June
Professor Wolfgang Haerdle
  • 12 - 16 March
Klaus Mayer
  • 9 Jan - 31 March
2013
Paolo Krischak
  • 15 Dec13 - 15 March 14
Professor Yongzhong Wang
  • 2 Dec - 15 Dec
Professor Lian Cheng
  • 28 Nov - 11 Dec
Professor Terry Walter
  • 24 Sep
Professor Edward Altman
  • 15 Mar - 15 Apr
Prof Wolfgang Haerdle
  • 2 - 9 Mar
2012
Hilke Hollander

  • 1 November - 20 December 2012
Olaf Korn
  • 4 September - 30 October 2012
Christophe Hurlin
  • 21 - 24 August 2012
Bertrand Candelon
  • 21 - 24 August 2012
Prof Wolfgang Haerdle
  • 23 - 31 August 2012
Assistant Prof Reza Aghdam
  • 11 June - 25 August 2012
Prof Sanjiv Das
  • 27 - 30 March 2012
Prof Rafal Weron
  • 19 - 30 March 2012

2016 Seminars and Visitors

Investment Funds – Research and Applications Masterclass

  • Presenter: Professor Marco Wilkens University of Augsburg
  • Dates: Monday 22 Feb, Wednesday 24 Feb and Friday 26 Feb 2016
  • Venue: Macquarie University E4B Tutorial Rooms: Monday E4B 314; Wednesday & Friday E4B 316
  • Time: 9-4pm
  • Course overview: Participants will acquire profound knowledge of different kind and particularities of investment funds, the funds' regulatory framework and state-of-the-art methods to assess their performance. Participants will become familiar with theoretical and practical aspects of investment funds.

2015 seminars and courses

Welcome back? Economic consequences of CEO reappointments

  • Speaker: Ying Gan, Erasmus University Rotterdam
  • Date: Tuesday 8 December
  • Time: 10am – 11:30am
  • Place: E4A 523

Lobbying and securities class actions pre- and post-SOX

  • Speaker: Matt McCarten, University of Otago
  • Date: Wednesday 9 December
  • Time: 11am-12.30pm
  • Place: E4B 308 Tutorial Room

Outlook for Global Credit Markets – Is it a Bubble?

A joint event with the Centre for International Finance and Regulation (CIFR).

  • Speaker: Professor Edward Altman, Stern School of Business, New York University
  • Date: Thursday, 19 November
  • Time: 12.30pm - 2.00pm (Registration 12.00pm; light lunch provided)
  • Place: Macquarie Applied Finance Centre
                       Level 3, Swire House
                       10 Spring Street
                       Sydney NSW 2000
  • Registration has now closed for this event as all places have been filled.

Prof Altman will present a second seminar, hosted jointly by the Department of Applied Finance and Actuarial Studies and the Centre for Financial Risk:

How Risky are Private Equity Sponsored LBOs?

The Economics of Bitcoins - News, Uncertainty and Jumps

  • Speaker: Dr Marc Gronwald, University of Aberdeen Business School
  • Date: Tuesday 6 October
  • Time: 2 - 3pm
  • Place: E4A 623


FIRN Masterclass: Market Microstructure

  • Speaker: Professor Marco Pagano, University of Naples Federico II, Italy
  • Date: FIRN Masterclass: 28 September - 2 October.
  • Time: Mon - Thurs 10am - 4.30pm, then 1 - 3pm Friday for course exam
  • Place: 75T 6.02 (Luxottica Building, 75 Talavera Rd, enter from Innovation Rd behind the hospital)
  • Register: Registration is now closed

Prof Pagano will also present a public seminar:

Banks Exposures and Sovereign Stress Transmission

  • Date: Friday 2 October
  • Time: 3.30 - 5pm
  • Place: E7B T2

Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating

  • Speaker: Moshe Milevsky, Schulich School of Business, York University
  • Date: Tuesday 25 August
  • Time: 11.30am - 12.30pm
  • Place: E4A 623

The Case for Herding is Stronger than You Think

  • Speaker: Mark Trede, University of Muenster
  • Date: Tuesday 18 August
  • Time: 2-3.30pm, with afternoon tea following the presentation
  • Place: E4A 623

Leverage Decisions in Portfolio Management

  • Speaker:Tom Nohel, Loyola University of Chicago
  • Date: Thursday 6 August
  • Time: 11am
  • Place: E4A 623

Financial Bubble Implosion

  • Speaker: Dr Shu-ping Shi, Macquarie University
  • Date: Friday 12 June
  • Time: 2-3:30pm with afternoon tea after the presentation
  • Place: E4A 523
From Ruin Theory to Solvency in General Insurance
  • Speaker: Mario Wuethrich, ETH Zurich
  • Date: Thursday 28 May
  • Time: 2-3.30pm, with afternoon tea after the presentation
  • Location: E4A 623
Information Transparency and Market Risk
  • Speaker: A/Prof Huanhuan Zheng
  • Date: Tuesday 31 March
  • Time: 2.30-4pm
  • Location: E4A 623
Discrete Time Finance Course
  • Speaker: Prof Rudi Zagst, Technical University Munich (TUM)
  • Dates and time: A two-and-a-half day course of 10 sessions: 9.30am - 5pm  Wednesday 18 February and Thursday 19 February, and 9.30am -1 pm Friday 20 February 
  • Location: E4A 523
  • Cost: Free, but please register early as places are strictly limited by the room's capacity
  • Register: Registration is now closed

Previous seminars and courses

End of year Double Seminar on Currency and Interest Rates Markets

  • Speakers: Dr Lars Winkelmann, Freie University of Berlin and Christopher Neely, Federal Reserve Bank of St Louis
  • Date: Monday 1 December 2014

Spatial Analysis of Carbon Emissions And Introduction of  CDM  In China

  • Speaker: Dr Liu-Jiajun, Chinese Acadamy of Social Sciences (CASS)
  • Date: Thursdsay 20 November 2014
Research in Derivatives and Risk Management: How We Got Here, Where We're Going, and Is There a Future? and When Actions Speak Louder than Words: Currency Management in Non-Financial Corporations
  • Speaker: Professor Don Chance, Louisiana State University
  • Date: Wednesday 5 November
On Historical and Implied Risk Measures for Major Agricultural Commodity Markets
  • Speaker: Kristina Schluessler, Georg-August University of Goettingen
  • Date: Wednesday 22 October
Mortgage Lending: Bank Competition and Customer Behaviour
  • Speaker: Moritz Lukas, University of Hamburg
  • Date: Wednesday 17 September 2014

Risk Factors and Their Associated Risk Premia: An Empirical Analysis of the Crude Oil Market

  • Speaker: Martin Hain, Karlsruhe Institute of Technology
  • Date: Wednesday 13 August

'Animal Spirits' are Here: Automated-Machines Generated News and Credit Ratings- Evidence from European Countries with Sovereign Debt Problems

  • Speaker: Professor Nick Apergis, Curtin University
  • Date: Thursday 5 June

Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models

  • Speaker: Alexander Ristig, Humboldt University Berlin
  • Date: Friday 30 May 2014

Adaptive Forward Intensities

  • Speaker: Professor Wolfgang Haerdle, Humboldt University Berlin
  • Date: Thursday 13 March 2014

Market efficiency, production flexibility, and electricity price
volatility

  • Speaker: Klaus Mayer, Technische Universitat Munchen
  • Date: Friday 7 March 2014

