Credit Risk Evaluation Designed for Institutional Targeting in finance

Programma

Validazione dei Modelli di Credit Risk

Venerdì - 1 Ottobre 2004

Sessione POSTER 2

  • Retail Credit Portfolio Valuation with Application to Economic Capital, Alexandre Adam (BNP Paribas) and Antoine Chouillou (BNP Paribas and Evry University)

  • Bank/Enterprise Relation: How to Apply the Market VaR to the Credit Portfolio, Fabrizio Carapellotti (Institute for Industrial Promotion, Roma) and Marco Iezzi (Institute for Industrial Promotion, Roma and Università di Roma)

  • Is Firm Interdependence within Industries Really Important for Portfolio Credit Risk?, Kenneth Carling (Dalarna University, Borlange), Lars Rönnegård (Dalarna University, Borlange) and Kasper Roszbach (Sveriges Riskbank, Stockholm)

  • How Sensitive are Banks to Ratings Changes ? The Cyclical Sensitivity of Bank Lending in the French Businesses Loans Market, Michel Dietsch (Université Robert Schuman de Strasbourg) and Dominique Garabiol (Caisse Nationale des Caisses d’Epargne)

  • Firms in Financial Distress: An Exploratory Analysis, Anne Dyrberg (Danmarks Nationalbank and University of Copenhagen)

  • Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital, Sandra Foulcher (Banque de France) and Andre Tiomo (Banque de France)

  • Evaluating Internal Credit Rating Systems Depending on Bank Size, Hergen Frerichs (University of Frankfurt am Main) and Mark Wahrenburg (University of Frankfurt am Main)

  • Asset Return Correlation in Basel II: Implications for Credit Risk Management, Marie-Paule Laurent (Université Libre de Bruxelles)

  • Bayesian Methods for Improving Credit Scoring Models, Gunter Löffler (University of Ulm), Peter N. Posch (University of Ulm), Christiane Schoene (University of Ulm)

  • Shared frailty Model for Rating Transitions, Benoit Metayer (University of Zurich)

  • Credit Risk, Economic Capital and the Rating of Credit Portfolios, Kaj Nyström (Umeå University) and Jimmy Skoglund (Swedbank, Stockholm)

  • Macroeconomic Conditions and Credit Spread Dynamics: A Theoretical Exploration, Dragon Yongjun Tang (University of Texas at Austin), Hong Yan (University of Texas at Austin)