Chair of Financial Econometrics and Asset Management
Prof. Sandra Paterlini, PhD
Seminar Prof. Andrea Resti
On behalf of FACT Department, Prof. Sandra Paterlini is pleased to invite you to a seminar.
Prof. Andrea Resti (Bocconi University) will give a talk on
What Drives the Liquidity of Sovereign Bonds?
An Assessment of the New Basel III Rules on Bank Liquid Assets
Date: March 7th 2014
Location: EBS Campus Schloss, Oestrich-Winkel
Room: HG Audi
Abstract and Bio can be found here
Guest Lecture by Vincent Weber - Head of Research Prime Capital AG
On March 5th 2014, Vincent Weber Head of Research will give a guest lecture on "Hedge Fund Replication".
Room: C1 Campus Burg 11:30 Uhr
The paper Flexible dependence modeling of operational risk losses and its impact on total capital requirements has been published in the Journal of Banking and Finance.
Research Workshop Heuristics in Finance and Economics
On behalf of FARE and GE department, Professor Sandra Paterlini is happy to invite you to participate to a research workshop on
Heuristics in Finance and Economics.
Date: November 19, 2013, 9.30-12.00h
Time: 09.30 am – 12.00am
Venue: EBS Universität, Campus Schloss Reichartshausen, Rheingaustraße 1, 65375 Oestrich-Winkel
Room: Klaus Evard Library
The guest speakers Prof. Peter Winker, University of Gießen and Prof. Dietmar Maringer, University of Basel will be presenting their lectures on Heuristics Optimization in Economic Modeling (Prof. Winker) and Heuristics Optimization in Financial Management (Prof. Maringer).
The paper Modeling Dependence of Operational Loss Frequencies by Eike Brechmann, Claudia Czado and Sandra Paterlini has been accepted for publication in The Journal of Operational Risk.The second paper that has been accepted by the Journal of Operational Risk is Operational-Risk Dependencies and the Determination of Risk Capital by Stefan Mittnik, Sandra Paterlini and Tina Yener.
The Journal of Operational Risk has three fundamental aims to serve as an educational forum on timely issues concerning operational risk in general.
CompStat 2014- 21st International Conference
Prof. Sandra Paterlini will be member of the scientific committe of the 21st International Conference on Computational Statistics held in Geneva, August 19-22,2014.
The conference is sponsored by the European Regional Section of the IASC. For further information please click on http://compstat2014.org/
Invitation to Seminar on "Insurance Aset Management"
Karl Happe, CIO Insurance Related Strategies, Allianz Global Investors will present
“Insurance Asset Management”
Date: November 4th 2013
Location: Room H2 at Campus Schloss
On November 4th 2013 the regular Master Course Econometrics of Financial Markets is joined by Karl Happe, CIO Insurance Related Strategies, Allianz Global Investors. Mr. Happe will give an insight on Insurance Asset Management.
Karl Happe, graduated summa cum laude from Princeton and holds an MBA with distinction from INSEAD. He worked for Morgan Stanley, Bank Boston and McKinsey before joining Allianz in 2004.
Students and faculty are welcome.
4th CEQURA Conference on Advances in Financial and Insurance Risk Management
Sandra Paterlini is participating at the 4th CEQURA Conference on Advances in Financial and Insurance Risk Management by presenting "Constructing Optimal Sparse Portfolios Using Regularization Methods" a joint work with Bjoern Fastrich and Prof. Peter Winker. The paper can be downloaded here
Margherita Giuzio is participating at the Junior Workshop at the 4th CEQURA conference, presenting "Sparse and Robust Portfolio Selection by Penalized Q-Entropy Minimization", a joint work with Davide Ferrai (University of Melbourne) and Sandra Paterlini (EBS Universität für Wirtschaft und Recht )
Prof. Sandra Paterlini, PhD is member of the Programme Committee of 4th CEQURA Conference on Advances in Financial and Insurance Risk Management, organized by the Society for Financial and Insurance Econometrics and in collaboration with Bayerisches Finanz Zentrum, will take place on September 23-24, 2013 in Munich.
For more information:www.cequra.uni-muenchen.de/conference2013/index.html
The tentative schedule can be found under www.cequra.uni-muenchen.de/download/cequra-conf-2013/tentative-schedule2013.pdf
University of Minnesota - MCFAM Summer Symposium
Prof Sandra Paterlini will be speaking on Operational Risk at the MCFAM Summer Symposium:
Modeling Risk in Banking and Insurance – Catching the Next Crisis aims to address the challenges of risk management and modeling in ever changing and interconnected financial markets with evolving regulation.
Best Paper Award CFS Conference on Operational Risk
Prof. Sandra Paterlini, PhD, has won the best paper award for her paper, co-authored with Prof. Stefan Mittnik, PhD and Dr. Tina Yener:
Operational Risk Dependecies and the Determination of Risk Capital
at the CFS Conference on Operational Risk (Management and Measurement) organized by the Center of Finacial Studies, House of Finance, Goethe University and Fraunhofer ITWM, endorsed by the IOR, March 22 2013.
Guest Editor Special Issue Econometric Computing
ABI Basel III 2013 - Next Conference
Prof Sandra Paterlini will be chairman of the session on operational risk at the conference ABI Basel III, 2013 in Rome on June 27th and 28th. Italian and European regulators, top banking experts and academics, and the leading players in the market will be featur as speakers. Further information are available at: www.abieventi.it/eventi/1834/basilea-3-2013
Swiss Society for Financial Market Research & Marie Curie ITN Conference
At the 16th SGF CONFERENCE 2013 - Annual Conference of the Swiss Society for Financial Market Research (SGF) held on April 12, 2013 in Zurich, Prof Sandra Paterlini has presented her paper Constructing Optimal Sparse Portfolios Using Regularization Methods and was discussant.
The paper was also presented the day before at the Marie Curie ITN Conference on Financial Risk Management & Risk Reporting at the University of Konstanz.
Conference: Risk Management Reloaded
Prof. Paterlini will participate at the Conference Risk Managment Reloaded from Sep. 9 to Sep. 13, 2013. A symposium at the Technische Universität München supported by the “KPMG Center of Excellence in Risk Management”
Prof. Paterlini's talk will focus on "Flexible Dependence Modeling of Operational Risk Losses and Its Impact on Total Capital Requirements", a joint work with Eike Brechmann and Claudia Czado Slides are available here, while the full paper can be downloaded here.
Brechmann, Czado & Paterlini (2013).
Flexible Dependence Modeling of Operational Risk Losses
and Its Impact on Total Capital Requirements.
New Research Assistant
Margherita Giuzio joins the Chair as research assistant on April 1st, 2013.
Her primary fields of interest are financial econometrics, financial modelling and engineering, as well as Asset Management. For more information please click on team.
Best Teaching Award
Philipp Rindler, lecturer at the Chair of Financial Econometrics and Asset Management since 2010, has received the Best Teaching Award 2013.
Seminar Hedge Fund Replication
Vincent Weber, Head of Reserach of Prime Capital AG, gave an insight look into Hedge Fund Replication on March 26th 2013 to EBS students. The presentation can be looked at by clicking on the highlighted text.
EBS Inaugural Lecture
On January 29th 2013, Prof Sandra Paterlini presented
A joint work with Björn Fastrich and Peter Winker.