Giovedì
- 22 Settembre 2005 |
8.30 - 9.00 |
Registratione
dei partecipanti |
| 9.00 - 9.30 |
- Benvenuto del Rettore dell'Università Ca' Foscari di
Venezia
- Apertura dei lavori, Alan
D. White (University of Toronto)
|
9.30 - 10.45 |
Sessione
I
Chairman: Domenico Sartore
(Università di Venezia e GRETA) |
- Relazione invitata: The
Valuation of Correlation-Dependent Credit Derivatives Using
the Hazard Rate Path Approach, John
C. Hull (University of Toronto)
- The
Influence of FX Risk on Credit Spreads,
Philippe Ehlers (ETH Zürich) e Philipp Schönbucher
(ETH Zürich)
|
10.45 - 11.15 |
Pausa
caffè |
11.15 - 13.00 |
Sessione
II
Chairman: Stephen M. Schaefer (London
Business School) |
- Relazione invitata: Better
Predictions of Income Volatility Using a Structural Default
Model, Roger
M. Stein (Moody's KMV, New York)
- An
Empirical Analysis of Bond Recovery Rates: Exploring a Structural
View of Default, Daniel Covitz (The
Federal Reserve Board, Washington D.C.) e Song Han (The Federal
Reserve Board, Washington D.C.)
-
The Adjustment of Credit Ratings of Defaulted Issuers, André Güttler (Goethe Universität
Frankfurt) e Mark Wahrenburg (Goethe Universität Frankfurt)
|
13.00 - 14.30 |
Colazione
di lavoro |
14.30 - 15.30 |
Sessione
III
Chairman: Feike C.
Drost (CentER, Tilburg University) |
- A
Top Down Approach to Multi-Name Credit, Kay Giesecke (Cornell University) e Lisa R. Goldberg
(MSCI Barra, Inc.)
- The
Market Price of Credit Risk in Stocks, Bonds and CDSs: Theory
and Evidence, Santiago Forte
(ESADE Business School, Barcelona) e J. Ignacio Peña
(Universidad Carlos III de Madrid
|
15.30 - 16.30 |
Pausa caffè e Sessione
POSTER 1 |
16.30 - 18.15 |
Sessione
IV
Chairman: Olivier Scaillet (FAME
e HEC, Genève) |
- Relazione invitata: Credit
Default Swap Calibration and Counterparty Risk Pricing with
Tractable First Passage Structural Models, Damiano
Brigo (Banca IMI, Milano)
- Explaining
Credit Default Swap Spreads with Equity Volatility and Jump
Risks of Individual Firms,
Benjamin Yibin Zhang (Fitch Ratings, New York), Hao Zhou (Federal
Reserve Board, Washington D.C.) e Haibin Zhu (Bank for International
Settlements)
|
| 20.30 |
Cena
all'Hotel Boscolo "Dei Dogi" |
Venerdì
- 23 Settembre 2005 |
9.00 -
10.45 |
Sessione
V
Chairman: Vittorio Maggiolini (Banca
Intesa, Milano) |
- Relazione invitata: A
Simple Multi-Factor “Factor Adjustment” for the
Treatment of Diversification in Credit Capital Rules, Dan
Rosen (Fields Institute of Mathematical Research,
Toronto)
- The Role
of Credit Risk Mitigation in Banking Decision-Making, Luigi De Felice (Deloitte)
- Counterparty
Risk in Derivatives and Collateral Policies: The Replicating
Portfolio Approach, Umberto Cherubini
(Università di Bologna)
|
10.45
- 11.15 |
Pausa
caffè |
11.15
- 13.00 |
Sessione
VI
Chairman: Alain Monfort
(CNAM e CREST, Paris) |
- Relazione invitata: The
Pricing and Risk Analysis of Structured Products,
William
R.M. Perraudin (Imperial College)
- Can
Rating Agencies Look through the Cycle?,
Gunter Löffler (University of Ulm)
- Ratings-based
Credit Risk Modelling: an Empirical Analysis, Pamela Nickell (Moody's KMV, New York), William
Perraudin (Imperial College) e Simone Varotto (The University
of Reading)
|
13.00 - 14.30 |
Colazione
di lavoro |
14.30 - 15.30 |
Sessione
VII
Chairman: Alexandre Adam
(BNP Paribas, Paris) |
- Effects
of the New Basel Capital Accord on Bank Capital Requirements
for SMEs, Edward I. Altman
(New York University) e Gabriele Sabato (Università "La
Sapienza" di Roma)
- Macro
Factors in the Term Structure of Credit Spreads, Jeffery D. Amato (Bank for International Settlements)
e Maurizio Luisi (ABN AMRO Bank)
|
15.30 - 16.30 |
Pausa caffè e Sessione
POSTER 2 |
16.30 - 18.00 |
TAVOLA
ROTONDA: The Treatment of Counterparty Risk for
OTC Derivatives and Other Trading Book Related Items
Chairman: Fabrizio
Galimberti ( Il Sole 24 Ore)
|
| |
Partecipanti:
Luigi De Felice (Deloitte, Milano)
Eva Gutiérrez (International Monetary Fund)
John C. Hull (University of Toronto)
Dan Rosen (The Fields Institute for Research in Mathematical
Sciences, Toronto)
Giuseppe Siani (European Commission, Banking e Financial
Conglomerates Unit)
Paolo Sironi (Banca Intesa, Milano)
|
18.00 |
Chiusura dei lavori |