Illiquidity Transmission From Spot to Futures Markets

  • Speaker: Paolo Krischak, Georg-August-Universitat Goettingen
  • Date: Friday 14 February 2014
Current Circumstances, Risks and Trends of China's FX Reserve Management
  • Speaker: Professor Yongzhong Wang, Chinese Academy of Social Sciences (CASS)
  • Date: Wednesday 4 December, 2013
Evolution of China's Financial Supervision and Regulation
  • Speaker: Professor Lian Cheng, CASS
  • Date: Friday 29 November, 2013
Workshop for PhD students on 24 September
  • Speaker: Professor Terry Walter
  • Date: Tuesday 24 September, 2013
Credit Risk and Investment Management
  • Half-day workshop
  • Speaker: Professor Edward Altman
  • Date: Wednesday 27 March 2013
CoVaR and Variable SelectionConvenience Yield Risk Premiums
  • Speaker: Professor Olaf Korn
  • Date: Monday 29 October, 2012
Continuous Time Finance Course
Quantile Regression in Risk Calibration
  • Speaker: Professor Wolfgang Haerdle
  • Date: Wednesday 29 August, 2012
Run-my-Code
  • Speaker: Christophe Hurlin
  • Date: Wednesday 22 August, 2012
Financial Crises and Early Warning Systems
  • Speaker: Professor Bertrand Candelon
  • Date: Wednesday 22 August, 2012
Economic Impacts of Contemporary Electricity Reform in OECD: Emphasizing Australia
  • Speaker: Reza Fathollahzadeh Aghdam
  • Date: Wednesday 18 June, 2012
The Term-Structure of Risk and Forward Premiums in Currency Futures Markets
  • Speaker:  Satish Kumar
  • Date: Wednesday 30 May, 2012

Seminar Details

2015

Lobbying and securities class actions pre- and post-SOX

  • Speaker: Matt McCarten, University of Otago
  • Date: Wednesday 9 December
  • Time: 11am-12.30pm
  • Place: E4B 308 Tutorial Room

Abstract: This paper examines the impact lobbying has on the time it takes to detect managerial misconduct and the size of the penalties associated with securities class actions before and after the enactment of SOX. Prior to SOX we find managers of firms that lobbied were able to evade detection for longer and were marginally less likely to have to settle a class action filed against them. After SOX lobbying no longer has an impact on the time it takes to detect misconduct or the outcome of the case. The findings indicate that in the pre-SOX period lobbying caused information asymmetries which made it more difficult to detect managerial malfeasance. The enactment of SOX appears to have improved corporate transparency of lobbying firms making it relatively easier to uncover and prove corporate misconduct.

Welcome back? Economic consequences of CEO reappointments

  • Speaker: Ying Gan, Erasmus University Rotterdam
  • Date: Tuesday 8 December
  • Time: 10am – 11:30am
  • Place: E4A 523

Abstract: We analyse reappointments of former CEOs of US listed firms over the period 1992 – 2013. For a sample of 117 CEO reappointments, we find that shareholders of these firms experience statistically significant negative stock valuation consequences. Our findings are robust to multiple return measurement windows and alternative definitions of abnormal returns. We also document that market reactions depend on certain executive-specific attributes, such as whether she is the founder of the firm or whether she is also appointed as chairman of the board of directors. Finally, we show that firm performance deteriorates after a former CEO is appointed relative to appointing a non-former CEO. Our results provide evidence that the market considers reappointed CEOs as "leaders of last resort" and highlights the importance of CEO succession planning.

The Economics of Bitcoins - News, Uncertainty and Jumps

  • Speaker: Dr Marc Gronwald, University of Aberdeen Business School
  • Date: Tuesday 6 October
  • Time: 2 - 3pm
  • Place: E4A 623

Abstract: This paper contributes to the literature on the economics of Bitcoins by empirically analysing Bitcoin prices. The application of an autoregressive jump-intensity GARCH model allows one to study the role of extreme price movements. The results suggest that this influence is particularly pronounced - larger than in other markets - and remains relatively unchanged over time. These results gain importance as the Bitcoin market has only recently emerged and is characterised by a number of distinct market features which imply that there are fewer uncertainties associated with this market.

Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating

  • Speaker: Moshe Milevsky, Schulich School of Business, York University
  • Date: Tuesday 25 August
  • Time: 11.30am - 12.30pm
  • Place: E4A 623

Abstract: There is growing interest in the design of annuities that insure against idiosyncratic longevity risk while pooling systematic risk; for example Piggot, Valdez and Detzel (2005) or Donnelly, Guillen and Nielsen (2014). In this presentation we generalise the natural retirement income tontine introduced by Milevsky and Salisbury (2015), by combining heterogeneous cohorts into one pool. We engineer this scheme by allocating tontine shares at either a premium or a discount to par based on (i) the age of the investor and (ii) the amount they invest. For example, a 55 year-old allocating $10,000 to the tontine might be told to pay $200 per share and receive 50 shares, while a 75 year-old allocating $8,000 might pay $40 per share and receive 200 shares. They would all be mixed together into the same tontine pool and each tontine share would have equal income rights. On a historical note, this echoes a proposal by Charles Compton (1833) almost two centuries years ago; which hasn't received much attention in the literature. The presentation addresses existence and uniqueness issues and discusses the conditions under which Compton's scheme can be constructed equitably - which is distinct from fairly - although it isn't optimal for any cohort. As such, this also gives us the opportunity to diff erentiate between arrangements that are socially equitable, v actuarially fair v economically optimal.

The Case for Herding is Stronger than You Think

  • Speaker: Mark Trede, University of Muenster
  • Date: Tuesday 18 August
  • Time: 2-3.30pm, with afternoon tea following the presentation
  • Place: E4A 623

Abstract: We challenge the often implemented herding measure by Chang, Cheng, and Khorana (2000) who detect herding by regressing the cross-sectional absolute deviation of returns on the absolute and squared excess market return. A coefficient on the squared excess market return significantly smaller than zero is interpreted as evidence for herding. However, we show that the true coefficient is positive under the null hypothesis of no herding. Hence, their test is biased against finding evidence in favour of herding. An empirical examination for the S&P 500 confirms the misleading implications of Chang, Cheng and Khorana's measure, while our modified test provides clear-cut evidence for herding behaviour.

Leverage Decisions in Portfolio Management

  • Speaker:Tom Nohel, Loyola University of Chicago
  • Date: Thursday 6 August
  • Time: 11am
  • Place: E4A 623

Abstract: We study the leverage decisions of portfolio managers by focusing on domestic closed-end equity and taxable fixed income funds. Over forty percent of the equity funds, and two thirds of the fixed income funds employ significant leverage by borrowing from banks and/or issuing preferred stock. We examine how portfolio fundamentals and managerial characteristics affect the use of leverage. We find that funds investing in ILLIQUID securities tend to use more leverage – equity funds over-weight small cap and value stocks relative to their peers, while fixed income funds overweight high yield bonds.  In addition to differences in investment styles, leverage funds tend to be larger, younger, more expensive (i.e., charge higher fees), and trade more aggressively than their unlevered peers.  In terms of performance, the levered fixed income funds outperform their unlevered peers (and among levered funds, the funds with above median leverage outperform those with below median leverage), while among equity funds, we find no significant performance differences based on leverage use.

Financial Bubble Implosion

  • Speaker: Dr Shu-ping Shi, Macquarie University
  • Date: Friday 12 June 2015
  • Time: 2-3:30pm with afternoon tea after the presentation
  • Place: E4A 523

Abstract: Expansion and collapse are two key features of a fi nancial asset bubble. Bubble expansion
may be modeled using a mildly explosive process. Bubble implosion may take several
di fferent forms depending on the nature of the collapse and therefore requires some
flexibility in modeling. This paper develops analytics and studies the performance characteristics of the real time bubble monitoring strategy proposed in Phillips, Shi and Yu (2014b,c, PSY)
under alternative forms of bubble implosion that can be represented in terms of mildly integrated
processes which capture various return paths to market normalcy. We propose a
new reverse sample use of the PSY procedure for detecting crises and estimating the date
of market recovery. Consistency of the dating estimators is established and the limit theory
addresses new complications arising from the alternative forms of bubble implosion and the
endogeneity e ffects present in the reverse regression. Simulations explore the finite sample
performance of the strategy for dating market recovery and an illustration to the Nasdaq stock
market is provided. A real-time version of the strategy is provided that is suited for practical
implementation.

From Ruin Theory to Insolvency in General Insurance

  • Speaker: Mario Wuethrich, ETH Zurich
  • Date: Thursday 28 May
  • Time: 2-3.30pm, with afternoon tea after the presentation
  • Location: E4A 623

Abstract: We start from ruin theory considerations in the classical Cramer-Lundberg process. These considerations will be modified step by step so that we arrive at today's modern solvency assessments for general insurance companies. These modifications include discussions about time horizons, risk measures, claims development processes, financial returns and valuation of insurance liabilities.

