Thursday - September 30, 2004
|
8.30 - 9.00 |
Registration |
9.00 - 11.00 |
Session I:
Credit Risk and Cycle
Chairman: Domenico Sartore (Università di Venezia and GRETA) |
- Welcome Address,
On. Giancarlo Galan (President
of Regione del Veneto)
- Time-to-Default: Life Cycle, Global and Industry Cycle
Impacts, Fabien Couderc (FAME & University of Geneva)
and Olivier Renault (Standard & Poor’s Risk Solutions
and Associate Fellow, FERC, Warwick Business School)
|
11.00 - 11.30 |
Coffee break |
11.30 - 13.15 |
Session II: Credit Spreads
Chairman: Stephen M. Schaefer (London Business School) |
- Invited talk: Credit and Basket Default Swaps, Dilip
B. Madan (Robert H. Smith School of Business and
Bloomberg LP, New York), Michael Konikov (Bloomberg LP, New
York) and Mircea Marinescu (Bloomberg LP, New York)
- Modeling the Dynamics of
Credit Spreads with Stochastic Volatility
Kris Jacobs (McGill University) and Xiaofei Li (York University,
Toronto)
- Default Risk in Corporate Yield Spreads,
Georges Dionne (HEC Montreal), Geneviève Gauthier (HEC
Montreal), Khemais Hammami (HEC Montreal), Mathieu Maurice (HEC
Montreal) and Jean-Guy Simonato (HEC Montreal)
|
13.15 - 14.45 |
Lunch |
14.45 - 16.30 |
Session III: Contagion
and Migration I
Chairman: Alain Monfort (CNAM and CREST, Paris) |
- Invited talk: Default
Probability and Correlation in Credit Rating Systems: Efficient
Estimators for Cohort Performance Data, Michael
B. Gordy (Board of Governors of the Federal Reserve
System, Washington)
- A Simple Model of Credit
Contagion, Daniel Egloff (Zürcher
Kantonalbank), Markus Leippold (University of Zurich) and Paolo
Vanini (University of Southern Switzerland and Zürcher
Kantonalbank)
- Stochastic Migration Models with Application
to Corporate Risk, Patrick Gagliardini (Università
della Svizzera Italiana) and Christian Gouriéroux (CREST,
CEPREMAP, Paris and University of Toronto)
|
16.30 - 17.30 |
Coffee break and POSTER Session 1:
Validation and Pricing |
17.30 - 18.30 |
Session IV: Recovery Rates
Chairman:
Juan Ignacio Peña (Universidad Carlos III de Madrid) |
- Understanding the Recovery Rates on Defaulted
Securities, Viral V. Acharya (London Business School),
Sreedhar T. Bharath (University of Michigan) and Anand Srinivasan
(University of Georgia)
- Structural RFV: Recovery Form and Defaultable Debt Analysis,
Rajiv Guha (London Business School) and Alessandro Sbuelz (Tilburg
University)
|
Friday - October 1 , 2004 |
9.00 - 10.45 |
Session V: Pricing CDO
Chairman:
Olivier Scaillet, (Hautes Etudes Commerciales, Geneva) |
- Invited talk: Valuation
of a CDO and an nth to Default CDS
Without Monte Carlo Simulation, John
Hull (University of Toronto) and Alan
D. White (University of Toronto)
- The Defaultable Lévy Term Structure: Ratings and Restructuring, Ernst Eberlein (University of Freiburg) and Fehmi Özkan (University of Freiburg)
- Asset Securitisation of Large Portfolios,
Caroline I.M.L. Tan (Credit Risk Modelling, ABN-AMRO Bank, Amsterdam
and CentER, Tilburg University), Bertrand Melenberg (CentER
and Tilburg University) and Bas J.M. Werker (CentER and Tilburg
University)
|
10.45 - 11.15 |
Coffee break |
11.15 - 13.00 |
Session VI: Other Topics
Chairman: Philipp Schönbucher (ETH Zurich) |
- Invited talk: Hedging
Defaultable Claims, Tomasz R. Bielecki (Illinois Institute
of Technology), Monique
Jeanblanc (University of Évry - Val d'Essonne)
and Marek Rutkowski (Warsaw University of Technology)
- Individual Stock-Option Prices and Credit
Spreads, Martijn Cremers (Yale School of Management), Joost
Driessen (University of Amsterdam), Pascal Maenhout (INSEAD,
Fontainebleau) and David Weinbaum (Cornell University)
- Optimal Simultaneous Validation Tests of
Default Probabilities, Dependencies, and Credit Risk Models,
Uwe Wehrspohn (Heidelberg University)
|
13.00 - 14.30 |
Lunch |
14.30 - 15.30 |
Session VII: Rating System
Chairman: Bas Werker (CentER, Tilburg University) |
- Invited talk: Rating Transitions
and Defaults Conditional on Watchlist, Outlook and Rating History,
David T. Hamilton (Moody's Investors Service,
New York) and R. Cantor (Moody's Investors Service, New York).
|
15.30 - 16.30 |
Coffee break and POSTER Session 2: Stand Alone and Portfolio Credit Risk Measures |
16.15 - 18.00 |
PANEL SESSION: The Role of Rating Systems in the Credit Process
Chairman: Rainer MASERA (Libera Università degli Studi Sociali (LUISS) Guido Carli and SanPaolo Imi Group)
|
- Vittorio CONTI, Chief Risk Management Officer, Banca Intesa, Milan
- Luigi DE FELICE, Manager Deloitte
- Gerald DILLENBURG, Responsible for the Development of the Rules for the Internal Ratings Based Approach, European Commission: DG-Internal Market, Banking and Financial Conglomerates Unit
- Michael B. GORDY, Research and Statistics Division of the Board of Governors of the Federal Reserve System, Washington
- David T. HAMILTON, Vice President and Senior Credit Officer, Moody's Investors Service, New York
- Thilo LIEBIG, Responsible of the Basel Committee group on the model validation, Deutsche Bundesbank
- Rainer MASERA,
Libera Università degli Studi Sociali (LUISS) Guido Carli and former President of the SanPaolo Imi Group
- Pietro MODIANO, Vice General Manager of UniCredit and Managing Director of the Unicredit Banca Mobiliare (UBM), Milan
|