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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 organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular:
-   modelling credit default correlation;
-   portfolio effects and diversification;
-   econometric techniques for modelling dependence (including copulae);
-   the calibration of such new models for credit risk applications;
-   liquidity and recovery assumptions, and
-   going from methodology to trading.

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

The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Mark H.A. Davis (Imperial College, London), Greg M. Gupton (Moodys|KMV, New York), Philipp Schoenbucher (ETH, Zurich), Stuart M. Turnbull (Lehman Brothers, New York) and Thomas C. Wilson (Oliver Wyman & Company, New York). Each of the papers will have a discussant, chosen from the public or private sectors. The Conference will end with a panel discussion on “Portfolio effects and credit risk migration in the light of Basel 2”.

Those wishing to present a paper at the Conference should submit completed versions or extended abstracts by May 15, 2003 to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by June 30, 2003. The final version of accepted papers must be received by July 31, 2003.

REGISTRATION AND ACCOMMODATION

To register for the Conference you are requested to complete the registration form that will be soon available on our website ( http://www.greta.it/credit/credit2003/credit2003.htm).

Registration fees are:

                                        Early registration                    Late registration
                                        (before 20 July 2003)           (after 21 July 2003)

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

For participants presenting a paper there is no fee.

The registration fee covers:
- Admission to all scientific sessions
- Lunches and coffee service 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 Euros for each attending person (participants as well as accompanying persons).

ACCOMMODATION

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.

IMPORTANT DATES

May 15, 2002: Deadline for submission of papers
June 30, 2002: Decisions regarding acceptance
July 20, 2002: Deadline for early registration and guaranteed accommodation
July 31, 2002: Deadline for sending of complete version of accepted papers

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

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