INTERNATIONAL CONFERENCE
C. R. E. D. I. T. 2003
DEPENDENCE MODELLING FOR CREDIT PORTFOLIOS
Venice, Italy
22-23 September 2003
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
PROGRAMME
Monday, September 22 2003
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)
Tuesday, September 23 2003
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".
REGISTRATION
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
Registration fees are:
Early registration Late registration
(by 20 July 2003) (after 21 July 2003)
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).
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.
For more detailed information (registration, accommodation, Conference
venue), please refer to the Conference website:
http://www.greta.it/credit/credit2003/credit2003.htm
