Credit Risk Evaluation Designed for Institutional Targeting in finance

La Valutazione del Rischio di Default per il Segmento Corporate

Programma
Giovedì - 19 settembre 2002
8.30 - 9.00
 Registrazione dei partecipanti
9.00 - 11.00
Sessione I
Presidente: Domenico Sartore (Università di Venezia and GRETA)
      • Benvenuto, Paolo Costa (Sindaco di Venezia)
      • Apertura dei lavori, Stephen Schaefer (London Business School)
      • Relazione invitata: Predictions of Expected Default Frequencies in Structural Models of Debt, Hayne E. Leland (University of California, Berkeley)
        Moderatore: 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)
        Moderatore: Jose Luis Fernández (Universidad Autònoma de Madrid)
11.00 - 11.30
Pausa caffè
11.30 - 13.00
Sessione II
Presidente: Juan Ignacio Peña (Universidad Carlos III de Madrid)
 
      • Relazione invitata: The Economics of the Bank and of the Loan Book, Stephen B. Kealhofer (Moody's KMV)
        Moderatore: 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)
        Moderatore: Frank Moraux (Université de Rennes 1)
13.00 - 14.00
Colazione di lavoro
14.00 - 15.00
 POSTER SESSION I
15.00 - 16.30
Sessione III
Presidente: Oliver Scaillet (HEC Genève and FAME, UNIMAIL, Faculté des SES, Switzerland)
 
      • Relazione invitata: Benchmarking Default Prediction Models: Pitfalls and Remedies in Model Validation, Roger M. Stein (Moody's KMV)
        Moderatore: 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)
        Moderatore: Federico Galizia (European Investment Bank)
16.30 - 17.00
Pausa caffè
17.00 - 18.30
Sessione IV
Presidente Bas Werker (CentER, Tilburg University)
 
      • A Model of Bankruptcy Prediction, Eivind Bernhardsen (University of Oslo)
        Moderatore: Loriana Pelizzon (Università di Padova and GRETA)
      • Is Default Event Risk Priced in Corporate Bonds?, Joost Driessen (University of Amsterdam)
        Moderatore: Hayne E. Leland (University of California, Berkley)
Venerdì - 20 settembre 2002
9.00 - 10.30
 Sessione V
Presidente: Stephen Schaefer (London Business School)
 
      • Relazione invitata: Confidence Sets for Continuous-time Rating Transition Data, Jens Christensen (University of Copenhagen) and David Lando (University of Copenhagen)
        Moderatore: 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)
        Moderatore: Andrea Giacomelli (Università di Venezia and GRETA)
10.30 - 11.00
 Pausa caffè
11.00 - 12.30
 Sessione VI
Presidente: 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)
        Moderatore: 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)
        Moderatore: Ilya Strebulaev (London Business School)
12.30 - 13.45
 Colazione di lavoro
13.45 - 14.45
 POSTER SESSION II
14.45 - 15.30
 Sessione VII
Presidente: Mauro Maccarinelli (IntesaBCI)
 
      • Relazione invitata: 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)
        Moderatore: Guido Cazzavillan (Università di Venezia)
15.30 - 16.00
 Pausa caffè
16.00 - 18.00
 TAVOLA ROTONDA: Ruolo e sviluppo del modello interno nel segmento Large Corporate
Presidente: Ronald Anderson (London School of Economics)
 
      • Ron S. Dembo (President and Chief Executive Officer of Algorithmics Inc.)
      • Vittorio Conti (Chief Risk Management Officer, IntesaBCI)
      • Paul Embrechts (Swiss Federal Institute of Technology, Zurich)
      • Domenico Gammaldi (Managing Director Banking Supervision Department, Banca d'Italia)
      • Roger Stein (Managing Director Moody's Risk Management Services)