Friday - September 20, 2002

POSTER SESSION II

• Portfolio Credit Risk: a "Semi-specific" Approach, Michele Benvenuti (Banca d'Italia and Università di Pisa)

• The Relationship Between Risk and Capital in Swiss Commercial Banks: a Panel Study, Robert Bichsel (Swiss National Bank) and Jürg Blum (Swiss National Bank)

• Which Factors Affect Corporate Bonds Pricing? Empirical Evidence from Eurobonds Primary Market Spreads, Gianpaolo Gabbi (Università degli Studi di Siena) and Andrea Sironi (Università Bocconi, Milano)

• The Quality of Corporate Credit Rating: an Empirical Investigation, Koresh Galil (Tel-Aviv University)

• Accounting for the Incomplete Part of Credit Markets, Nicolas Gaussel (Société Générale Asset Management) and Julien Tamine (University of Marseille and Société Générale Asset Management)

• The Estimation of Default Probabilities for Private Firms from Response Based Samples, Rosario Dell’Aquila (Zürcher Kantonlabank, Zurich) and Stephan Lenz (Zürcher Kantonlabank, Zurich)

• The Default Risk in Bank Lending Are There Swedish Evidence for the “Church Tower Principle”?, Kenneth Carling (Office of Labor Market Policy Evaluation, Sweden) and Sofia Lundberg (Umeå University, Sweden)

• The Design of Refinancing Contracts, Santiago Forte Arcos (Universidad Carlos III de Madrid) and Juan Ignacio Peña (Universidad Carlos III de Madrid)

• About Debt and the Option to Extend Debt Maturity, Marco Realdon (University of Southampton)

• Applying a Three-Factor Defaultable Term Structure Model to the Pricing of Credit Default Options, Bernd Schmid (RiskLab GmbH, Germany) and Anna Kalemanova (RiskLab GmbH, Germany)

• Predicting Default Rates in Credit Risk Models: Empirical Comparisons Using Monte Carlo Simulations, André Tiomo (Banque de France)

• Default Compensator, Incomplete Information and the Term Structure of Credit Spreads, Kay Giesecke (Humboldt Universität, Berlin)