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 organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular:

Modelling credit default correlation
Portfolio effects and diversification
Econometric techniques for modelling dependence (including copulae)
The calibration of such new models for credit risk applications
Liquidity and recovery assumptions
Going from methodology to trading
The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Mark H.A. Davis (Imperial College, London), Greg M. Gupton (Moodys|KMV, New York), Philipp Schönbucher (ETH, Zürich), Stuart M. Turnbull (Lehman Brothers, New York), Ugur Koyluoglu (Mercer Oliver Wyman, New York) and Robert F. Engle (Stern School of Business, New York University). Each of the papers will have a discussant, chosen from the public or private sectors. The Conference will end with a panel discussion on "Portfolio Effects and Credit Risk Migration in the Light of Basel 2".
Paul Embrechts,
ETH, Zürich, (Programme Chair)
Monica Billio,
Mark H.A. Davis,
Imperial College, London
Luigi De Felice,
Deloitte Business Consulting
Philipp Schönbucher,
ETH, Zürich
Andrea Giacomelli,
Stuart M. Turnbull,
Lehman Brothers, New York
Loriana Pelizzon,

Domenico Sartore,

  Agnese Sironi,
Banca Intesa

Credit Risk Evaluation Designed for Institutional Targeting in finance

Dependence Modelling for Credit Portfolios

Venice, 22-23 September 2003


last updating:
01 October 2003