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Thursday
- September 19, 2002
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8.30 - 9.00
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Registration |
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9.00 - 11.00
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Session I
Chairman: Domenico Sartore (Università
di Venezia and GRETA)
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- Welcome Address,
Paolo Costa (Mayor of Venice)
- Opening Remarks,
Stephen Schaefer (London Business School)
- Invited talk: Predictions
of Expected Default Frequencies in Structural Models of Debt,
Hayne E. Leland (University of California, Berkeley)
Discussant: Ronald Anderson (London School of Economics)
- How Much of the Corporate-Treasury
Yield Spread Is Due to Credit Risk?, Jing-zhi Huang (Pennsylvania
State University) and Ming Huang (Stanford University)
Discussant: Jose Luis Fernández (Universidad Autònoma
de Madrid)
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11.00 - 11.30
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Coffee
break |
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11.30 - 13.00
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Session
II
Chairman: Juan Ignacio Peña
(Universidad Carlos III de Madrid) |
- Invited talk: The
Economics of the Bank and of the Loan Book, Stephen B.
Kealhofer (Moody's KMV)
Discussant: Oliver Scaillet (HEC Genève and FAME,
UNIMAIL, Faculté des SES, Switzerland)
- Estimating Structural
Bond Pricing Models, Jan Ericsson (McGill University, Montreal)
and Joel Reneby (Stockholm School of Economics)
Discussant: Frank Moraux (Université de Rennes 1)
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13.00 - 14.00
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Lunch |
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14.00 - 15.00
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POSTER
SESSION I |
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15.00 - 16.30
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Session
III
Chairman: Oliver Scaillet (HEC Genève
and FAME, UNIMAIL, Faculté des SES, Switzerland) |
- Invited talk: Benchmarking
Default Prediction Models: Pitfalls and Remedies in Model Validation,
Roger M. Stein (Moody's KMV)
Discussant: Bas Werker (CentER, Tilburg University)
- Assessing the Probability
of Bankruptcy, Stephen A. Hillegeist (Northwestern University,
Chicago), Elizabeth K. Keating (Northwestern University, Chicago),
Donald P. Cram (California State University, Fullerton) and Kyle
G. Lundstedt (California State University, Fullerton)
Discussant: Federico Galizia (European Investment Bank)
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16.30 - 17.00
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Coffee
break |
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17.00 - 18.30
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Session
IV
Chairman: Bas Werker (CentER, Tilburg
University)
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- A Model of Bankruptcy
Prediction, Eivind Bernhardsen (University of Oslo)
Discussant: Loriana Pelizzon (Università di Padova
and GRETA)
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Friday
- September 20, 2002
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9.00 - 10.30
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Session
V
Chairman: Stephen Schaefer (London
Business School) |
- Invited talk: Confidence Sets
for Continuous-time Rating Transition Data, Jens Christensen
(University of Copenhagen) and David Lando (University
of Copenhagen)
Discussant: Paul Embrechts (Swiss Federal Institute of
Technology, Zurich)
- Understanding the Role of Recovery
in Default Risk Models: Empirical Comparisons and Implied Recovery
Rates, Guardip Bakshi (University of Maryland), Dilip Madan
(University of Maryland) and Frank Xiaoling Zhang (Federal Reserve
Board)
Discussant: Andrea Giacomelli (Università di Venezia
and GRETA)
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10.30 - 11.00
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Coffee
break |
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11.00 - 12.30
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Session
VI
Chairman: Paul Embrechts (Swiss Federal
Institute of Technology, Zurich) |
- Issuance and Default
Waves in Junk Bonds: the Role of Cyclical Factors and Easy Credit,
Paul Harrison (Federal Reserve Board)
Discussant: Andrea Berardi (Università di Verona)
- Dynamic Capital Structure
with Callable Debt and Debt Renegotiations, Peter Ove Christensen
(University of Southern Denmark), Christian Riis Flor (University
of Southern Denmark), David Lando (University of Copenhagen) and
Kristian R. Miltersen (University of Southern Denmark)
Discussant: Ilya Strebulaev (London Business School)
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12.30 - 13.45
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Lunch |
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13.45 - 14.45
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POSTER
SESSION II |
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14.45 - 15.30
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Session
VII
Chairman: Mauro Maccarinelli (IntesaBCI)
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- Invited talk: Default Hazards
and the Term Structure of Credit Spreads in a Duopoly, Varqá
Khadem (Balliol College and Oxford University) and William
Perraudin (Birkbeck College, Bank of England and CEPR)
Discussant: Guido Cazzavillan (Università di Venezia)
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15.30 - 16.00
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Coffee
break |
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16.00 - 18.00
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PANEL SESSION: Internal
Risk Models for Exposures to Large Corporates
Chairman: Ronald Anderson (London School
of Economics)
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