The ICEF (http://www.dse.unive.it/en/centers-partners/icef/) conducts international research in the fields of Finance, Economics and Financial Econometrics. It also provides academic courses in these areas and organize the International Master in Economics and Finance.
The ICEF currently has the following vacancy: Postdoctoral fellow, full time for 24 months, for the project ‘Hedge funds: tail event behavior and absolute alphas’.
Recent literature evaluating hedge funds performance asserts that there seems to be a talent in the hedge fund industry. One of the main problems in the research on the hedge funds extra-performance is the need to take into account the well known non-normality on returns and the non linear dependence from standard asset benchmarks due to the use of derivatives and dynamic trading strategies. How this affects the performance measurement is one of the central issues in this project. The focus is on the integration of dynamic models for risk measurement and hedge funds replication strategies. This project will allow a junior researcher to develop studies on a new area of finance: the alternative investments and specifically the hedge fund industry.
This is a project co-financed by the University Ca’ Foscari of Venice (www.unive.it) and GRETA (Venice, http://www.greta.it/en/index.htm).
The ideal candidate should hold a PhD in Finance (or be very close to finishing its PhD). A strong research potential in Finance are required.
The candidate is expected to conduct high-quality empirical research and to interact with other faculty members. Good writing and computing skills are essential. Fluency in English is required. The position is free of administrative duties and teaching obligations. If a small teaching load is desired, this can be accommodated and rewarded. It is an untenured post-doctoral position with duration of two years. Tentative beginning of appointment September 2008. An extension of the term is not excluded.
Salary (before taxes and pension contributions): Approx. 45.000 Euro (approx. 70,000 USD) for the entire duration of the program. The salary is exempt to taxation.
Further information on the profile of the position may be obtained from Prof. Dr. Monica Billio at billio@unive.it
Applications including the application form (see below), curriculum vitae, scientific publications, 2 referees names and addresses being able to provide reference letters, in English or in Italian, and a copy of a valid Identity Document or Passport have to be sent to:
Head of the Department of Economics
University of Ca’ Foscari of Venice
Cannareggio 873
30121 VENEZIA - Italy
Applications have to be received by 21 June 2008.
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