On the Systemic Risk of International Mutual Funds

Speaker: A/Prof Huanhuan Zheng
Date: Tuesday 31 March
Time: 2.30 - 4pm, with afternoon tea from 3.30pm
Location: E4A 623

Abstract: Using weekly data of 10,570 mutual funds investing internationally from 2000 to 2011, we study contribution of fund-specific risk to the risk inherent to aggregate mutual fund sector. The main findings suggest that systemic risk contribution is negatively associated with investment inflows and return performance during the global crisis of 2007-09, but not in market tranquility.

On the Systemic Risk of International Mutual Funds (PDF)

End-of-Year Double Seminar on Currency and Interest Rates Markets with Lars Winkemann and Christopher Neely

2-3pm: Seminar one:  Lars Winkelmann, Freie University of Berlin

Topic: European Central Bank Monetary Policy Surprises: Identification Through Co-jumps in Interest Rates

Abstract

This presentation proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on co-jumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise. The new test is applied to 133 policy announcements of the European Central Bank (ECB) in the period from 2001-2012. Our main findings indicate a good predictability of ECB policy decisions.

3-3.30: Afternoon tea

3.30-4.30: Seminar two: Christopher Neely, Assistant Vice President, Federal Reserve Bank of St Louis 

Topic: "Can risk explain the profitability of technical trading in currency markets?"Abstract:It is a robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favour of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis.

Seminar with Dr Liu-Jiajun, Chinese Acadamy of Social Sciences (CASS)

  • Speaker: Dr Liu-Jiajun, Chinese Acadamy of Social Sciences (CASS)
  • Title: Spatial Analysis of Carbon Emissions And Introduction of  CDM  In China
  • Date: Thursdsay 20 November 2014
  • Time: 2.30pm - 4pm, with afternoon tea
  • Location: E4A 523 Seminar Room

Seminar with Dr Liu-Jiajun, CASS

Abstract: This presentation will be a discussion including:

    - The characteristics of carbon emission distribution in China
    - Study on the Shift of CO2 Emissions Gravity Center and Driving Factors
    - A Study On Spatial Spillover And Correlation Effect Of Carbon Emissions Across 30 Provinces In China
    - Exploring a market-based mechanism for GHG emission control
    - China's CDM Statistics
    - China's Policies and Actions for Addressing Climate Change

Workshop with Professor Don M Chance

  • Speaker: Don M Chance, Louisiana State University
  • Title: Part I (Starts 1pm): Research in Derivatives and Risk Management: How We Got Here, Where We're Going, and Is There a Future? Part 2 (starts 2.45pm): When Actions Speak Louder than Words: Currency Management in Non-Financial Corporations
  • Date: Wednesday 5 November
  • Time 1 - 4pm.
  • Location: Level 1 Lecture Theatre, Hearing Hub, 16 University Avenue (5 mins walk from E4A)

Professor Don Chance will present a 3-hour workshop on Research in Derivatives and Risk Management.The workshop will be divided into two parts, with afternoon tea between 2.15 - 2.45pm. You are welcome to attend either half, or both. 

Abstract for Part 2: Using a unique data set with complete firm-level components of currency positions, we examine whether large multinational non-financial firms are speculating or hedging as they manage their currency spot and derivatives positions. We find a notable discord between the stated policies of companies and their actions. We also find that the transactions they undertake are associated with market shock variables. Overall, the evidence strongly suggests that these non-financial firms are speculating instead of hedging when they manage their currency spot and derivatives positions. Moreover, we find that even when they are hedging, they are still attempting to time the market.Prof Don Chance's visit will be hosted jointly by Prof Elizabeth Sheedy, Macquarie Applied Finance Centre, and Prof Stefan Trueck, Centre for Financial Risk, Department of Applied Finance and Actuarial Studies.

Seminar with Kristina Schluessler

  • Speaker: Kristina Schluessler, University of Goettingen
  • Title: On Historical and Implied Risk Measures for Major Agricultural Commodity Markets
  • Date: Wednesday 22 October 2014
  • Time: 2.30-4pm; presentation 2.30-3.30pm, with afternoon tea following
  • Location: E4A 523

This presentation introduces different risk measures to characterise the detailed structure of volatility in agricultural commodity markets. These measures allow for a decomposition of overall price moves into "large" changes with potentially severe economic consequences and "normal" changes. We derive forward-looking estimators of the risk measures that extract market expectations about future commodity price moves from current option prices. In an empirical study for major grain markets, we show that our measures indeed capture different aspects of price volatility, shedding new light on the food price crisis of 2007/08. Another key finding is that option-implied estimators show a much higher information content for future price moves than historical estimators.

Seminar with Moritz Lukas

  • Speaker: Moritz Lukas, University of Hamburg
  • Title: Mortgage Lending: Bank Competition and Customer Behaviour
  • Date: 17 September 2014
  • Time: 2.30pm afternoon tea, presentation 3-4pm
  • Location: E4A 523

Mortgages are important for both, banks' revenues and retail borrowers' financial well-being. Many German retail mortgage borrowers pay too high interest rates after refinancing although interbank competition is high. Matching the results of a survey among mortgage borrowers with market data, we find that surprisingly few borrowers switch to an outside lender even though non-switching borrowers face significantly higher interest rates than those who switch. We identify overestimated switching costs and underestimated switching benefits as likely reasons. Borrowers anchoring on previous interest rates is an important determinant of their insufficient search efforts. Overall, several billion Euros per annum are transferred to lenders.

Seminar with Martin Hain

  • Speaker: Martin Hain, Karlsruhe Institute of Technology
  • Title: Risk Factors and Their Associated Risk Premia: An Empirical Analysis of the Crude Oil Market
  • Date: Wednesday 13 August 2014
  • Time: 3 - 4.30pm with afternoon tea on arrival
  • Location: E4A 523

This presentation investigates the role of volatility and jump risk for the pricing and hedging of derivative instruments and quantifies their associated risk premia in the crude oil futures and option markets. We use a unified estimation approach that uses both return data and a cross section of option prices over time to consistently estimate parameters, latent variables, and to disentangle the various risk premia. Our estimation results show that jump risk is priced with a significant premium, while no evidence for a significant market price of volatility risk exists. Empirical evidence from a pricing and hedging exercise confirms these findings.

Seminar with Nick Apergis

  • Speaker: Nick Apergis, Curtin University
  • Title: 'Animal Spirits' are Here: Automated-Machines Generated News and Credit Ratings- Evidence from European Countries with Sovereign Debt Problems
  • Date: Thursday 5 June 2014
  • Time: 4pm - 5.30pm with afternoon tea on arrival
  • Location: E4A 623 

This study aims to shed light on the role of text line news or 'animal spirits' in the core of the European debt crisis. In particular, it quantifies, for the first time, how this news metric, originated through the communication revealed by statements electronically recorded and divided into positive and negative tones, affects credit ratings. Through a sample of three European countries with the most severe sovereign debt problems, i.e. Greece, Ireland, and Portugal, and daily data spanning the period 2009-2011, the empirical findings document that such a news variable affects both the mean and the conditional volatility of credit ratings. The findings cast a cloudy doubt on the effectiveness of economic modelling on which such ratings are based.

Seminar with Alexander Ristig

  • Speaker: Alexander Ristig, Humboldt University Berlin
  • Date: Friday 30 May 2014
  • Time: 11am morning tea; 11.30am presentation
  • Location: E4A 623

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields computationally tractable, consistent and asymptotic efficient estimates of all parameters. We show the asymptotic normality and derive the estimator's asymptotic covariance in dependence of the number of iteration steps. To mitigate the curse of dimensionality in high-parameterized models, we combine the procedure with a penalization approach yielding sparsity and reducing model complexity. Small sample properties of the estimator are illustrated for two time series models in a simulation study. In an empirical application, we use the proposed method to estimate the connectedness between companies by extending the approach by Diebold and Yilmaz (2014) to a high-dimensional non-Gaussian setting.

