Credit Risk Evaluation Designed for Institutional Targeting in finance

Validazione dei Modelli di Credit Risk

Giovedì - 30 Settembre 2004
8.30 - 9.00
 Registrazione
9.00 - 11.00
Sessionee I
Chairman: Domenico Sartore (Università di Venezia e GRETA)
      • Benvenuto, On. Giancarlo Galan (Presidente della Regione del Veneto)
      • Apertura dei lavori , Christian Gouriéroux (CREST e CEPREMAP, Paris e University of Toronto)

      • Relazione invitata: Non-parametric Analysis of Rating Transition and Default Data, Peter Fledelius (Royal & Sun Alliance), David Lando (Copenhagen Business School) e Jens Perch Nielsen (Royal & Sun Alliance).

      • An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies, Daniel Rösch (University of Regensburg)
      • Time-to-Default: Life Cycle, Global and Industry Cycle Impacts, Fabien Couderc (FAME & University of Geneva) e Olivier Renault (Standard & Poor’s Risk Solutions e Associate Fellow, FERC, Warwick Business School)
11.00 - 11.30
Pausa caffè
11.30 - 13.15
 Sessione II
Chairman: Stephen M. Schaefer (London Business School)
      • Relazione invitata: Credit and Basket Default Swaps, Dilip B. Madan (Robert H. Smith School of Business e Bloomberg LP, New York), Michael Konikov (Bloomberg LP, New York) e Mircea Marinescu (Bloomberg LP, New York)
      • Modeling the Dynamics of Credit Spreads with Stochastic Volatility, Kris Jacobs (McGill University) e 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) e Jean-Guy Simonato (HEC Montreal)
13.15 - 14.45
 Colazione di lavoro
14.45 - 16.30
 Sessione III
Chairman: Alain Monfort (CNAM e CREST, Paris)
      • Relazione invitata: 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) e Paolo Vanini (University of Southern Switzerland e Zürcher Kantonalbank)
      • Stochastic Migration Models with Application to Corporate Risk, Patrick Gagliardini (Università della Svizzera Italiana) e Christian Gouriéroux (CREST, CEPREMAP, Paris e University of Toronto)
16.30 - 17.30
Pausa caffè e Sessione POSTER 1
17.30 - 18.30
Session IV
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) e Anand Srinivasan (University of Georgia)
      • Structural RFV: Recovery Form and Defaultable Debt Analysis, Rajiv Guha (London Business School) e Alessandro Sbuelz (Tilburg University)
Venerdì - 1 Ottobre 2004
9.00 - 10.45
 Sessione V
Chairman: Olivier Scaillet, (Hautes Etudes Commerciales, Geneva)
      • Relazione invitata: Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation, John Hull (University of Toronto) e Alan D. White (University of Toronto)
      • The Defaultable Lévy Term Structure: Ratings and Restructuring, Ernst Eberlein (University of Freiburg) e Fehmi Özkan (University of Freiburg)

      • Asset Securitisation of Large Portfolios, Caroline I.M.L. Tan (Credit Risk Modelling, ABN-AMRO Bank, Amsterdam e CentER, Tilburg University), Bertrand Melenberg (CentER e Tilburg University) e Bas J.M. Werker (CentER e Tilburg University)
10.45 - 11.15
 Pausa caffè
11.15 - 13.00
 Sessione VI
Chairman: Philipp Schönbucher (ETH Zurich)
      • Relazione invitata: 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) e David Weinbaum (Cornell University)

      • Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models, Uwe Wehrspohn (Heidelberg University)
13.00 - 14.30
 Colazione di lavoro
14.30 - 15.30
 Sessione VII
Chairman: Bas Werker (CentER, Tilburg University)
      • Relazione invitata: 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
 Pausa caffè e Sessione POSTER 2
16.15 - 18.00

Tavola rotonda: L'utilizzo dei sistemi di rating nei processi decisionali: accettazione, monitoraggio, pricing
Chairman: Rainer MASERA (Libera Università degli Studi Sociali (LUISS) Guido Carli e SanPaolo Imi Group)

      • Vittorio CONTI, Responsabile dell'area Risk Management, Banca Intesa, Milano
      • Luigi DE FELICE, Manager Deloitte
      • Gerald DILLENBURG, Responsabile per lo sviluppo deli regolamenti per i sistemi di rating interno, Commissione Europea: DG- Mercato Interno, Unità Banking and Financial Conglomerates
      • Michael B. GORDY, Senior Economist nella Research and Statistics Division del Board of Governors della Federal Reserve System, Washington
      • David T. HAMILTON, Direttore della Default Research Unit, Moody's Investors Service, New York
      • Thilo LIEBIG, Responsabile del Gruppo sulla Validazione dei Modelli del Comitato di Basilea, Deutsche Bundesbank.
      • Rainer MASERA, Libera Università degli Studi Sociali (LUISS) Guido Carli, già Presidente del Gruppo SanPaolo IMI, Torino
      • Pietro MODIANO, Vice Direttore Generale di UniCredit e Amministratore Delegato di  Unicredit Banca Mobiliare (UBM), Milano
ultimo aggiornamento:
06 Ottobre 2004
Programma