| Monday,
September 25 2006 |
|
8.30
- 9.00 |
Registration |
|
9.00
- 10.45 |
Session
I
Chairman:
Domenico Sartore (GRETA & Università Ca’
Foscari di Venezia) |
- Welcome Address: Dino
Rizzi (Dean of the School of Economics and Business,
Università Ca’ Foscari di Venezia)
- Opening Remarks:
Hans
Degryse (CentER - Tilburg
University, TILEC, CES-Ifo & AFM Chair)
and Bas J.M. Werker (CentER - Tilburg
University)
- Invited talk:
Credit
Securitization and Risk Taking: On the Role of Banks in Capital
Markets,
Jan-Pieter
Krahnen (Goethe Universität Frankfurt)
- Modeling
Credit Risk for SMEs: Evidence from the US Market, Edward I. Altman (New York
University) and Gabriele Sabato
(ABN AMRO & Università “La Sapienza” di Roma)
Discussant:
Bas J.M. Werker (CentER
- Tilburg University)
|
|
10.45
- 11.15 |
Coffee
break |
|
11.15
- 13.00 |
Session
II
Chairman:
Stephen
M. Schaefer (London Business School) |
-
Invited
talk: Firm
Heterogeneity and Credit Risk Diversification, M.
Hashem Pesaran (University of Cambridge)
- Sector
Concentration in Loan Portfolios and Economic Capital,
Klaus Düllmann
(Deutsche Bundesbank) and Nancy Masschelein
(National Bank of Belgium)
Discussant:
Alexandre
Adam (BNP Paribas, Paris)
- The
Impact of Size, Sector and Location on Credit Risk in SME
Loans Portfolios,
Michel Dietsch
(Université Robert Schuman de Strasbourg) and
Joël Petey (Université Robert Schuman de Strasbourg)
Discussant:
Juan Ignacio Peña
(Universidad Carlos III de Madrid)
|
|
13.00
- 14.30 |
Lunch |
|
14.30
- 16.15 |
Session
III
Chairman:
Fabio
Salis (Banca Intesa, Milan) |
-
Invited
talk: Relazione
invitata: Explaining
the Level of Credit Spreads: Option-Implied Jump Risk Premia
in a Firm Value Model,
Joost
Driessen (University of Amsterdam & CEPR)
- Multiyear
Credit Rating, Term Structures of Default Probabilities, and
Diversification in SME Portfolios,
Alfred Hamerle (Universität Regensburg),
Rainer Jobst (Universität Regensburg),
Thilo Liebig (Deutsche Bundesbank) and
Daniel Rösch (Universität Regensburg)
Discussant:
Astrid Van
Landschoot (Standard &
Poor’s, London)
- Developing
Financial Distress Prediction Models: A Study of US, Europe
and Japan Retail Performance,
Yu-Chiang Hu (University
of Edinburgh) and Jake Ansell (University
of Edinburgh)
Discussant:
Loriana
Pelizzon (Università Ca’ Foscari
di Venezia & GRETA)
|
|
16.15
- 16.45 |
Coffee
break |
|
16.45
- 18.15 |
PANEL
SESSION: Developments
in the Small Business Credit Process
Chairman: Fabrizio GALIMBERTI
(Il Sole 24 Ore, Milan)
Alessio BALDUINI
(Vice President, Risk Management and Analytic Services, Moody's Investors
Service, London)
Davide CAPUZZO (Analytics Director,
CRIF Decision Solutions, Bologna)
Andrea DE VIDO (Managing Director,
Gruppo Finanziaria Internazionale, Conegliano)
Fausto GALMARINI (Managing
Director, UniCredit Factoring, Milan)
Pierpaolo GRIPPA (Financial
and Banking Supervision, Banca d’Italia)
Renato MAINO (Manager of Risk
Assessment and Management, San Paolo IMI, Turin)
Steven ONGENA (CentER - Tilburg
University, TILEC & CEPR)
Giuseppe SCHLITZER (Director
for Economics and Finance, Confindustria Research Centre, Rome)
|
| 20.30 |
Social
Dinner |
| Tuesday,
September 26 2006 |
|
9.00
- 10.45 |
Session
IV
Chairman:
Paolo
Gabriele (Finanziaria Internazionale, Conegliano) |
-
Invited
talk: Liquidity
Risk and Correlation Risk: Implications for Risk Management, Viral
Acharya (London Business School
& CEPR)
- Credit
Barrier and Dynamic Correlation Techniques for Pricing Collateralized
Debt Obligations of European Small and Medium-sized Enterprises, Louis
Loizou (University of Oxford & Kleinwort Benson)
Discussant:
Philipp Schönbucher
(ETH Zürich)
-
The
Pricing of Portfolio Credit Risk, Nikola
Tarashev (Bank for International Settlements,
Basel) and Haibin Zhu (Bank for International
Settlements, Basel)
Discussant:
Joost Driessen (University of Amsterdam)
|
|
10.45
- 11.15 |
Coffee
break |
|
11.15
- 13.15 |
Session
V
Chairman:
Davide
Capuzzo (CRIF Decision Solutions, Bologna) |
-
Reputation
and Credit Market Formation,
Ernst Fehr (University of Zürich) and
Christian Zehnder (University of Zürich)
Discussant:
Giampaolo Gabbi
(Università di Siena & SDA Bocconi
School of Management, Milan)
- Credit
Reporting, Relationship Banking, and Loan Repayment, Martin
Brown (Swiss National Bank) and
Christian Zehnder (University of Zürich)
Discussant:
Hans Degryse (CentER
- Tilburg University, TILEC, CES-Ifo & AFM Chair)
- The
Effect of Relationship Lending on Firm Performance, Judit
Montoriol-Garriga (Universitat Autònoma
de Barcelona & Universitat Pompeu Fabra)
Discussant:
Steven Ongena
(CentER - Tilburg University, TILEC & CEPR)
- Soft
Information in Small Business Lending,
Emilia García-Appendini (Universitat
Pompeu Fabra)
Discussant:
Andrea Giacomelli
(GRETA &
Università Ca' Foscari di Venezia)
|
|
13.15
- 14.45 |
Lunch |
|
|
Session
VI
Chairman:
Steven
Ongena (CentER - Tilburg University, TILEC & CEPR) |
-
Invited
talk: SME
Finance: Beyond Relationship Lending, Gregory
F. Udell (Indiana University)
- Distance
and Information Asymmetries in Lending Decisions, Sumit
Agarwal (Federal Reserve Bank of Chicago) and
Robert Hauswald (American University)
Discussant:
Antonella Basso
(Università Ca' Foscari di Venezia & SSAV)
- What
Do One Million Credit Line Observations Tell Us about Exposure
at Default? A Study of Credit Line Usage by Spanish Firms, Gabriel Jiménez
(Banco de España), Jose A. Lopez
(Federal Reserve Bank of San Francisco)
and Jesús Saurina (Banco de España)
Discussant:
Jan-Pieter Krahnen (Goethe Universität
Frankfurt)
|
|
16.30
- 18.00 |
Coffee
break and POSTER
Session |
|
18.00 |
End
of the Conference |
| |
|
