GRETA Associati (Venice, Italy), Banca Intesa (Milan, Italy) and Deloitte (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 30-October 1, 2004. 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 with the participation of the Centre for Research on e-finance (HEC Montreal, Canada) and under the auspices of the Department of Economics of the University of Venice, Regione del Veneto and ABI - Italian Banking Association, is the third 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:

Empirical validation of scoring models based on accounting, qualitative and industry information;
Validation of the credit risk components: default probability, recovery rate, exposure at default;
Validation of the credit portfolio distribution: backtesting, coherent risk measures, marginal risk contributions;
The rating philosophy: point in time vs. through the cycle;
Validation of banking and trading book pricing models;
Rating transitions
Validation of migration models.


The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Michael B. Gordy (Board of Governors of the Federal Reserve System, Washington), David T. Hamilton (Moody's Investors Service, New York), Monique Jeanblanc (University of Évry - Val d'Essonne), David Lando (Copenhagen Business School), Dilip B. Madan (Robert H. Smith School of Business, University of Maryland) and Alan D. White (University of Toronto). 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.

Christian Gouriéroux,
University Paris IX and University of Toronto, (Programme Chair)
Michael B. Gordy,
Board of Governors of the Federal Reserve System, Washington
Alain Monfort
CNAM and CREST, Paris
Olivier Scaillet,
Hautes Etudes Commerciales (HEC), Geneva
Alan D. White

University of Toronto
Domenico Sartore,
Monica Billio
Luigi De Felice,
Andrea Giacomelli,
Loriana Pelizzon,

Agnese Sironi,

Banca Intesa

Credit Risk Evaluation Designed for Institutional Targeting in finance

Validation of Credit Risk Models

Venice, 30 September - 1 October 2004
last updating:
06 October 2004