You are cordially invited to attend the talks in seminar room D4.4.008 (Building D4, Entrance A, Level 4) on Fridays at 9:00am.

October 6:

Efstathia Bura (Institute of Statistics and Mathematical Methods in Economics, TU Wien):

Near-equivalence in Forecasting Accuracy of Linear Dimension Reduction Methods in Large Panels of Macro-variables

October 20:

Josef Teichmann (Department of Mathematics, ETH Zürich)
Machine Learning in Finance

> Abstract
> Paper n/a
> Talk n/a

November 10:

Natesh S. Pillai (Department of Statistics, Harvard University, USA):
Bayesian Factor Models in High Dimensions
> Abstract
> Paper 1, Paper 2, Paper 3
> Talk
[Host: Sylvia Frühwirth-Schnatter]

November 17:

Johanna F. Ziegel (Institute of Mathematical Statistics and Actuarial Science, University of Bern):
Elicitability and backtesting: Perspectives for banking regulation

> Abstract
> Paper

November 24:

Vladimir Veliov (Institute of Statistics and Mathematical Methods in Economics, TU Wien):

Regularity and approximations of generalized equations; applications in optimal control

December 1:

Bernd Bischl (Department of Statistics, Ludwig-Maximilians-Universität München):

Model-Based Optimization for Expensive Black-Box Problems and Hyperparameter Optimization

December 13 (Wednesday 12:30, Brown Bag Seminar):

Stefan Weber (Institute of Probability and Statistics, Leibniz Universität Hannover):

Pricing of Cyber Insurance Contracts in a Network Model

January 12:

Eric Finn Schaanning (Department of Mathematics, ETH Zürich):
Measuring systemic risk: The Indirect Contagion Index

> Abstract
> Paper

January 26:

Daniel Rösch (Department of Business Administration, Universität Regensburg):

Systematic Effects among LGDs and their Implications on Downturn Estimation