Thursday
- September 22, 2005 |
8.30 - 9.00 |
Registration |
9.00 - 9.30 |
- Welcome Address of the Rector of the University Ca’
Foscari of Venice
- Opening Remarks, Alan
D. White (University of Toronto)
|
9.30 - 10.45 |
Session
I
Chairman: Domenico Sartore
(University of Venice and GRETA) |
- Invited talk: The
Valuation of Correlation-Dependent Credit Derivatives Using
the Hazard Rate Path Approach, John
C. Hull (University of Toronto)
- The
Influence of FX Risk on Credit Spreads,
Philippe Ehlers (ETH Zürich) and Philipp Schönbucher
(ETH Zürich)
|
10.45 - 11.15 |
Coffee
break |
11.15 - 13.00 |
Session
II
Chairman: Stephen M. Schaefer (London
Business School) |
- Invited talk: Better
Predictions of Income Volatility Using a Structural Default
Model, Roger
M. Stein (Moody's KMV, New York)
- An
Empirical Analysis of Bond Recovery Rates: Exploring a Structural
View of Default, Daniel Covitz (The
Federal Reserve Board, Washington D.C.) and Song Han (The Federal
Reserve Board, Washington D.C.)
- The
Adjustment of Credit Ratings of Defaulted Issuers , André Güttler (Goethe Universität
Frankfurt) and Mark Wahrenburg (Goethe Universität Frankfurt)
|
13.00 - 14.30 |
Lunch |
14.30 - 15.30 |
Session
III Chairman: Feike C.
Drost (CentER, Tilburg University) |
- A
Top Down Approach to Multi-Name Credit, Kay Giesecke (Cornell University) and Lisa R. Goldberg
(MSCI Barra, Inc.)
- The
Market Price of Credit Risk in Stocks, Bonds and CDSs: Theory
and Evidence, Santiago Forte
(ESADE Business School, Barcelona) and J. Ignacio Peña
(Universidad Carlos III de Madrid
|
15.30 - 16.30 |
Coffee
break and POSTER Session 1 |
16.30 - 18.15 |
Session
IV
Chairman: Olivier Scaillet
(FAME and HEC, Genève) |
- Invited talk: Credit
Default Swap Calibration and Counterparty Risk Pricing with
Tractable First Passage Structural Models, Damiano
Brigo (Banca IMI, Milan)
- Explaining
Credit Default Swap Spreads with Equity Volatility and Jump
Risks of Individual Firms,
Benjamin Yibin Zhang (Fitch Ratings, New York), Hao Zhou (Federal
Reserve Board, Washington D.C.) and Haibin Zhu (Bank for International
Settlements)
- Modeling
the Term Structure of Defaultable Bonds under Recovery Risk, Lotfi Karoui (McGill University)
|
20.30 |
Social
Dinner at the Boscolo Hotel "Dei Dogi" |
Friday - September
23, 2005 |
9.00 -
10.45 |
Session
V
Chairman: Vittorio Maggiolini
(Banca Intesa, Milan) |
- Invited talk: A
Simple Multi-Factor “Factor Adjustment” for the
Treatment of Diversification in Credit Capital Rules, Dan
Rosen (Fields Institute of Mathematical Research,
Toronto)
- The Role
of Credit Risk Mitigation in Banking Decision-Making, Luigi De Felice (Deloitte)
- Counterparty
Risk in Derivatives and Collateral Policies: The Replicating
Portfolio Approach, Umberto Cherubini
(Università di Bologna)
|
10.45
- 11.15 |
Coffee
break |
11.15
- 13.00 |
Session
VI
Chairman: Alain Monfort (CNAM
and CREST, Paris) |
- Can
Rating Agencies Look through the Cycle?,
Gunter Löffler (University of Ulm)
- Ratings-based
Credit Risk Modelling: an Empirical Analysis, Pamela Nickell (Moody's KMV, New York), William
Perraudin (Imperial College) and Simone Varotto (The University
of Reading)
|
13.00 - 14.30 |
Lunch |
14.30 - 15.30 |
Session
VII
Chairman: Alexandre Adam
(BNP Paribas, Paris) |
- Effects
of the New Basel Capital Accord on Bank Capital Requirements
for SMEs, Edward I. Altman
(New York University) and Gabriele Sabato (Università
"La Sapienza" di Roma)
- Macro
Factors in the Term Structure of Credit Spreads, Jeffery D. Amato (Bank for International Settlements)
and Maurizio Luisi (ABN AMRO Bank)
|
15.30 - 16.30 |
Coffee
break and POSTER Session 2 |
16.30 - 18.00 |
PANEL
SESSION: The Treatment of Counterparty Risk for
OTC Derivatives and Other Trading Book Related Items
Chairman: Fabrizio
Galimberti ( Il Sole 24 Ore)
|