GRETA
Associati (Venice, Italy), Banca Intesa
(Milan, Italy) and Deloitte Business Consulting (Milan, Italy)
are co-sponsors of a Conference to be held in Venice on September
22-23, 2003. The objective of the Conference is to bring together
academics, practitioners and PhD students working in the area of credit
risk modelling. The Conference will provide an opportunity for participants
engaged at the forefront of this area to discuss open problems and challenges
and may, in turn, suggest fruitful directions for future research. The
Conference, organised under the auspices of the Department of Economics
of the University of Venice and ABI - Italian Banking Association,
is the second of a series dedicated to various aspects of credit risk.
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The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular: |
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Modelling credit default correlation | ||||||||||||||
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Portfolio effects and diversification | ||||||||||||||
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Econometric techniques for modelling dependence (including copulae) | ||||||||||||||
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The calibration of such new models for credit risk applications | ||||||||||||||
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Liquidity and recovery assumptions | ||||||||||||||
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Going from methodology to trading | ||||||||||||||
The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Mark H.A. Davis (Imperial College, London), Greg M. Gupton (Moodys|KMV, New York), Philipp Schönbucher (ETH, Zürich), Stuart M. Turnbull (Lehman Brothers, New York), Ugur Koyluoglu (Mercer Oliver Wyman, New York) and Robert F. Engle (Stern School of Business, New York University). Each of the papers will have a discussant, chosen from the public or private sectors. The Conference will end with a panel discussion on "Portfolio Effects and Credit Risk Migration in the Light of Basel 2". | |||||||||||||||
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Credit Risk Evaluation Designed for Institutional Targeting in finance
Dependence Modelling for Credit Portfolios
DIPARTIMENTO DI SCIENZE ECONOMICHE
last updating:
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01 October 2003 |