Implied Default Barrier in Credit Default Swap Premia, Francisco Alonso (Banco de España), Santiago Forte (ESADE – Universitat Ramon Llull) and José Manuel Marqués (Banco de España)

Inter-Risk Diversification Effects of Integrated Market and Credit Risk Analysis, Thomas Breuer (Fachhochschule Vorarlberg, Dornbirn), Martin Jandacka (Fachhochschule Vorarlberg, Dornbirn), Klaus Rheinberger (Fachhochschule Vorarlberg, Dornbirn) and Martin Summer (Oesterreichische Nationalbank, Wien)

Guarantee-backed Loans and Credit Risk: a Default Prediction Model , Luigi Buzzacchi (Politecnico di Torino), Elisa Ughetto (Politecnico di Torino) and Andrea Pezzulli (CESPRI - Università Bocconi, Milan)

Migration Dependence among the U.S. Business Sectors, Oussama Chakroun (HEC Montréal)

Basel II Capital Requirements for Structured Credit Products and Economic Capital: a Comparative Analysi, Luca Giaccherini (Banca d’Italia) and Giovanni Pepe (Banca d’Italia)

Measuring Portfolio Credit Risk of Consumer Loans, Madhur Malik (University of Southampton) and Lyn Thomas (University of Southampton)

Real-World Pricing for Defaultable Term Structure Models, Nicola Bruti -Liberati (University of Technology Sidney), Christina Nikitopoulos-Sklibosios (University of Technology Sidney), Eckhard Platen (University of Technology Sidney) and Erik Schlögl (University of Technology Sidney)

Credit Risk Analysis of Cashflow CDO Structures, Philippos Papadopoulos (ABN AMRO Bank, Amsterdam) and Caroline I.M.L. Tan (ABN AMRO Bank, Amsterdam)

Default Correlation Modelling: Binomial Lattices, Cross Entropy and Perfect Match, Tao Peng (University of Technology Sidney) and Erik Schlögl (University of Technology Sidney)

Credit Rating Impact on CDO Evaluation, Daniel Rösch (University of Regensburg) and Harald Scheule (University of Melbourne)