Ph.D. Student or Postdoc in Financial Risk Modelling

Ph.D. Student or Postdoc in Financial Risk Modelling

Financial and Actuarial MathematicsInstitute for Mathematical Methods in EconomicsVienna University of Technology

We are looking for a Ph.D. student or a postdoc for the broad areas ofcredit risk models, credit derivatives or general dependence modellingin risk management. The position is in the Christian DopplerLaboratory on Portfolio Risk Management (PRisMa Lab). The laboratoryis located within the research group for financial and actuarialmathematics at the Vienna University of Technology, it is headed byProf. Uwe Schmock. The laboratory is funded by the Christian DopplerResearch Association, which is a non-profit association aiming topromote high-quality research, development and knowledge transfer inAustria. The research is carried out jointly with the Bank AustriaCreditanstalt and the Austrian Federal Financing Agency (ÖBFA). Yourmain area of activity will be high-quality research in one of theareas credit risk models, credit derivatives, dependence modelling inrisk management or possibly counterparty risk for exotic swaps, alwayswith a view towards practical applicability.

We offer you to work on the forefront of current mathematicalresearch, within a highly active and distinguished research group(Prof. Walter Schachermayer, Prof. Uwe Schmock, Prof. Peter Grandits,Prof. Josef Teichmann, Dr. Friedrich Hubalek, Dr. Reinhold Kainhofer,Dr. Johannes Leitner) and in close cooperation with the specialists ofour financial industry partners. We expect you to have a strongbackground in financial modelling and the theory of stochasticprocesses. Nevertheless, a high motivation and a strong desire tolearn and adapt new material can fill almost any gap you might have inthe requirements.

There are no teaching duties associated with these positions. Thestart date is flexible and can be anytime in the first months of 2008,however, we plan to start soon. The salaries for the position arebased on the FWF guidelines. We strongly encourage applications offemale candidates.
Your application has to be in English or German and should arrive byNovember, 12th, 2007.Ideally it should be in electronic format (PDF) and include:

* Application letter, indicating your preferred start date,
* Complete curriculum vitae,
* List of publications and preprints (if any), links to onlineversions if available,
* Copies of academic transcripts and certificates (please includea translation if these are not in English, German or French),
* Letters of reference or contact details of academics who canprovide a letter of reference upon request.

Send your application to the office address secr@fam.tuwien.ac.at.Please join all your attached documents into a single file if possible.

Contact details:Prof. Dr. Uwe SchmockFinancial and Actuarial MathematicsVienna University of TechnologyWiedner Hauptstraße 8-10/105-1A-1040 ViennaAustriaeMail:

schmock@fam.tuwien.ac.atURL: http://www.fam.tuwien.ac.at/ (research group) andhttp://www.prismalab.at/ (PRisMa La