last updating:
17 September 2007
Thursday, September 27 2007
8.30 - 9.00
 Registration
9.00 - 10.45
Session I: CREDIT CONCENTRATION AND DEPENDENCE
Chairman: Domenico Sartore (University of Venice and GRETA)
      • Welcome Address
      • Opening Remarks: Philipp Schönbucher (DMATH – ETH Zürich)
      • Invited talk: Euler Allocation: Theory and Practice, Dirk Tasche (Fitch Rating, London)
      • Modelling the Distribution of Credit Losses with Observable and Latent Factors, Gabriel Jiménez (Banco de España) and Javier Mencía (Banco de España)
        Discussant: Erik Schlögl (University of Technology Sidney)
10.45 - 11.15
 Coffee break
11.15 - 13.00

Session II: MARKET IMPLIED RATINGS
Chairman: Bas J.M. Werker (CentER - Tilburg University)

      • Invited talk: Market Implied Ratings, Greg M. Gupton (Fitch Ratings, New York)
      • Fitch, Moody’s and S&P’s Sovereign Ratings and EMBI Global Spreads: Lessons from 1993-2007, Norbert Gaillard (Sciences Po, Paris & Princeton University)
        Discussant: Stephen M. Schaefer (London Business School)
      • Determinants of Recovery Rate in the Financial Sector, Raquel Bujalance (Universidad Complutense de Madrid) and Eva Ferreira (Universidad del País Vasco)
        Discussant: Alexander J. McNeil (Heriot-Watt University, Edinburgh)
13.00 - 14.30
 Lunch
14.30 - 15.45
 Session III: STRUCTURED CREDIT
Chairman: Stephen M. Schaefer (London Business School)
      • Invited talk: Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model, Damiano Brigo (DerivativeFitch / QFR - Fitch Ratings, London)
      • Asset Correlation in Structured Finance Portfolios, Astrid Van Landschoot (Standard & Poor’s, London)
        Discussant: Caroline I.M.L Tan (ABN AMRO Bank, Amsterdam)
15.45 - 16.45
Coffee break and POSTER SESSION 1
16.45 - 18.15
 Session IV: RATING MIGRATIONS
Chairman: Alexander J. McNeil (Heriot-Watt University, Edinburgh)
      • Adjusting Corporate Default Rates for Rating Withdrawals, Richard Cantor (Moody’s Investors Service, New York) and David T. Hamilton (Moody’s Investors Service, New York)
        Discussant: Andrea Giacomelli (GRETA, Venice)
      • Credit Ratings-Based Multiple Horizon Default Prediction, Albert Metz (Moody’s Investors Service, New York)
        Discussant: Michel Dietsch (Université Robert Schuman de Strasbourg)
      • Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration, Ashay Kadam (Cass Business School, London) and Peter Lenk (University of Michigan)
        Discussant: Philipp J. Schönbucher (DMATH - ETH Zürich)
20.30 Social Dinner
Friday, September 28 2007
9.00 - 10.45
 Session V: STATISTICS AND RATING VALIDATION
Chairman: Ahmet E. Kocagil (Fitch Ratings, New York)
      • Invited talk: The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian Approach, Catalina Stefanescu (London Business School)
      • Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation, Steve Satchell (University of Cambridge) and Wei Xia (University of London)
        Discussant: Bas J.M. Werker (CentER - Tilburg University)
      • Joint Validation of Credit Rating PDs under Default Correlation, Ricardo Schechtman (Central Bank of Brazil)
        Discussant: Dirk Tasche (Fitch Ratings, London)
10.45 - 11.15
 Coffee break
11.15 - 13.00
 Session VI: RATING POLITICS
Chairman: Fabio Salis (Intesa Sanpaolo, Milan)
      • Credit Risk and Parent-subsidiary Links, Elisa Luciano (Università di Torino & Collegio Carlo Alberto, Turin) and Giovanna Nicodano (Università di Torino & Collegio Carlo Alberto, Turin)
        Discussant: Greg M. Gupton (Fitch Ratings, New York)
      • Does Adverse Selection Drive the Downward Bias in Unsolicited Ratings for Non-US Firms? The Case of S&P, Christina E. Bannier (Frankfurt School of Finance and Management), Patrick Behr (Johann Wolfgang Goethe-Universität, Frankfurt am Main) and André Güttler (European Business School, Oestrich–Winkel)
        Discussant: Loriana Pelizzon (University of Venice and GRETA)
      • A Primer on Rating Agencies as Monitors: An Analysis of the Watchlist Period, Christian Hirsch (Johann Wolfgang Goethe-Universität & Center for Financial Studies, Frankfurt am Main) and Jan Pieter Krahnen (Johann Wolfgang Goethe-Universität & Center for Financial Studies, Frankfurt am Main)
        Discussant: Catalina Stefanescu (London Business School)
13.00 - 14.30
 Lunch

14.30 - 15.45

 Session VII: RATING-BASED PRICING AND SUPERVISION
Chairman: Marco Salemi (CRIF Decision Solutions, Bologna)
      • Invited talk: Ratings-Based Pricing with Stochastic Spreads, William Perraudin (Imperial College, London)
      • Tests on the Accuracy of Basel 2, Simone Varotto (University of Reading)
        Discussant: Martina Nardon (University of Venice)
15.45 - 16.45
 Coffee break and POSTER SESSION 2
16.45 - 18.15

PANEL SESSION: "The New Rating Culture"
Chairman: Fabrizio GALIMBERTI (Economic Columnist, Il Sole 24 Ore, Milan)

Participants:

Silvio CUNEO (Responsible Credit Risk Management, Intesa Sanpaolo, Milan)
Andrea GIACOMELLI (Head of Risk Methodologies Area, GRETA, Venice)
Pierpaolo GRIPPA (Financial and Banking Supervision Department, Banca d’Italia, Rome)
Vittorio MAGGIOLINI (Head of Credit Models, Risk Methodologies Area (CRO), Unicredit, Milan)
Gianluca ORICCHIO (Responsible of Ratings & Capital Management, Capitalia, Rome)
Marco SALEMI (Responsible of Research & Innovation, CRIF Decision Solutions, Bologna)
Dirk TASCHE (Senior Director in Fitch QFR Group, Fitch Ratings, London, former Risk Analyst in the Banking and Financial Supervision Department of Deutsche Bundesbank, Frankfurt am Main)
18.15

End of the Conference

Credit Ratings

Credit Risk Evaluation Designed for Institutional Targeting in finance

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