The discussion paper and the slides of the presentation can also be downloaded by copying/following the links.

Seminar with Professor Wolfgang Haerdle

  • Speaker: Professor Wolfgang Haerdle, Humboldt University Berlin
  • Title: Adaptive Forward Intensities
  • Date: Thursday 13 March 2014
  • Time: 3pm afternoon tea; 3.30pm presentation
  • Location: E4A 623

Calibrating forward intensities to corporate default data is a necessary step in credit risk analysis. The estimated model needs to be revised though as time evolves. This is particularly true when additionally events (different from default) like delisting are incorporated. An adaptive technique that localizes a multiperiod forward intensities model is investigated here. The technique presented adaptively selects a data-driven estimation window allowing flexible forecasts. We found that, in most of rolling window, the two risk levels give the same length of interval of homogeneity and more stable after the crisis. In addition, the selected interval length does not much vary across time. Hence, a priori fixing the length of estimation period is reasonable.

Seminar with Klaus Mayer

  • Speaker: Klaus Mayer, Technische Universitat Munchen
  • Title: Market efficiency, production flexibility, and electricity price
    volatility
  • Date: Friday 7 March 2014
  • Time: 11am morning tea; 11.30am for presentation
  • Location: E4A 623

This seminar analyses abnormal returns around the earnings announcements of energy
utilities. Based on a worldwide dataset covering 25 different electricity markets, we
find that firms with highly flexible power plants exhibit positive abnormal returns in
markets with high electricity price volatility. We also demonstrate that analysts tend
to under-estimate EPS for these firms. This surprising result implies that investors
and analysts are not able to (perfectly) predict firms' earnings based on publicly
available data on their flexibility and electricity prices. Thus, our results indicate
that there exists a market inefficiency with regard to the processing of technical
information.

Seminar with Paolo Krischak

  • Speaker: Paolo Krischak, Georg-August-Universitat Gottingen
  • Title: Illiquidity Transmission From Spot to Futures Markets
  • Date: Friday 14 February 2014
  • Time: 11am morning tea; 11.30am for presentation
  • Location: E4A 623

We develop a theoretical model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory proposed by Cho and Engle (1999). The results imply that spot market illiquidity does not translate one-to-one to the futures market, but rather interacts with liquidity risk, price risk, and the risk aversion of the market maker. The predictions of the model are tested empirically with data from the stock market and the market for single-stock futures. The results support our model. In particular, they show that the derivative hedge theory is important for the explanation of the liquidity link between spot and futures markets, but provide no evidence in favour of the substitution hypothesis.

Seminar with Professor Yongzhong Wang

  • Speaker: Professor Yongzhong Wang, Chinese Academy of Social Sciences (CASS)
  • Title: Current Circumstances, Risks and Trends of China's FX Reserve Management
  • Date: Wednesday 4 December 2014
  • Time: 12.30-1.30pm
  • Location: Seminar room E4A 623

The PPT attempts to analyse the evolution, currency and security structure, investment yields, sterilization costs, risks and challenges, and trends of China's FX reserve management. In the past decades, the size of China's FX reserve has experienced tremendous growth due to persistent and substantial current balance and FDI capital inflow. Currently, China's FX reserve skyrockets to 3.66tn USD, and whose share in the world total amount is around 30%. China's FX reserve is mainly invested in low yield and highly rated US long-term government and agency bonds, and European and Japanese long-run government securities. Chinese monetary authority has suffered large loss in holding huge foreign reserves since the global financial crisis, due to US QE monetary policy, RMB revaluation and high sterilization cost (high domestic interest rates). Currently, China's FX reserve assets had faced sovereign debt default risk, inflation risk, interest rate risk, and foreign exchange rate risk. Recently, China's FX reserve investment has shown some new trends, such as, giving more emphasis on the target of reward, establishing the mechanisms of entrusted loan and sub-loan, and increasingly rapid expansion in risky alternative investment.

Prof Wang  is Senior Research Fellow  and Deputy Head, Department of International Investment, Institute of World Economics and Politics (IWEP), at the Chinese Academy of Social Sciences (CASS). He is visiting Macquarie University through an exchange arranged with the Global Programs Office.

Seminar with Professor Lian Cheng

  • Speaker: Professor Lian Cheng
  • Title: Evolution of China's Financial Supervision and Regulation
  • Date: Friday 29 November 2013
  • Time: 12 - 1pm
  • Location: Seminar room E4A 623

This presentation discusses the characteristics, philosophy and problems of China's financial regulation and supervision system in the review of its sixty years' evolution process, and proposes some policy recommendation for its future development.

Half-day workshop with Professor Edward Altman

  • Title: Credit Risk and Investment Management
  • Date: Wednesday 27 March 2013
  • Time: 9am - 1pm
  • Location: Macquarie University's Applied Finance Centre, Level 3, 10 Spring Street, Sydney

While in Sydney visiting the Centre for Financial Risk, Professor Ed Altman was interviewed on Sky News.

Event details for "Credit Risk and Investment Management" workshop

Seminar with Professor Wolfgang Haerdle

  • Title: CoVaR and Variable Selection
  • Date: Thursday 7 March 2013
  • Time: 12-1pm
  • Location: Seminar room E4A 623

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a projection-based single-index model specification. For very high dimensional regressors X one faces yet another dimensionality problem and needs to balance precision v dimension. Such a balance may be achieved by combining semiparametric ideas with variable selection techniques. We offer theoretical properties and demonstrate our method with applications to firm risk analysis in a CoVaR context.

Convenience Yield Risk Premiums

  • Speaker: Professor Olaf Korn (University of Goettingen)
  • Date: Monday 29 October
  • Time: 12-1pm
  • Location: E4A 623

The convenience yield is an important risk factor for commodity derivatives. However, very little is known about how convenience yield risk is priced. In this paper, we construct portfolios of commodity futures which directly track the convenience yield risk premium. Our empirical results for a variety of different commodities show that convenience yield risk premiums are consistently positive, which is in line with theoretical considerations. However, their magnitude can vary strongly among different commodities. In addition, we test whether factors like the spot price volatility or the convenience yield volatility can explain any time variation in risk premiums. Our study has important implications for the risk management of commodity positions and investment strategies with commodity derivatives.

Continuous Time Finance Course

  • Professor Olaf Korn (University of Gottingen)
  • Dates: 26-28 September 2012

Course philosophy
The aim of the course is to make PhD students familiar with important models of continuous time finance and to bridge the gap between theory and empirical work. The first part of the course (sessions 1 to 4) provides the theoretical background. The second part of the course (sessions 5 and 6) deals with empirical issues like the specification of econometric models and the estimation of model parameters. The course will illustrate the techniques with examples from equity, fixed income and commodity markets.

  • Session 1: Continuous Time Stochastic Processes as Models of Asset Prices
  • Session 2: Valuation in a Complete Market Setting: Single-Factor Models
  • Session 3: Valuation in an Incomplete Market Setting: Single-Factor Models
  • Session 4: Multi-Factor Models
  • Sessions 5: Estimation of Continuous Time Models: Observed State Variables
  • Sessions 6: Estimation of Continuous Time Models: Unobserved State Variables

Download the full course program (PDF)
Download the course notes (PDF)

Quantile Regression in Risk Calibration

  • Speaker: Prof. Wolfgang Haerdle (Center for Applied Statistics and Economic, Humboldt University, Berlin)
  • Date: Wednesday, August 29
  • Time: 12.30-2.00pm
  • Location: Level 3, 10 Spring Street, Sydney 2000

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a stressful situation for one market participant, one likes to measure how this stress affects other factors. The CoVaR (Conditional VaR) framework has been developed for this purpose. The basic technical elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric modeling framework for CoVaR is proposed. A partial linear model (PLM) is analysed. In applying the technology to stock data covering the crisis period, the PLM outperforms in the crisis time, with the justification of the backtesting procedures. Moreover, using the data on global stock markets indices, the analysis on marginal contribution of risk (MCR) defined as the local first order derivative of the quantile curve sheds some light on the source of the global market risk.

