The organizers encourage submissions of papers on any topic connected to the theme of the conference and in the following areas in particular:

Assessment of default probability at different time horizons
Implications for default probability of the maturity distribution of debt
Understanding and characterising of the behaviour of the default boundary
Evolution of default probability over time
Implied default probabilities from traded asset prices
Renegotiation of debt service

Credit Risk Evaluation Designed for Institutional Targeting in finance

Assessing the Risk of Corporate Default

Venice, 19-20 September 2002

GRETA Associati (Venice, Italy) and IntesaBci (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 19-20, 2002. 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, will be the first of a series dedicated to various aspects of credit risk.

Stephen Schaefer, London Business School (Program Chair)
Darrell Duffie, Stanford University
David Lando, University of Copenhagen
Hayne Leland, University of California, Berkeley

Domenico Sartore, GRETA
Monica Billio, GRETA
Andrea Giacomelli, GRETA
Loriana Pelizzon, GRETA
Mauro Maccarinelli, IntesaBCI

The final program will include both submitted and invited papers. The invited speakers are David Lando (University of Copenhagen), Hayne E. Leland (University of California, Berkley), Stephen B. Kealhofer (Moody's KMV), William Perraudin (University of London, Birkbeck) and Roger M. Stein (Moody's KMV). Each of the papers will have a discussant, chosen from the public or private sectors. The Conference will end with a panel discussion on the practical applicability of existing theoretical approaches and practitioners' views of the major outstanding problems.


last updating:
16 September 2002