CREDIT Conference

GRETA Associati (Venice, Italy), Intesa Sanpaolo (Milan, Italy), Fitch Ratings and CRIF Decision Solutions (Bologna, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2007. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit rating. 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 Ca'Foscari of Venice and ABI - Italian Banking Association, is the sixth of a series dedicated to various aspects of credit risk.

The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular:

General Issues: Rating stability and studies of rating migration behaviour; Statistical vs. implied default probabilities / ratings: explanations of the differences; Backtesting of rating and PD models; The new role of rating agencies after Basel II and its implications; Point in time and trough the cycle rating; The definition of rating classes in terms of default probability: PD intervals or punctual values? The comparison among different rating quantification techniques;

Issuer and Issue Rating: The integration in the master scale; From the issuer to the issue rating: the notching methodologies;

Rating of structured finance products: Rating and risk assessment of CDOs and leveraged credit transactions, e.g. CPPI (constant proportion portfolio insurance) and CPDO (constant proportion debt obligation) transactions; Integration of Market and Credit Risk assessment for SF transactions; Rating and risk assessment of Asset Backed Securitisation transactions; Achieving rating consistency across different asset classes.

The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Greg M. Gupton (Fitch Ratings, New York), William Perraudin (Imperial College, London), Gerhard Stahl (Bundesanstalt für Finanzdienstleistungsaufsicht, Bonn), Catalina Stefanescu (London Business School) and Dirk Tasche (Fitch Ratings, London). 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 New Rating Culture".

SCIENTIFIC COMMITTEE:	LOCAL ORGANISERS:
Philipp Schönbucher, DMATH – ETH Zürich (Programme Chair) Greg M. Gupton, Quantitative Financial Research, Fitch Ratings, New York Alexander J. McNeil, School of Mathematics, Heriot-Watt University Edinburgh William Perraudin, Tanaka Business School, Imperial College, London	Domenico Sartore, GRETA Monica Billio, GRETA Davide Capuzzo, CRIF Decision Solutions Andrea Giacomelli, GRETA Ahmet E. Kocagil, FitchRatings Loriana Pelizzon, GRETA Agnese Sironi, Intesa Sanpaolo