Run-my-Code

  • Speaker: Christophe Hurlin (Orleans)
  • Date: Wednesday 22 August
  • Time: 11:45-1:00pm
  • Location: E4A 623

Financial Crises and Early Warning Systems

  • Speaker: Professor Bertrand Candelon (Maastricht University)
  • Date: Wednesday 22 August
  • Time: 10:00am - 11.15am
  • Location: E4A 623

This lecture presents a new generation of Early Warning Systems (EWS) which are dynamic and take into account the potential persistence in the binary crisis indicator. Elaborating on Kauppi and Saikonnen (2008), we offer an exact maximum likelihood estimation method. The empirical application deals with the prediction of currency crises for fifteen countries. It turns out that this new generation of EWS exhibits significantly better predictive abilities than the existing models for both within and without sample forecast.The recent financial turmoil in Latin America and Europe have led to a concatenation of several events from currency, banking and sovereign debt crises. The EWS are thus extended into multivariate dynamic probit, that encompasses the three types of crises - currency, banking and sovereign debt - and allows us to investigate the potential causality between all three crises. To achieve this objective, we propose a methodological novelty consisting of an exact maximum likelihood method to estimate this multivariate dynamic probit model, extending thus Huguenin, Pelgrin and Holly (2009). Using a large sample of data for emerging countries, which experienced financial crises, we find that mutations from banking to currency (and vice-versa) are quite common. More importantly, the trivariate model turns out to be more parsimonious in the case of the two countries which suffered from the three types of crises. These findings are strongly confirmed by a conditional probability and an impulse-response function analysis, highlighting the interaction between the different types of crises and advocating hence the implementation of trivariate models whenever it is feasible.

Economic Impacts of Contemporary Electricity Reform in OECD: Emphasizing Australia

  • Speaker: Reza Fathollahzadeh Aghdam (PhD, Department of Finance and Economics, King Fahd University of Petroleum and Minerals (KFUPM)
  • Date: Wednesday 18 June
  • Time: 12 - 1pm
  • Venue: E4A 623

Since the 1990s, the electricity industry in Australia - like many other countries around the world - has undergone a significant reform. This reform, even though differs from country-to-country in terms of its country-specific features, it mostly follows a common reform-model as an institutional change. The principle rational behind this reform has been that this reform would improve the productivity of the industry, lowering electricity price, and ultimately enhance social well-being of people by contributing to economic growth at large. Several studies have been conducted to substantiate such rationales. Most previous studies are focused on assessing the microeconomic impacts of electricity reform, i.e., analysing reform's impacts on productivity of the industry. With regards to macro-impacts, there are two distinct aspects that researchers have been trying to address: (i) how the causality between electricity and economic growth (i.e., electricity-economy nexus) can be identified? and (ii) how one can assess short- and long-run impacts of electricity reform on such nexus and, subsequently, on economic growth? Review of the literature shows that most of the previous studies are focused on the former.
This presentation re-examines electricity-economy nexus in the context of 19 OECD countries and 7 Australian states. It also aims to analyse the impacts of contemporary electricity reform on such nexus, with a view to assess the impact of reform on macroeconomic variables - real GDP growth, in particular. The results are still preliminary, but seem very intriguing. The results support that electricity demand and GDP growth have a bi-directional long-run relationship. Further, it suggests that reform's key institutional features - specifically functional unbundling, market structure and ownership type - has had insignificant impacts on economic growth, electricity demand and inflation. This is despite the fact that certain extents of the microeconomic impacts of reform on productivity and electricity prices are approved by several studies. Such results would certainly have significant policy implications.

The Term-Structure of Risk and Forward Premiums in Currency Futures Markets

Applications of Text Analytics and Network Modelling in Finance: Some Applications

  • When: Wednesday 28 March 2012
  • Speaker: Professor Sanjiv Das, Professor of Finance at Santa Clara University

Professor Sanjiv Das is Professor of Finance at Santa Clara University's Leavey School of Business. Prof Das has previously held faculty appointments at Harvard Business School and UC Berkeley. He also holds post-graduate degrees in finance and computer science. Before becoming an academic, he worked in the derivatives business in the Asia-Pacific region and was a vice president for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.

Prof Das is also a speaker at Financial Risk Day on Friday 30 March.

Black swans or dragon kings? A simple test for deviations from the power law

  • When: Wednesday 21 March 2012
  • Speaker: Professor Rafal Weron, Professor of Economics at Wroclaw University of Technology

We develop a simple test for deviations from power law tails. Actually, from the tails of any distribution. We use this test - which is based on the asymptotic properties of the empirical distribution function - to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or 'only' as black swans.

Risk patterns and correlated brain activities. Multidimensional statistical analysis of MRI data with application to risk patterns.

  • When: Friday 9 March 2012
  • Speaker: Alena Mysickova (Max Planck Institute, Berlin),

Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated during decisions under risk and which neural processes underlay (risky) investment decisions are important goals in neuroeconomics. Here, we reanalyze functional magnetic resonance imaging (fMRI) data on 17 subjects which were exposed to an investment decision task from Mohr et al. (2010b). We obtain a time series of three-dimensional images of the blood-oxygen-level dependent (BOLD) fMRI signals. Our goal is to capture the dynamic behaviour of specific brain regions of all subjects in this high-dimensional time series data, by a flexible factor approach resulting in a low dimensional representation. We apply a panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and identify task-related activations in space and dynamics in time. Further, we classify the risk attitudes of all subjects based on the estimated low- dimensional time series. Our classification analysis successfully confirms the estimated risk attitudes derived directly from subjects' decision behaviour.

Download PDF of "Risk Patterns and Correlated Brain Activities" (3.6MB)

Implied volatility surfaces presentation using a smoothing filter based on fuzzy transformation

  • When: Friday 3 February 2012
  • Speaker: Tomas Tichy (Technical University Ostrava)

Abstract: We suggest a new alternative method for modeling implied volatility surfaces. The approach is based on discrete functions using the fuzzy transform introduced by Perfilieva (2006). We generalize a recently proposed smoothing filter based on the fuzzy transform to obtain better control on the smoothed functions. For this purpose, a generalization of the concept of fuzzy partition is suggested and the smoothing filter is defined as a combination of the direct discrete fuzzy transform and a slightly modified inverse continuous fuzzy transform. The approximation behaviour, total variation of smoothed functions and statistical properties including the description of the white noise reduction and the asymptotic expression of bias and variance are investigated and discussed. The proposed filter is compared with the Nadaraya-Watson estimator and the results are illustrated using financial data. Within the analysis provided in Holcapek and Tichy (2011), we have suggested a smoothing filter based only on one independent variable. However, many real world problems, including the presentation of option volatility surfaces, are multidimensional in nature. Hence we generalize the fuzzy smoothing filter into two/n dimensions and show its application within a common problem of financial engineering and asset pricing, including some possible extensions.

2011 more icon 2011

Financial Risk Workshop

2011 Fiancial Risk Day large

Speakers at the 25 November Financial Risk Workshop (l-r) Prof Daniel Roesch, A/Prof Ken Siu, Dr Benjamin Avanzi, Dr Valentyn Panchenko, Prof Carl Chiarella, Prof Stefan Trueck and Prof Rodney Wolff. Read more about 2011 Financial Risk Workshop

An analytical formula for VIX futures and its applications

  • When: Wed 14th December, 2011
  • Speaker: Dr Guanghua Andy Lian, Lecturer in Applied Mathematics, Auckland University of Technology, New Zealand.

In this seminar we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly-derived formula is then used to show that the well-known convexity correction approximations can sometimes lead to large errors. Utilizing the newly-derived formula, we also conduct an empirical study, the results of which demonstrate that the Heston stochastic volatility model is a good candidate for the pricing of VIX futures. While incorporating jumps into the underlying price can further improve the pricing of VIX futures, adding jumps to the volatility process appears to contribute little improvement for pricing VIX futures. This is joint work with Song-Ping Zhu.

How to Hedge if the Payment Date is Uncertain?

