GRETA
Associati (Venice, Italy), Banca
Intesa (Milan, Italy) and Deloitte
(Milan, Italy) are co-sponsors of a Conference to be held in Venice
on September 30-October 1, 2004. 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 with the participation of the Centre for Research on e-finance (HEC Montreal, Canada) and under the
auspices of the Department
of Economics of the University of Venice, Regione del Veneto and ABI
- Italian Banking Association, is the third 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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Empirical validation of scoring models based on accounting, qualitative and industry information; | ||||
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Validation of the credit risk components: default probability, recovery rate, exposure at default; | ||||
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Validation of the credit portfolio distribution: backtesting, coherent risk measures, marginal risk contributions; | ||||
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The rating philosophy: point in time vs. through the cycle; | ||||
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Validation of banking and trading book pricing models; | ||||
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Rating transitions | ||||
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Validation of migration models. | ||||
The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Michael B. Gordy (Board of Governors of the Federal Reserve System, Washington), David T. Hamilton (Moody's Investors Service, New York), Monique Jeanblanc (University of Évry - Val d'Essonne), David Lando (Copenhagen Business School), Dilip B. Madan (Robert H. Smith School of Business, University of Maryland) and Alan D. White (University of Toronto). Each of the papers will have a discussant, chosen from the public or private sectors. The Conference will end with a panel discussion on the practical applicability of existing theoretical approaches and practitioners' views of the major outstanding problems. |
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Credit Risk Evaluation Designed for Institutional Targeting in finance
Validation of Credit Risk Models
last updating:
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06 October 2004 |