last updating:
06 October 2004

Credit Risk Evaluation Designed for Institutional Targeting in finance

Validation of Credit Risk Models

Thursday - September 30, 2004
8.30 - 9.00
9.00 - 11.00
Session I: Credit Risk and Cycle
Domenico Sartore (Università di Venezia and GRETA)
      • Welcome Address, On. Giancarlo Galan (President of Regione del Veneto)
      • Opening Remarks, Christian Gouriéroux (CREST and CEPREMAP, Paris and University of Toronto)
      • Invited talk: Non-parametric Analysis of Rating Transition and Default Data, Peter Fledelius (Royal & Sun Alliance), David Lando (Copenhagen Business School) and Jens Perch Nielsen (Royal & Sun Alliance).

      • An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies, Daniel Rösch (University of Regensburg)
      • Time-to-Default: Life Cycle, Global and Industry Cycle Impacts, Fabien Couderc (FAME & University of Geneva) and Olivier Renault (Standard & Poor’s Risk Solutions and Associate Fellow, FERC, Warwick Business School)
11.00 - 11.30
Coffee break
11.30 - 13.15
Session II: Credit Spreads
Stephen M. Schaefer (London Business School)
      • Invited talk: Credit and Basket Default Swaps, Dilip B. Madan (Robert H. Smith School of Business and Bloomberg LP, New York), Michael Konikov (Bloomberg LP, New York) and Mircea Marinescu (Bloomberg LP, New York)
      • Modeling the Dynamics of Credit Spreads with Stochastic Volatility Kris Jacobs (McGill University) and Xiaofei Li (York University, Toronto)
      • Default Risk in Corporate Yield Spreads, Georges Dionne (HEC Montreal), Geneviève Gauthier (HEC Montreal), Khemais Hammami (HEC Montreal), Mathieu Maurice (HEC Montreal) and Jean-Guy Simonato (HEC Montreal)
13.15 - 14.45
14.45 - 16.30
Session III: Contagion and Migration I
Chairman: Alain Monfort (CNAM and CREST, Paris)
      • Invited talk: Default Probability and Correlation in Credit Rating Systems: Efficient Estimators for Cohort Performance Data, Michael B. Gordy (Board of Governors of the Federal Reserve System, Washington)
      • A Simple Model of Credit Contagion, Daniel Egloff (Zürcher Kantonalbank), Markus Leippold (University of Zurich) and Paolo Vanini (University of Southern Switzerland and Zürcher Kantonalbank)
      • Stochastic Migration Models with Application to Corporate Risk, Patrick Gagliardini (Università della Svizzera Italiana) and Christian Gouriéroux (CREST, CEPREMAP, Paris and University of Toronto)
16.30 - 17.30
Coffee break and POSTER Session 1: Validation and Pricing
17.30 - 18.30
Session IV: Recovery Rates
Chairman: Juan Ignacio Peña (Universidad Carlos III de Madrid)
      • Understanding the Recovery Rates on Defaulted Securities, Viral V. Acharya (London Business School), Sreedhar T. Bharath (University of Michigan) and Anand Srinivasan (University of Georgia)
      • Structural RFV: Recovery Form and Defaultable Debt Analysis, Rajiv Guha (London Business School) and Alessandro Sbuelz (Tilburg University)
Friday - October 1 , 2004
9.00 - 10.45
Session V: Pricing CDO
Olivier Scaillet, (Hautes Etudes Commerciales, Geneva)
      • Invited talk: Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation, John Hull (University of Toronto) and Alan D. White (University of Toronto)
      • The Defaultable Lévy Term Structure: Ratings and Restructuring, Ernst Eberlein (University of Freiburg) and Fehmi Özkan (University of Freiburg)
      • Asset Securitisation of Large Portfolios, Caroline I.M.L. Tan (Credit Risk Modelling, ABN-AMRO Bank, Amsterdam and CentER, Tilburg University), Bertrand Melenberg (CentER and Tilburg University) and Bas J.M. Werker (CentER and Tilburg University)
10.45 - 11.15
Coffee break
11.15 - 13.00
Session VI: Other Topics
Philipp Schönbucher (ETH Zurich)
      • Invited talk: Hedging Defaultable Claims, Tomasz R. Bielecki (Illinois Institute of Technology), Monique Jeanblanc (University of Évry - Val d'Essonne) and Marek Rutkowski (Warsaw University of Technology)
      • Individual Stock-Option Prices and Credit Spreads, Martijn Cremers (Yale School of Management), Joost Driessen (University of Amsterdam), Pascal Maenhout (INSEAD, Fontainebleau) and David Weinbaum (Cornell University)
      • Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models, Uwe Wehrspohn (Heidelberg University)
13.00 - 14.30
14.30 - 15.30
Session VII: Rating System
Chairman: Bas Werker (CentER, Tilburg University)
      • Invited talk: Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History, David T. Hamilton (Moody's Investors Service, New York) and R. Cantor (Moody's Investors Service, New York).
15.30 - 16.30
Coffee break and POSTER Session 2: Stand Alone and Portfolio Credit Risk Measures
16.15 - 18.00

PANEL SESSION: The Role of Rating Systems in the Credit Process
Chairman: Rainer MASERA (Libera Università degli Studi Sociali (LUISS) Guido Carli and SanPaolo Imi Group)

      • Vittorio CONTI, Chief Risk Management Officer, Banca Intesa, Milan
      • Luigi DE FELICE, Manager Deloitte
      • Gerald DILLENBURG, Responsible for the Development of the Rules for the Internal Ratings Based Approach, European Commission: DG-Internal Market, Banking and Financial Conglomerates Unit
      • Michael B. GORDY, Research and Statistics Division of the Board of Governors of the Federal Reserve System, Washington
      • David T. HAMILTON, Vice President and Senior Credit Officer, Moody's Investors Service, New York
      • Thilo LIEBIG, Responsible of the Basel Committee group on the model validation, Deutsche Bundesbank
      • Rainer MASERA, Libera Università degli Studi Sociali (LUISS) Guido Carli and former President of the SanPaolo Imi Group
      • Pietro MODIANO, Vice General Manager of UniCredit and Managing Director of the Unicredit Banca Mobiliare (UBM), Milan