  • When: Wed 7 December
  • Speaker: Alexander Merz , Georg-August-Universität Göttingen

This seminar considers the hedging of price risk if the payment date is uncertain, a problem that frequently occurs in practice. It derives and establishes the variance-minimizing hedging strategy, using forward contracts with different times to maturity. The resulting strategy fully hedges the expected price exposure for each possible payment date and is therefore easy to implement. An empirical study compares the performance of the variance-minimizing strategy with heuristic alternatives, using commodity prices and exchange rates. Our analysis shows that the variance-minimizing strategy clearly outperforms all the alternatives.

Cointegration and stochastic correlations: Application to the pricing of commodity derivatives

  • When: Wed 9th November, 2011
  • Speaker: Dr Jing Zhao, Lecturer in Finance, School of Economics and Finance, La Trobe University

Cointegration and stochastic correlations, including stochastic volatilities, are statistically significant for the spot prices of crude oil and gasoline. As these commodities are not traded on exchange, their futures prices provide us with strong empirical support that cointegration contributes significantly to the stochastic movements of their convenience yields in addition to their storage costs. We develop continuous-time dynamics of cointegrated assets with a stochastic covariance matrix to capture the effects of cointegration and stochastic correlations. Our proposed model allows us to super-calibrate the cointegration parameters by fitting to the observed term structure of futures prices. We demonstrate the model's use in valuing options on a single commodity and on multiple commodities using Fourier transform techniques.

2010 more icon 2010

Market risk estimation for FX sensitive portfolio by Lévy marginals and ordinary copulas

  • Speaker: Tomas Tichy
  • Date: 6th December, 2010
  • Venue: Seminar room Level 5, Building E4A

Postgraduate Programs & Industrial Projects and Support (with discussions)

  • Speaker: Xiaoqiang Cai
  • Date: 2nd December, 2010
  • Venue: Seminar room 523 Level 5, Building E4A

Collaboration in Portfolio Selection and Investment: A Multi-Period Cooperative Game

  • Speaker: Xiaoqiang Cai
  • Date: 29th November, 2010
  • Venue: Seminar room 623 Level 6, Building E4A

A Kindergarten Guide to Modern Monetary Theory

  • Speaker: Frank Ashe
  • Date: 22nd November, 2010
  • Venue: Seminar room Level 6, Building E4A

Valuation of Crude Oil and Gas Reserves

  • Speaker: Richard Heaney
  • Date: 16th November, 2010
  • Venue: Seminar room Level 5, Building E4A

Pricing Temperature Risk

  • Speaker: Brenda Lopez Cabrera
  • Date: 23th September, 2010
  • Venue: Seminar Room Level 5, Building E4A

Expected Option Returns and the Structure of Jump Risk Premia

  • Speaker: Christian Schlag
  • Date: 23rd September, 2010
  • Venue: Seminar Room Level 5, Building E4A

Three day workshop on Asset Allocation and Continuous-Time Financial Models

  • Speakers: Prof. Christian Schlag from Goethe University Frankfurt, Germany
  • Date: 21 - 23rd September, 2010
  • Venue: E6A 109

Shape-Preserving Interpolation and Smoothing for Options Market Implied Volatility

  • Speaker: Liqun Qi
  • Date: 6th September, 2010
  • Venue: Seminar Room Level 6, Building E4A

An Empirical Comparison of Alternate Regime-Switching Models for Electricity Spot Prices

  • Speaker: Rafal Weron
  • Date: 18th August, 2010
  • Venue: Seminar Room Level 6, Building E4A

Visitor Details

2015

4 Nov - 16 Nov

Dr Youguo Zhang, Institute of Quantitative Economics and Technical Economics, Chinese Academy of Social Sciences (CASS), Beijing, will work with Prof Stefan Trueck on carbon emission schemes during his visit, arranged by Macquarie University's International Office and ongoing collaboration with CASS.

20 October - 20 November

Professor Edward Altman, Max L. Heine Professor of Finance at the Stern School of Business, New York University, will continue working on research with A/Prof Egon Kalotay, Prof Stefan Trueck, A/Prof Geoff Loudon and Dr Thomas Longden, as part of their Centre for International Finance and Regulation (CIFR)-funded research on Real Estate Cycles and Bank Systemic Risk. Prof Altman will also present a seminar hosted jointly with CIFR on the 'Outlook for Global Credit Markets – Is it a Bubble?' at the Macquarie Applied Finance Centre in Sydney's CBD on 19 November. He will also present a joint AFAS/CFR seminar on 9 November on 'How Risky are Private Equity Sponsored LBOs?'.

24 September - 13 October

Dr Marc Gronwald, University of Aberdeen Business School, will undertake research with Prof Stefan Trueck, discuss future projects and assist with feedback for participants at the annual PhD workshop.

1 May - 31 July

Luca Schneider, Ecole Polytechnique, Paris, will undertake research on the Impact of the Australian Carbon Tax on Wholesale Electricity Prices during his visit, hosted by Prof Stefan Trueck, co-director of the CFR.

1 March - 1 April

Associate Professor Frank Shiemann, University of Hamburg, will be hosted by the Department of Accounting and Corporate Governance while undertaking research with CFR member Andreas Helllman.

16 February -  16 March

Profesor Rudi Zagst is Chair of Mathematical Finance at the Technical University of Munich.  In 2007, Prof Zagst was awarded "Professor of the Year 2007" by the magazine Unicum Beruf for linking practice and education in an outstanding way.

Rudi studied business mathematics at the University of Ulm. After his dissertation in the field of stochastic dynamic optimization, he started his professional career at HypoVereinsbank AG. There he worked as Head of Product Development in the Institutional Investment Management before transferring to Allfonds International Asset Management GmbH as Head of Consulting and finally becoming Managing Director of RiskLab GmbH - Private Research Institute for Financial Studies in 1997.

Since 1992 Prof Zagst has held various teaching positions at the Universities of Ulm, St Gallen Augsburg, Munich, Toronto, Ulm, and Singapore. After his qualification as a university lecturer at the University of Ulm in 2000, Prof Zagst was appointed a Professor of Mathematical Finance at Technichal University of Munich (TUM) in 2001 where he is Director of the Center of Mathematics and Head of the Chair of Mathematical Finance.

He is the author and editor of many books, including Handbook of Matrices, Applied Time Series Econometrics and New Introduction to Multiple Time Series Analysis.

His visit is being jointly hosted by Centre for Financial Risk members A/Prof Elizabeth Sheedy from Macquarie Applied Finance Centre, and Prof Stefan Trueck, co-director of the Centre for Financial Risk. Prof Zagst will present a 2.5 day course on Continuous Time Finance as part of his visit.

16 February - 13 March

Professor Helmut Luetkepohl has been Dean of the DIW Berlin Graduate Center and Bundesbank Professor in the field of "Methods of Empirical Economics" at the Free University of Berlin since January 2012. Before that, he was Professor of Econometrics at the European University Institute in Florence (2002-2011) and the Faculty of Economics at the Humboldt University of Berlin (1992-2001), Professor of Statistics at the Christian-Albrechts-University, Kiel (1987-1992) and the University of Hamburg (1985-1987) and Visiting Assistant Professor at the University of California, San Diego (1984-85).

He has been on the editorial board of several scientific journals such as Econometric Theory, Journal of Econometrics, Journal of Applied Econometrics, Macroeconomic Dynamics, Empirical Economics and Econometric Reviews and has published numerous papers in academic journals. He is the author, co-author and editor of many books, including Handbook of Matrices, Applied Time Series Econometrics and New Introduction to Multiple Time Series Analysis.

Professor Leutkepohl's visit is being hosted by The Department of Economics, with additional resources for his workshop provided by the Centre for Financial Risk. The workshop will be held on Tuesday 24 February at MGSM, on Identifying Structural Vector Autoregressive Models via Changes in Volatility.

