last updating:
01 October 2003

Credit Risk Evaluation Designed for Institutional Targeting in finance

Dependence Modelling for Credit Portfolios

Meeting Programme
Monday - September 22, 2003
8.30 - 9.00
 Registration
9.00 - 11.00
Session I: Callibration and Credit Risk Modelling
Chairman: Monica Billio (University of Venice and GRETA)
      • Welcome Address, Ignazio Musu (Dean of the Venice International University)
      • Opening Remarks, Paul Embrechts (ETH Zurich)

      • Invited talk: Practical Issues in Modeling Default Dependence, Stuart M. Turnbull (University of Houston, Texas)

      • Affine Model for Credit Risk Analysis, Christian Gouriéroux (CREST and CEPREMAP, Paris and University of Toronto), Alain Monfort (CNAM and CREST, Paris) and Vassilis Polimenis (University of California, Riverside)
      • Spread Term Structure and Default Correlation, Patrick Gagliardini (Università della Svizzera Italiana) and Christian Gouriéroux (CREST and CEPREMAP, Paris and University of Toronto)
11.00 - 11.30
Coffee break
11.30 - 13.15
 Session II: Default Contagion
Chairman: Domenico Sartore (University of Venice and GRETA)
      • Invited talk: A Hidden Markov Model of Default Interaction, Martin Crowder (Imperial College, London), Mark H.A. Davis (Imperial College, London), Giacomo Giampieri (Imperial College, London)

      • Correlated Defaults in Reduced-Form Models, Fan Yu (University of California, Irvine)
13.15 - 14.45
 Lunch
14.45 - 16.00
 Session III: Local and Global Interaction I
Chairman: Bas Werker (CentER, Tilburg University)
      • Cyclical Correlations, Credit Contagion, and Portfolio Losses, Kay Giesecke (Cornell University, New York) and Stefan Weber (TU Berlin)
      • Interacting Defaults and Counterparty Risk: a Markovian Approach, Rüdiger Frey (University of Leipzig) and Jochen Backhaus (University of Leipzig)
16.00 - 17.00
Coffee break and POSTER Session 1
17.00 - 18.30
Session IV: Local and Global Interaction II
Chairman: Loriana Pelizzon (University of Padua and GRETA)

      • Calculating Credit Risk Capital Charges with the One-factor Model, Susanne Emmer (Dr. Nagler & Company GmbH, Munich) and Dirk Tasche (Deutsche Bundesbank)
      • Default Risk in a Network Economy, Henry Schellhorn (University of Lausanne, FAME and IMD), Didier Cossin University of Lausanne, FAME and IMD)
Tuesday - September 23, 2003
9.00 - 10.45
 Session V: Empirical Applications I
Chairman: Vittorio Maggiolini (Banca Intesa, Milan)
      • Invited talk: The Eternal Challenge, Ugur Koyluoglu (Mercer Oliver Wyman), Tom Wilson (Mercer Oliver Wyman) and Miguel Yague (Mercer Oliver Wyman)
      • Default Correlation: Empirical Evidence, Arnaud de Servigny (Standard & Poor's) and Olivier Renault (Standard & Poor's)

      • Empirical Results on Corporate Bond Credit Correlations, Stephen B. Kealhofer (Moody's|KMV)
10.45 - 11.15
 Coffee break
11.15 - 13.00
 Session VI: Empirical Applications II and Macroeconomic Models
Chairman: Pierluigi Brienza (Deloitte Business Consulting, Milan)
      • Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital, Klaus Düllmann (Deutsche Bundesbank) and Harald Scheule (University of Regensburg)
      • Evaluating Credit Risk Models Using Loss Density Forecasts, Hergen Frerichs (University of Frankfurt am Main) and Gunter Löffler (University of Frankfurt am Main)

      • Macroeconomic Dynamics and Credit Risk: A Global Perspective, M. Hashem Pesaran (University of Cambridge), Til Schuermann (Federal Reserve Bank of New York), Björn-Jakob Treutler (Mercer Oliver Wyman and Otto Beisheim Graduate School of Management, WHU) and Scott M. Weiner (Alliance Capital Management L.P.)
13.00 - 14.30
 Lunch
14.30 - 15.15
 Session VII: Dynamic Copula Models and Credit Cycles
Chairman: Stephen M. Schaefer (London Business School)
      • Invited talk: Dynamic Conditional Correlation Models of Tail Dependence, Robert F. Engle (Stern School of Business, New York University)

      • Invited talk: Advancing Loss Given Default Forecasting Models, Greg M. Gupton (Moody's|KMV)
15.15 - 16.15
 Coffee break and POSTER Session 2
16.15 - 18.00

PANEL SESSION: Portfolio Effects and Credit Risk Migration in the Light of Basel 2
Chairman: Paul Embrechts (ETH Zurich)
      • Luigi DE FELICE (Deloitte Business Consulting, Milan)
      • Andrea ENRIA (European Central Bank)
      • Andrea GIACOMELLI (GRETA, Venice)
      • Pierpaolo GRIPPA (Bank of Italy)
      • Vittorio MAGGIOLINI (Banca Intesa, Milan)
      • Debora ROSCIANI (Il Sole 24 Ore)
      • Gianfranco TORRIERO (ABI - Italian Banking Association)
      • Stuart M. TURNBULL (University of Houston, Texas)