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GRETA Associati (Venice, Italy), Banca Intesa (Milan, Italy) and Deloitte Business Consulting (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 22-23, 2003. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modelling. The Conference will provide an opportunity for participants engaged at the forefront of this area to discuss open problems and challenges and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University of Venice and ABI - Italian Banking Association, is the second of a series dedicated to various aspects of credit risk.

The SCIENTIFIC COMMITTEE for the Conference consists of:
    Paul Embrechts, ETH, Zurich, Programme Chair
    Mark H.A. Davis, Imperial College, London
    Philipp Schoenbucher, ETH, Zurich
    Stuart M. Turnbull, Lehman Brothers, New York

8.30 - 9.00    Registration
9.00 - 11.00    Session I: Intensity and Copula
•    Welcome Address, Ignazio Musu (Dean of the Venice International University)
•    Opening Remarks, Paul Embrechts (ETH Zurich)
•    Invited talk: Issues in Calibration, Stuart M. Turnbull (Lehman Brothers, New York)
•    Affine Model for Credit Risk Analysis, Christian Gouriéroux (CREST and CEPREMAP, Paris and University of Toronto), Alain Monfort (CNAM and CREST, Paris) and Vassilis Polimenis (University of California, Riverside)
•    Spread Term Structure and Default Correlation, Patrick Gagliardini (Università della Svizzera Italiana) and Christian Gouriéroux (CREST and CEPREMAP, Paris and University of Toronto)

11.30 - 13.15 Session II: Default Contagion
•    Invited talk: Frailty Models, Contagion and Information Effects, Philipp Schönbucher (ETH Zurich)
•    Invited talk: Infection Methods for Dynamic Modelling of Portfolio Default Risk, Mark H.A. Davis (Imperial College, London)
•    Correlated Defaults in Reduced-Form Models, Fan Yu (University of California, Irvine)

14.45 - 16.00 Session III: Local and Global Interaction
•    Cyclical Correlations, Credit Contagion, and Portfolio Losses, Kay Giesecke (Cornell University, New York) and Stefan Weber (TU Berlin)
•    A Mean-Field Model for Dependent Defaults and Counterparty Risk, Rüdiger Frey (University of Leipzig)

16.00-17.00 POSTER Session 1

17.00 - 18.30 Session IV: Liquidity and Risk Premia
•    Credit Risk and Risk Neutral Default Probabilities: Information about Rating Migrations and Defaults, Gordon Delianedis (The Anderson School at UCLA, California) and Robert Geske (The Anderson School at UCLA, California)
•    How to Measure Corporate Bond Liquidity, Patrick Houweling (Erasmus University Rotterdam), Albert Mentink (Erasmus University Rotterdam and AEGON Asset Management, The Netherlands) and Ton Vorst (Erasmus University Rotterdam and ABN Amro, The Netherlands)

9.00 - 10.45 Session V: Empirical Applications I
•    Invited talk: Advancing Loss Given Default Forecasting Models: How the Quiet Quicken, Greg M. Gupton (Moody's|KMV)
•    Default Correlation: Empirical Evidence, Arnaud de Servigny (Standard and Poors) and Olivier Renault (Standard and Poors)
•    Credit Correlations: Systematic and Idiosyncratic Risk in Corporate Bond Portfolios, Stephen B. Kealhofer (KMV)

11.15 - 13.00 Session VI: Empirical Applications II
•    Determinants of the Asset Correlations of German Corporations and Implications for Regulatory Capital, Klaus Düllmann (Deutsche Bundesbank) and Harald Scheule (University of Regensburg)
•    Evaluating Credit Risk Models Using Loss Density Forecasts, Hergen Frerichs (University of Frankfurt am Main) and Gunter Löffler (University of Frankfurt am Main)
•    Macroeconomic Dynamics and Credit Risk: A Global Perspective, M. Hashem Pesaran (University of Cambridge), Til Schuermann (Federal Reserve Bank of New York), Björn-Jakob Treutler (Mercer Oliver Wyman and Otto Beisheim Graduate School of Management, WHU) and Scott M. Weiner (Alliance Capital Management L.P.)

14.30 - 15.15 Session VII: Management and Regulation
•    Invited talk: Challenges for Modeling Credit Risk Over the Cycle: Management, Capital and Regulatory Perspectives, Thomas C. Wilson (Oliver Wyman & Co.)

15.15-16.15 POSTER Session 2

16.15-18.00 PANEL Session: “Portfolio Effects and Credit Risk Migration in the Light of Basel 2”.

To register for the Conference you are requested to complete the registration form that is available on our website:

http://www.greta.it/credit/credit2003/credit2003.htm

Academics:                                250 Euro                        300 Euro
Practitioners:                             750 Euro                    900 Euro
PhD Students:                            Free                    50 Euro

The registration fee covers:
- Admission to all scientific sessions
- Lunches and coffee during the meeting
- Conference package

The registration fee does not fully cover the conference dinner on Monday, September 22 for which there is a charge of 50 Euro for each attending person (participants as well as accompanying persons).

We offer pre-booked accommodation. This accommodation is available on a first come-first served basis and, due to the high demand for accommodation in Venice at the time, cannot be guaranteed after July 20. We strongly recommend that you make your booking early.

For more detailed information (registration, accommodation, Conference venue), please refer to the Conference website: