CREDIT Conference - Programma

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)
Benevenuto Apertura dei lavori: Philipp Schönbucher (DMATH – ETH Zürich) Relazione invitata: Euler Allocation: Theory and Practice [284 Kb], Dirk Tasche (Fitch Ratings, Londra) Modelling the Distribution of Credit Losses with Observable and Latent Factors [497 Kb], 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 [671 Kb],Greg M. Gupton (Fitch Ratings, New York) Fitch, Moody’s and S&P’s Sovereign Ratings and EMBI Global Spreads: Lessons from 1993-2007 [394 Kb], Norbert Gaillard (Sciences Po, Paris & Princeton University) Moderatore: Stephen M. Schaefer (London Business School) Determinants of Recovery Rate in the Financial Sector [268 Kb], 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 [328 Kb], Damiano Brigo (DerivativeFitch / QFR - Fitch Ratings, Londra) Asset Correlation in Structured Finance Portfolios [179 Kb], 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 [158 Kb], 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 [243 Kb], 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 [318 Kb], Ashay Kadam (Cass Business School, Londra) e Peter Lenk (University of Michigan) Moderatore: Philipp J. 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 [225 Kb], Catalina Stefanescu (London Business School) Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation [1,455 Kb], 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 [503 Kb], 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 [286 Kb], 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 [255 Kb], 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 [222 Kb],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
14.30 - 15.45	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 [651 Kb], 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: Anna CORNAGLIA (Responsabile Internal Rating System Development Unit, Intesa Sanpaolo, Milano) Andrea GIACOMELLI (Responsabile area Risk Methodologies, GRETA, Venezia) Pierpaolo GRIPPA (Vigilanza creditizia e finanziaria, Banca d’Italia, Roma) Jan Pieter KRAHNEN (Johann Wolfgang Goethe-Universität & Center for Financial Studies,Francoforte sul Meno) Vittorio MAGGIOLINI (Responsabile area Credit Models, Risk Methodologies (CRO), Unicredit, Milano) 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

Credit Risk Evaluation Designed for Institutional Targeting in finance

Programma

ultimo aggiornamento:

24 settembre 2007