GRETA Associati (Venice, Italy), Intesa Sanpaolo (Milan, Italy), Banca d'Italia (Venice, Italy), Cerved Group (Milan, Italy), Finanziaria Internazionale (Conegliano, Italy), Financial Innovations (Milan, Italy) and MondoHedge (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 30 – October 1, 2010. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modeling. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University Ca'Foscari of Venice, ABI - Italian Banking Association, European Investment Bank and Assogestioni (Rome, Italy) , is the ninth 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:
Default risk, concentration risk, contagion risk, systemic risk;
Large portfolios, granularity adjustment;
Pricing derivatives written on aggregate characteristics of large portfolios;
Default event risk premium;
Disentangling default risk and liquidity risk.


The final program will include both submitted and invited papers. Acceptances received from invited speakers include Yacine Aït-Sahalia (Princeton University), Damiano Brigo (King's College, London), Christian Gouriéroux (University of Toronto and CREST), John Hull (University of Toronto) and Dirk Tasche (Lloyds Banking Group, London). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems.


Alain Monfort,
CREST, Banque de France and Maastricht University (Programme Chair)
Yacine Aït-Sahalia
Princeton University

Monica Billio,
University of Venice and GRETA
Damiano Brigo,
King's College, London
Patrick Gagliardini,
University of Lugano and Swiss Finance Institute
Christian Gouriéroux,
University of Toronto and CREST
John Hull
University of Toronto
Dirk Tasche
Lloyds Banking Group, London

Monica Billio,
Silvio Cuneo,
Intesa Sanpaolo

Emanuele Facile,
Financial Innovations

Paolo Gabriele,
Finanziaria Internazionale

Andrea Giacomelli,
GRETA & Financial Innovation

Loriana Pelizzon,

Domenico Sartore
Franco Varetto,
Cerved Group

Credit Risk Evaluation Designed for Institutional Targeting in finance

Credit Risk, Systemic Risk, and Large Portfolios

Venice, 30 September 2010 - 1 October 2010
last updating:
27 September 2010
Intesa San Paolo
Cerved Group
Finanziaria Internazionale

Financial Innovations

Dipartimento di Scienze Economiche


European Investment Bank