CREDIT 2010 - Programme

Thursday, September 30 2010
08.30 - 09.00	Registration
09.00 - 09.15	Welcome Address Opening Remarks: Alain Monfort (CREST, Banque de France & Maastricht University)
09.15 - 10.30	Session I: CREDIT RISK AND PRICING Chairman: Stephen Schaefer (London Business School)
Invited talk: Credit Ratings and Securitization, John Hull (University of Toronto) Sovereign Default Risk and the U.S. Equity Market, Alexandre Jeanneret (HEC Montréal) Discussant: Alessandro Fontana (University of Venice)
10.30 - 11.00	Coffee break
11.00 - 12.30	Session II: LATENT AND MACRO FACTORS IN DEFAULT MODELING Chairman: Hayne Leland (Hass School of Business, University of California)
A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors, Georges Dionne (HEC Montréal), Geneviève Gauthier (HEC Montréal) , Khemais Hammami (Caisse de Dépôt et Placement du Québec), Mathieu Maurice (Caisse de Dépôt et Placement du Québec) and Jean-Guy Simonato (HEC Montréal) Discussant: Stephen Schaefer (London Business School) Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates, Siem Jan Koopman (VU University Amsterdam & Tinbergen Institute), André Lucas (VU University Amsterdam, Tinbergen Institute & Duisenberg School of Finance) and Bernd Schwaab (VU University Amsterdam & Tinbergen Institute) Discussant: Patrick Gagliardini ( University of Lugano & Swiss Finance Institute) Default, Liquidity and Crises: An Econometric Framework, Alain Monfort (CREST, Banque de France & Maastricht University) and Jean-Paul Renne (Banque de France) Discussant: Damiano Brigo (King's College, London)
12.30 - 14.00	Lunch
14.00 - 15.15	Session III: FIRM VALUE MODELS: GRANULARITY AND DOUBLE DEFAULT Chairman: Monica Billio (University of Venice & SSAV)
Invited talk: Microinformation, Nonlinear Filtering and Granularity, Patrick Gagliardini (University of Lugano & Swiss Finance Institute), Christian Gouriéroux (University of Toronto & CREST) and Alain Monfort (CREST, Banque de France & Maastricht University) [*paper n. 1* - *paper n. 2] Invited Talk: Structural Models: a Microscope on the Credit Crisis*, Hayne Leland (Hass School of Business, University of California)
15.15 - 16.15	Coffee break and POSTER SESSION 1
16.15 - 18.00	Session IV: EXTREME RISKS CORRELATION AND TAILS Chairman: Juan Ignacio Peña (University Carlos III, Madrid)
Invited talk: Credit Models pre- and in- Crisis: Impact of Default Clusters and Extreme Events on Valuation, Damiano Brigo (King's College, London) Volatility, Correlation and Tails for Systemic Risk Measurement, Christian T. Brownlees (Stern School of Business, New York University) and Robert Engle (Stern School of Business, New York University) Discussant: Massimiliano Caporin (University of Padova) Macro Stress Testing of Credit Risk Focused on the Tails, Ricardo Schechtman (Central Bank of Brazil) and Wagner Piazza Gaglianone (Central Bank of Brazil) Discussant: Mirco Rubin (University of Lugano & Swiss Finance Institute)
20.30	Social Dinner
Friday, October 1 2010
09.15 - 10.30	Session V: CONTAGION Chairman: Luigi Ruggerone (Intesa Sanpaolo, Milan)
Invited talk: Optimal Portfolio Construction When Asset Returns Self-Excite, Yacine Aït-Sahalia (Princeton University) An Extension of Davis and Lo’s Contagion Model, Didier Rullière (Université de Lyon), Diana Dorobantu (Université de Lyon) and Areski Cousin (Université de Lyon) Discussant: Dirk Tasche (Lloyds TSB Bank, London)
10.30 - 11.00	Coffee break
11.00 - 12.30	Session VI: SYSTEMIC RISK Chairman: Paolo Marizza (Financial Innovations, Milan)
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors, Monica Billio (University of Venice & SSAV), Mila Getmansky (Isenberg School of Management, University of Massachusetts), Andrew W. Lo (MIT Sloan School of Management) and Loriana Pelizzon (University of Venice & SSAV) Discussant: Juan Ignacio Peña (University Carlos III, Madrid) Attributing Systemic Risk to Individual Institutions. Methodology and Policy Applications, Nikola Tarashev (Bank for International Settlements, Basel), Claudio Borio (Bank for International Settlements, Basel) and Kostas Tsatsaronis (Bank for International Settlements, Basel) Discussant: Christian Gouriéroux (University of Toronto & CREST) Hedge Fund Stock Trading in the Financial Crisis of 2007-2008, Itzhak Ben-David (Fisher College of Business, The Ohio State University), Francesco Franzoni (Swiss Finance Institute & University of Lugano) and Rabih Moussawi (Wharton Research Data Services, The Wharton School, University of Pennsylvania) Discussant: Loriana Pelizzon (University of Venice & SSAV)
12.30 - 14.00	Lunch
14.00 - 15.15	Session VII: CAPITAL REQUIREMENTS Chairman: Franco Varetto (Cerved Group, Milan)
Invited talk: Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle, Dirk Tasche (Lloyds TSB Bank, London) Concentration Risk in Mortgages Portfolios: The Role of Geographic Factors and Loans Characteristics in a Multifactor Framework, Michel Dietsch (Université de Strasbourg & BPCE) , Joël Petey (Université de Strasbourg) and Adeline Vandaele (BPCE) Discussant: Andrea Giacomelli (GRETA, Venice & Financial Innovation, Milan)
15.15 - 16.15	Coffee break and POSTER SESSION 2
16.15 - 18.00	PANEL SESSION:"Systemic Stability, Financial Regulation and Economic Growth" Chairman: Fabrizio GALIMBERTI (IL SOLE 24 ORE, Milan)
16.15 - 18.00	Participants: Andrea DE VIDO (FINANZIARIA INTERNAZIONALE, Conegliano V.to-Treviso) Robert ENGLE, Nobel Laureate in Economics (STERN SCHOOL OF BUSINESS, New York University) Andrea GIACOMELLI (GRETA, Venice & FINANCIAL INNOVATIONS, Milan) Hayne LELAND (HAAS SCHOOL OF BUSINESS, Berkeley) Mauro MACCARINELLI (INTESA SANPAOLO, Rome) Andrea PILATI (BANK OF ITALY, Rome)
18.00	End of the Conference