last updating:
03 November 2005

Counterparty Credit Risk

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)
      • Invited talk: The Pricing and Risk Analysis of Structured Products, William R.M. Perraudin (Imperial College)
      • 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)

 

Participants:

Luigi De Felice (Deloitte, Milan)
Eva Gutiérrez (International Monetary Fund)
John C. Hull (University of Toronto)
Dan Rosen (The Fields Institute for Research in Mathematical Sciences, Toronto)
Giuseppe Siani (European Commission, Banking and Financial Conglomerates Unit)
Paolo Sironi (Banca Intesa, Milan)


18.00

End of the Conference

Credit Risk Evaluation Designed for Institutional Targeting in finance

Programme