| Giovedì
27 settembre 2007 |
| 8.30
- 9.00 |
Registratione
dei partecipanti |
| 9.00
- 10.45 |
Sessione
I:
CREDIT CONCENTRATION AND DEPENDENCE
Chairman:
Domenico Sartore (Università di Venezia e GRETA) |
- Apertura dei lavori:
Philipp
Schönbucher (DMATH
– ETH Zürich)
- Relazione invitata:
Euler Allocation: Theory and Practice,
Dirk
Tasche
(Fitch Ratings, Londra)
- Modelling the
Distribution of Credit Losses with Observable and Latent
Factors, Gabriel Jiménez (Banco
de España) e Javier Mencía (Banco
de España)
Moderatore: Erik Schlögl (University of Technology Sidney)
|
| 10.45
- 11.15 |
Pausa
caffé |
| 11.15
- 13.00 |
Sessione
II: MARKET
IMPLIED RATINGS
Chairman:
Bas J.M. Werker (CentER - Tilburg University) |
-
Relazione
invitata: 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)
Moderatore:
Stephen M. Schaefer (London Business School)
-
Determinants
of Recovery Rate in the Financial Sector, Raquel Bujalance
(Universidad Complutense de Madrid)
e Eva Ferreira (Universidad del País Vasco)
Moderatore: Alexander J. McNeil (Heriot-Watt University, Edinburgo)
|
| 13.00
- 14.30 |
Colazione
di lavoro |
| 14.30
- 15.45 |
Sessione
III: STRUCTURED
CREDIT
Chairman:
Stephen M. Schaefer (London Business School) |
-
Relazione
invitata: Default
Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical
Loss Model,
Damiano
Brigo (DerivativeFitch / QFR - Fitch Ratings, Londra)
-
Asset
Correlation in Structured Finance Portfolios,
Astrid Van Landschoot
(Standard & Poor’s, Londra)
Moderatore: Caroline I.M.L. Tan (ABN AMRO Bank, Amsterdam)
|
| 15.45
- 16.45 |
Pausa
caffé e
SESSIONE POSTER 1 |
| 16.45
- 18.15 |
Sessione
IV: RATING MIGRATIONS
Chairman: Alexander J. McNeil (Heriot-Watt University, Edinburgo) |
-
Adjusting
Corporate Default Rates for Rating Withdrawals,
Richard
Cantor (Moody’s Investors Service, New York)
e David
T. Hamilton (Moody’s Investors Service,
New York)
Moderatore: Andrea Giacomelli (GRETA, Venezia)
- Credit Ratings-Based Multiple
Horizon Default Prediction, Albert Metz (Moody’s
Investors Service, New York)
Moderatore: Michel Dietsch (Université Robert Schuman de Strasbourg)
- Bayesian Inference for
Issuer Heterogeneity in Credit Ratings Migration, Ashay
Kadam (Cass Business School, Londra)
e Peter Lenk (University of Michigan)
Moderatore: Philipp Schönbucher (DMATH - ETH Zürich)
|
| 20.30 |
Cena sociale |
| Venerdì
28 settembre 2007 |
| 9.00
- 10.45 |
Sessione
V: STATISTICS
AND RATING VALIDATION
Chairman:
Ahmet E. Kocagil (Fitch Ratings, New York) |
- Relazione invitata:
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) e Wei Xia (University of
London)
Moderatore: Bas J.M. Werker (CentER - Tilburg University)
- Joint Validation of Credit
Rating PDs under Default Correlation, Ricardo Schechtman (Central Bank of Brazil)
Moderatore:
Dirk Tasche (Fitch Ratings, Londra)
|
| 10.45
- 11.15 |
Pausa
caffé |
| 11.15
- 13.00 |
Sessione
VI: RATING POLITICS
Chairman:
Fabio Salis (Banca Intesa Sanpaolo, Milano) |
-
Credit
Risk and Parent-subsidiary Links, Elisa Luciano (Università
di Torino & Collegio Carlo Alberto, Torino) e Giovanna
Nicodano (Università di Torino & Collegio Carlo
Alberto, Torino)
Moderatore: 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, Francoforte
sul Meno) e André Güttler (European
Business School, Oestrich–Winkel)
Moderatore: Loriana Pelizzon (Università di Venezia e GRETA)
- A
Primer on Rating Agencies as Monitors: An Analysis of the Watchlist Period, Christian Hirsch
(Johann Wolfgang Goethe-Universität & Center
for Financial Studies, Francoforte sul Meno) e Jan
Pieter Krahnen (Johann
Wolfgang Goethe-Universität & Center for Financial Studies,
Francoforte sul Meno)
Moderatore: Catalina Stefanescu (London Business School)
|
| 13.00
- 14.30 |
Colazione
di lavoro |
| |
Sessione
VII: RATING-BASED
PRICING AND SUPERVISION
Chairman: Marco Salemi (CRIF Decision Solutions, Bologna) |
- Relazione invitata:
Ratings-Based
Pricing with Stochastic Spreads,
William
Perraudin (Imperial
College, Londra)
- Tests
on the Accuracy of Basel 2, Simone Varotto (University
of Reading)
Moderatore: Martina Nardon (Università di Venezia)
|
| 15.45
- 16.45 |
Pausa
caffé e
SESSIONE POSTER 2 |
| 16.45
- 18.15 |
Tavola
rotonda : The
New Rating Culture
Chairman: Fabrizio GALIMBERTI
(Columnist economico, Il Sole 24 Ore, Milano) |
|
Partecipanti:
Silvio CUNEO
(Responsabile Credit Risk Management, Intesa Sanpaolo, Milano)
Andrea GIACOMELLI (Responsabile area Risk
Methodologies, GRETA, Venezia)
Pierpaolo GRIPPA (Vigilanza creditizia e finanziaria,
Banca d’Italia, Roma)
Vittorio MAGGIOLINI (Responsabile area Credit
Models, Risk Methodologies (CRO), Unicredit, Milano)
Gianluca ORICCHIO (Responsabile Ratings &
Capital Management, Capitalia, Roma)
Marco SALEMI (Responsabile Ricerca & Innovazione,
CRIF Decision Solutions, Bologna)
Dirk TASCHE (Senior Director, Fitch QFR Group,
Fitch Ratings, Londra, ex Risk Analyst, Dipartimento vigilanza creditizia
e finanziaria, Deutsche Bundesbank, Francoforte sul Meno)
|
|
18.15 |
Chiusura
dei lavori |