8 September 2014 - 26 February 2015

Dr Silvia Pastorekova is a post-doctoral research fellow from Technical University of Ostrava, Czech Republic.  She studied operation research and econometrics and completed her doctorate in statistics at University of Economics in Bratislava, Slovakia. As a part of her doctorate studies she also spent one year at University of Carlos III. in Madrid, Spain as visiting doctorate student. Her research focuses on modelling of macroeconomic and financial variables.

November - December

Don M Chance, PhD, CFA, holds the James C Flores Endowed Chair of MBA Studies and is Professor of Finance at the EJ Ourso College of Business at Louisiana State University. He previously held the William H Wright Jr Endowed Chair for Financial Services at LSU, and the First Union Professorship in Financial Risk Management at Virginia Tech.  Prior to his academic career he worked for a large south-eastern bank. He has been a visiting scholar at the National University of Singapore, the University of Adelaide, the University of Strathclyde, the University of North Carolina at Chapel Hill, the Korea Advanced Institute for Science and Technology, and the University of Missouri at Kansas City. Professor Chance has had numerous articles published in academic and practitioner journals and has authored three books: An Introduction to Derivatives and Risk Management (10thed, forthcoming) co-authored with Robert Brooks, Essays in Derivatives: Risk Transfer Tools and Topics Made Easy (2nded), and Analysis of Derivatives for the CFA Program. His most recent research examines asset allocation and performance measurement, corporations that accept blame and blame others, dividend rights as executive compensation, foreign currency risk management, bias in the volatility smile, and benchmarking Type I error in security selection. He is often quoted in the media on matters related to derivatives and risk management as well as financial markets and the economy in general. He has extensive experience conducting professional training programs, and his consulting practice (Omega Risk Advisors, LLC) serves companies, organizations, and law firms. He is also involved in the development and authorship of the derivatives and risk management curriculum in the CFA program.

5 September - 27 October

Kristina Schluessler is a PhD candidate and research assistant at the Chair of Finance at Goettingen University. She studied business administration majoring in finance and accounting at Goettingen University and the University of Bologna. Her research focuses on options' implied information and on volatility in commodity markets. She is a visiting scholar at the Centre of Financial Risk at Macquarie University for two months.

11 August - 30 September

Moritz Lukas is a PhD candidate and research assistant at the Chair of Banking and Behavioural Finance at the University of Hamburg (UHH). He has studied economics and business administration at the University of Muenster (WWU) and at the Norwegian School of Economics (NHH). After working as a management consultant for two years, he started his PhD in 2011. His primary research interests cover behavioural finance, banking, and experimental economics. He is a visiting scholar at the Centre for Financial Risk at Macquarie University for two months.

Jun -  Oct

Martin Hain is a PhD candidate at Karslruhe Institute of Technology. He is a visiting scholar at the Centre for Financial Risk at Macquarie University.

12-16 March

Professor Wolfgang Haerdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin. He is also the director of the "Collaborative Research Center 649: Economic Risk". His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His most recent work is dealing with the modelling of implied volatilities and the statistical analysis of financial risk. Wolfgang has published over 200 articles in numerous prestigious journals including, for example, Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory and Quantitative Finance. He is also on the 'Highly cited Scientist' list of the Institute for Scientific Information since 2003.

9 January - 31 March

Klaus Mayer is a PhD candidate and research assistant at the Center for Energy Markets and the Chair of Financial Management and Capital Markets at Technische Universitat Munchen (TUM). After he studied mathematical finance at TUM and the Hong Kong University of Science and Technology (HKUST), he started his PhD in December 2010. His research interests cover the behaviour of electricity markets, their modeling, and the implications for the valuation of utility companies. He is a visiting scholar at the Center of Financial Risk at Macquarie University for three months.

15 December 2013 - 15 March

Paolo Krischak is PhD candidate at the Chair of Finance, Georg-August-Universitat Goettingen, where he has also been a research assistant since November 2010. He has studied mathematics and finance previously at the University of Hamburg, and mathematics at University of Dundee. His research interests include demand based derivative pricing, liquidity and asset pricing and market microstructure. He is a visiting scholar at the Centre of Financial Risk at Macquarie University for three months.

visitors2013 more icon 2013

2 March - 9 March

Professor Wolfgang Härdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin. He is also the director of the "Collaborative Research Center 649: Economic Risk". His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His most recent work is dealing with the modelling of implied volatilities and the statistical analysis of financial risk. Wolfgang has published over 200 articles in numerous prestigious journals including, for example, Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory and Quantitative Finance. He is also on the 'Highly cited Scientist' list of the Institute for Scientific Information since 2003.

15 March - 15 April

Edward I. Altman is the Max L. Heine Professor of Finance at the Stern School of Business, New York University. He is the Director of Research in Credit and Debt Markets at the NYU Salomon Center for the Study of Financial Institutions. He previously chaired the Stern School's MBA Program for 12 years. He has been a visiting Professor at the Hautes Etudes Commerciales and Universite de Paris-Dauphine in France, at the Pontificia CatolicaUniversidade in Rio de Janeiro, Macquarie University, Australian Graduate School of Management, University of Western Australia, Luigi BocconiUniversity in Milan and CEMFI in Madrid.

Dr. Altman was named to the Max L. Heine endowed professorship at Stern in 1988, and has an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis. He was named Laureate 1984 by the Hautes Etudes Commerciales Foundation in Paris for his accumulated works on corporate distress prediction models and procedures for firm financial rehabilitation and awarded the Graham & Dodd Scroll for 1985 by the Financial Analysts Federation for his work on Default Rates on High Yield Corporate Debt. Professor Altman is also the Chairman of the Academic Advisory Council of the Turnaround Management Association. He was inducted into the Fixed Income Analysts Society Hall of Fame in 2001, President of the Financial Management Association (2003) and a FMA Fellow in 2004 and was among the inaugural inductees into the Turnaround Management Association's Hall of Fame in 2008.

Prof Altman was named one of the "100 Most Influential People in Finance" by Treasury & Risk Management magazine in 2005. He also received an Honorary Doctorate from Lund University, Sweden in May 2011. Dr Altman's primary areas of research include bankruptcy analysis and prediction, credit and lending policies, risk management and regulation in banking, corporate finance and capital markets. He has been a consultant to several government agencies, major financial and accounting institutions and industrial companies and has lectured to executives in North America, South America, Europe, Australia-New Zealand, Asia and Africa.

visitors2011 more icon 2012

1 November – 20 December

Hilke Hollander is a PhD student at the University of Oldenburg whose research interests include asset securitisation and financial risk. Her most recent work is dealing with the pricing of liquidity risk arising from provision of liquidity facilities for securitisation transactions. Ongoing research considers the long-run cointegration relation between credit spreads and the amount of securitisation recourse liabilities. At Macquarie University, she is extending her research to the empirical measurement of counterparty risk in the Credit Default Swaps market and its implications for regulation.

4 September - 30 October

Olaf Korn is a Professor of Finance at Georg-August-Universität Göttingen, Germany, and a Fellow of the Centre of Financial Research (CFR) in Cologne. From 2010 to 2012 he has been Dean of the Faculty of Economic Sciences. Before coming to Göttingen, he had been a Professor of Corporate Finance at WHU - Otto Beisheim School of Management, and a Research Associate at the Centre for European Economic Research (ZEW) in Mannheim. He holds as Master's degree in statistics and received a PhD in finance from the University of Mannheim. Olaf's research interests are the fields of theoretical and empirical finance, focusing in particular on risk management, derivatives and asset management. He regularly presents his research at academic conferences. Past publications can be found in the Journal of Banking and Finance, Journal of Financial Markets, Journal of Financial Intermediation, Journal of Forecasting, Journal of Futures Markets, Journal of Derivatives and the Review of Derivatives Research, and other titles.

21 - 24 August

Christophe Hurlin is Professor of Economics at the University of Orleans, France, and a founding member of the Methods in International Finance Network (MIFN).

Professor Hurlin is an accomplished researcher in econometrics applied to finance and energy. His key contributions are in the areas of energy demand modelling, financial crises and early warning systems, Value-at-Risk analysis and panel econometrics. He has published widely including the Journal of Financial Econometrics, Journal of Forecasting, Economic Modelling, IMF Economic Review and Finance. He is Head of the Institute d'Economie d'Orléans (IEO). He has recently set up a fascinating new internet company, RunMyCode, which allows anyone to upload their econometric or simulation model to a website, which then becomes available to everyone to run the code using the original data's author, or one's own data. The website has most common software available, such as Matlab, RATS, Ox, Mathematica etc.

