last updating:
25 September 2006
Monday, September 25 2006
8.30 - 9.00
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
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

14.45 - 16.30

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

End of the Conference


Risks in Small Business Lending

Credit Risk Evaluation Designed for Institutional Targeting in finance