Thursday - September 19, 2002

POSTER SESSION I

• Reinforced Urn Processes for Modeling Credit Default Distributions, Emanuele Amerio (INSEAD), Pietro Muliere (Università Bocconi, Milano) and Piercesare Secchi (Politecnico di Milano)

• Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis, Hans N.E. Bystrom (University of Technology, Sidney)

• Valuation of Defaultable Bonds and Debt Restructuring, Ariadna Dumitrescu (Universidad Autònoma de Barcelona)

• On Valuing Corporate Debt When the Volatility of Corporate Assets Evolves According to Ornstein-Uhlenbeck Process, Bakhodir Ergashev (Washington University in S. Louis)

• The Role of Non-financial Factors in Internal Credit Ratings, Jens Grunert (Universität Mannheim), Lars Norden (Universität Mannheim) and Martin Weber (Universität Mannheim and CEPR)

• Pricing the Risks of Callable Defaultable Coupon Bonds, Levent Güntay (University of Maryland)

• Valuing Corporate Liabilities When the Default Threshold Is Not an Absorbing Barrier, Franck Moraux (Université de Rennes 1)

• The Short Rate Drift Is Actually Nonlinear But Not as Much as We Thought, Olivier Renault (London School of Economics) and Olivier Scaillet (HEC Genève and FAME, UNIMAIL, Faculté des SES, Switzerland)

• Debt Valuation and Marketability Risk, Pierre Tychon (IRES, Université Catholique de Louvain, Belgium and European Investment Bank, Luxemburg) and Vincent Vannetelbosch (IRES, Université catholique de Louvain and FNRS, Belgium)

• The Nature of the Information Contained in Changes in Credit Rating, Robert Schweitzer (University of Delaware), Samuel H. Szewczyk (Drexel University) and Raj Varma (University of Delaware)

• Analysing and Combining Multiple Credit Assessments of Financial Institutions, Evangelos Tabakis (European Central Bank, Germany) and Anna Vinci (European Central Bank, Germany)