21 - 24 August

Bertrand Candelon is Professor in International Monetary Economics at Maastricht University, The Netherlands and Founding Member of the Methods in International Finance Network (MIFN). Professor Candelon is a world-renowned scholar and researcher in the area of international finance and macroeconometrics. His key contributions are in the areas of exchange rates, crises, contagion and the econometrics of financial markets. He has published widely including the Journal of Banking and Finance, Journal of International Money and Finance, Journal of Financial Econometrics, Quantitative Finance, and Oxford Bulletin of Economics and Statistics.

23 - 31 August

Professor Wolfgang Härdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin. He is also the director of the "Collaborative Research Center 649: Economic Risk". His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His most recent work is dealing with the modelling of implied volatilities and the statistical analysis of financial risk. Wolfgang has published over 200 articles in numerous prestigious journals including, for example, Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory and Quantitative Finance. He is also on the 'Highly cited Scientist' list of the Institute for Scientific Information since 2003.

11 June - 25 August

Assistant Professor Reza Aghdam from the Department of Finance and Economics at King Fahd University of Petroleum and Minerals. His interests include energy economics and policy; micro- and macro-economics; international economics; productivity analysis and applied econometrics. Research has focused on contemporary electricity industry reforms, including institutional changes that have taken place in industry's organisation, market structure, regulatory framework, ownership and policy directions. Recent papers include a re-examination of the electricity-economy nexus, world wide electricity reform and implications for economic growth.

27 - 30 March

Professor Sanjiv Das, Professor of Finance at Santa Clara University's Leavey School of Business. Prof Dad previously held faculty appointments at Harvard Business School and UC Berkeley. He also holds post-graduate degrees in finance and computer science. Before becoming an academic, he worked in the derivatives business in the Asia-Pacific region and was a vice president for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.

Research interests include:

  • modelling of default risk
  • machine learning
  • social networks
  • derivatives pricing models
  • portfolio theory and venture capital

19 - 30 March

Professor Rafal Weron, Professor of Economics at Wroclow University of Technology. Professor Weron, who specialises in risk management, forecasting, computational statistics and stochastic modelling, is associate editor of Computational Statistics, Journal of Energy Markets, Operations Research and Decisions, and Surveys in Mathematics and its Applications. His research focuses on developing risk management and forecasting tools for the energy industry and computational statistics as applied to finance and insurance. His other interests include stochastic modeling, time series, heavy tailed distributions, and computer simulations of highly volatile phenomena. He is periodically engaged as a consultant to energy and financial companies and teaches graduate level courses on energy and financial markets at Wroclaw University of Technology and NTNU (Trondheim).

visitors2011 more icon 2011

December 2011:

  • Dr Ping Chen from the Centre of Actuarial Studiesat University of Melbourne.
  • Alexander Merz from Georg-August Universitat, Gottingen.

13 - 18 December:

Dr Guanghua (Andy) Lian, Lecturer in Mathematical Finance, School of Computing and Mathematics, Auckland University of Technology, New Zealand. Guanghua received his PhD in Mathematical Finance from the University of Wollongong in 2010, and masters degree in Finance from Huazhong University of Science and Technology, China. Before joining Auckland University of Technology, he was a postdoctoral researcher at the University of Adelaide. Guanghua's research interests focus on pricing volatility derivatives and modeling volatility surface, with several publications in Mathematical Finance and Journal of Futures Markets. In addition he is completing examinations as a Chartered Financial Analyst (CFA), and holds a Certificate of Quantitative Finance.

7 - 11 November:

Dr Steve Su, Assistant Professor in Statistics, School of Mathematics and Statistics, University of Western Australia,Perth. He is an applied statistician with research interest in accounting, food forensics, finance, geology, engineering and medicine with over 25 publications in well regarded academic journals.  He is an associate editor in Journal of Mathematics and Computer Science, International Journal of Medical and Clinical Research, Journal of Medicinal Chemistry Letters and has won a number of external and internal grants. He will be collaborating with A/P Ken Siu on a portfolio optimisation project with representatives from industry during his visit to Macquarie University.

Dr Jing Zhao, Lecturer in Finance, School of Economics and Finance, La Trobe University, Melbourne. She completed her PhD degree at the Chinese University of Hong Kong in 2010. Her research interests are in quantitative finance and risk management. Her articles have featured in academic journals such as Quantitative Finance, Journal of Futures Markets, Operations Research Letters, Computational Statistics and Data Analysis, SIAM Journal on Numerical Analysis.

Dr John W Lau, Assistant Professor in Statistics, School of Mathematics and Statistics, University of Western Australia, Perth. Dr Lau is an expert in Bayesian nonparametric statistics approach and its applications in various disciplines. His interests include Bayesian non-parametric density and failure rate estimations as well as their financial and actuarial applications. He is also interested in option pricing and filtering problems. His main contributions in publications relate to these topics and most of his works are in top ranked journals.

visitors2010 more icon 2010

10 - 20 December

Dilip Madan, Professor of Finance at the Robert H. Smith School of Business, specializing in Mathematical Finance at the University of Maryland. He currently serves as a consultant to Morgan Stanley, Caspian Capital LLC, and Bloomberg and has previously served as consultant to Wachovia Securities and the FDIC. He is a recipient of the 2006 Humboldt award in Mathematics, founding member and past president of the Bachelier Finance Society, managing editor of Mathematical Finance and associate editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, and Journal of Computational Finance, among others.

23 November - 6 December

Xiaoqiang Cai, Professor at the department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He received his B.Eng. degree from the Harbin Shipbuilding Engineering Institute and his M.Eng. and D.Eng. degrees from Tsinghua University. He conducted postdoctoral research at The University of Cambridge and The Queen's University of Belfast. He was Lecturer of Applied Mathematics at The University of Western Australia. He had been the Chairman of the Department of Systems Engineering and Engineering Management during 1996-2003, and Professor since October 2000. His research concentrates on scheduling models and algorithms, logistics management, network optimization, and portfolio optimization. He has published extensively in leading journals in these areas, such as Operations Research, Management Science, Naval Research Logistics, IIE Transactions, and IEEE Transactions.

15 September - 4 October

Christian Schlag, Professor of Finance at Goethe University Frankfurt. Christian received his doctorate in business administration from the University of Karlsruhe in 1994. Prior to joining the faculty of Goethe University Frankfurt in 1997, he held a position as a postdoctoral researcher at the University of Karlsruhe. He has held visiting appointments at Vanderbilt University and at the University of Melbourne. His current research focuses on asset pricing and asset allocation in continuous-time models and on the pricing and hedging of derivative securities.

26 August - 8 September

Liqun Qi, Professor and Head of Department of Applied Mathematics at The Hong Kong Polytechnic University. Liqun is a well-acknowledged world leading authority in Optimisation and its Applications. He was rated as ISI Most Highly Cited Scientist in 1981-1999 (one of the only three in China and Hong Kong) for his research work, and is a Foreign Member of the Petrovskaya Academy of Science and Arts of Russia. He is also a panel member of the Hong Kong Research Grant Council and has held 15 editorial positions. He has won 39 competitive research grants, including 9 years in a row from the Research Grant Council of Hong Kong. His publications include 15 research monographs and 180 journal papers (many in A* and A journals according to the ERA journal rankings).

10 - 25 August

Rafal Weron, Professor of Economics at Wroclaw University of Technology (WUT), Poland. Rafal received his M.Sc. (1995) and Ph.D. (1999) degrees in applied mathematics from the WUT. His research focuses on risk management and forecasting in the power markets and computational statistics as applied to finance and insurance. Rafal is the co-author of three books and over 70 research articles, book chapters, and conference papers. His other interests include stochastic modeling, time series, heavy tailed distributions, and computer simulations of highly volatile phenomena.