CREDIT Conference - Programme

Thursday, September 24 2009
8.30	Registration
9.00 - 9.15	Welcome Address: Carlo Carraro, Chancellor of Ca' Foscari University Venice
9.15 - 9.30	Opening Remarks: Ilya Strebulaev (Stanford University)
9.30 - 10.45	Session I: CREDIT CRISES AND BOND MARKETS Chairman: Domenico Sartore (University of Venice & GRETA)
Invited talk: Financial Market Frictions and Risk Premiums in Bond Markets, Kenneth J. Singleton (Stanford University) Macro, industry, and frailty effects in defaults: the 2008 credit crisis in perspective, Siem Jan Koopman (VU University Amsterdam & Tinbergen Institute), André Lucas (VU University Amsterdam & Tinbergen Institute) and Bernd Schwaab (VU University Amsterdam & Tinbergen Institute) Discussant: Alexandre Adam (BNP Paribas, Paris)
10.45 - 11.15	Coffee break
11.15 - 13.00	Session II: MACROECONOMICS OF CREDIT CRISES Chairman: Juan Ignacio Peña(University Carlos III, Madrid)
Invited talk: Some Reflections on the Credit Cycle, Francesco Garzarelli (Goldman Sachs) Economic Uncertainty, Disagreement, and Credit Markets, Andrea Buraschi (Imperial College London), Fabio Trojani (University of Lugano) and Andrea Vedolin (University of Lugano) Discussant: Christian Dorion (McGill University) Deposit insurance and money market freezes, Max Bruche (CEMFI) and Javier Suarez (CEMFI, CEPR & ECGI) Discussant: Loriana Pelizzon (University of Venice & GRETA)
13.00 - 14.30	Lunch
14.30 - 15.30	Session III: MACROECONOMICS OF CREDIT SPREADS Chairman: Alexandre Adam (BNP Paribas, Paris)
Macroeconomic Fluctuations and Corporate Financial Fragility, Catherine Bruneau (Banque de France & University of Paris X), Olivier de Bandt (Banque de France) and Widad El Amri (Banque de France & University of Paris X) Discussant: Raphael Espinoza (International Monetary Fund) Equilibrium Credit Spreads and the Macroeconomy, João F. Gomes (The Wharton School, University of Pennsylvania) and Lukas Schmid (The Fuqua School of Business, Duke University) Discussant: Andrea Vedolin (University of Lugano)
15.30 - 16.30	Coffee break and POSTER SESSION 1
16.30 - 18.15	Session IV: REAL ESTATE, FINANCIAL SYSTEM, AND CREDIT CRISES Chairman: Stephen Schaefer(London Business School)
Invited talk: Lessons Learned from the Housing and Credit Crisis Christopher Mayer (Columbia Business School) Securitization and Distressed Loan Renegotiation: Evidence from the Subprime Mortgage Crisis, Tomasz Piskorski (Graduate School of Business, Columbia University), Amit Seru (Booth School of Business, University of Chicago) and Vikrant Vig (London Business School) Discussant: Alessandro Fontana (University of Venice) Complexity and Crises in Financial Systems, Kartik Anand (King’s College, London, & Abdus Salam International Centre for Theoretical Physics), Simon Brennan (Bank of England), Prasanna Gai (Australian National University & Bank of England), Sujit Kapadia (Bank of England) and Matthew Willison (Bank of England) Discussant: Alessandro Sbuelz (Università Cattolica, Milan)
20.30	Social Dinner
Friday, September 25 2009
9.00 - 10.30	Session V: BANKING AND CRISES Chairman: Paolo Gabriele (Finanziaria Internazionale, Conegliano-Treviso)
Bank incentives and optimal CDOs, Henri Pagès (Banque de France, DGEI) Discussant: Gabriella Chiesa (University of Bologna) Uncertainty in asset correlation for portfolio credit risk: the shortcomings of the Basel II framework, Carlos Castro (ECARES, Université Libre de Bruxelles) Discussant: Andrea Giacomelli (GRETA) Identifying Loan Supply and Firm ‒ Bank Balance-Sheet Channels with Loan Applications, Gabriel Jménez (Banco de España), Steven Ongena (CentER - Tilburg University & CEPR), José Luis Peydró-Alcalde (European Central Bank) and Jesús Saurina (Banco de España) Discussant: Olfa Maalaoui (KAIST Graduate School of Finance & Copenhagen Business School)
10.30 - 11.00	Coffee break
11.15 - 13.00	Session VI: CAUSES OF FINANCIAL CRISES Chairman: Silvio Cuneo (Intesa Sanpaolo, Milan)
Invited talk: Market Failure or Government Failure? On the causes of the Financial Crisis, Martin Hellwig (Max Planck Institute) (see Work_I & Work_II) Trusting the Bankers: A New Look at the Credit Channel of Monetary Policy, Matteo Ciccarelli (European Central Bank), Angela Maddaloni (European Central Bank) and José Luis Peydró-Alcalde (European Central Bank) Discussant: Ilya Strebulaev (Stanford University) The Failure of Models That Predict Failure: Distance, Incentives and Defaults, Uday Rajan (Ross School of Business, University of Michigan), Amit Seru (Booth School of Business, University of Chicago) and Vikrant Vig (London Business School) Discussant: Mungo Wilson (Oxford University, Said Business School)
13.00 - 14.30	Lunch
14.30 - 15.30	Session VII: CREDIT RISK, LIQUIDITY, AND REAL ACTIVITY Chairman: Emanuele Facile (Financial Innovations, Milan)
Liquidity and Feasible Debt Relief, Christopher A. Hennessy (London Business School) and Josef Zechner (Wienna University of Business and Administration) Discussant: Andrea Gamba (University of Verona) Credit Spreads and Real Activity, Philippe Mueller (London School of Economics) Discussant: Juan Ignacio Pena (University Carlos III, Madrid)
15.30 - 16.30	Coffee break and POSTER SESSION 2
16.30 - 18.00	PANEL SESSION "The Impacts of the Crisis on Credit Markets" Chairman: Fabrizio Galimberti (Il Sole 24 Ore, Milan) Participants: Davide Alfonsi (Head of Risk Management at INTESA SANPAOLO, Turin) Michel Dacorogna (Head of financial analysis and risk modeling at SCOR, Zuerich) Andrea De Vido (Chief Executive Officer, FINANZIARIA INTERNAZIONALE, Conegliano V.to-Treviso) Emanuele Facile (Managing Director, FINANCIAL INNOVATIONS, Milan) Milovan Milovic (Manager ECAI, LINCE, Milan) Luca Paolazzi (Director of Research Centre, CONFINDUSTRIA, Rome) Franco Passacantando (Managing Director for Central Banking, Markets and Payment System, BANK OF ITALY, Rome) Ilya A. Strebulaev (Graduate School of Business, STANFORD UNIVERSITY)
18.00	End of the Conference

Credit Risk, Financial Crises,
and the Macroeconomy

Credit Risk Evaluation Designed for Institutional Targeting in finance

Programme