C.R.E.D.I.T. 2010 - Credit Risk, Systemic Risk, and Large Portfolios
30/09/2010
C.R.E.D.I.T. 2010
Credit Risk, Systemic Risk, and Large Portfolios
Venice, Italy
30 September - 1 October 2010
The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modeling. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University Ca' Foscari of Venice, ABI - Italian Banking Association, European Investment Bank and Assogestioni (Rome, Italy), is the ninth of a series dedicated to various aspects of credit risk.
The Scientific Committee for the Conference consists of:
- Alain Monfort, CREST, Banque de France and Maastricht University, Programme Chair
- Yacine A t-Sahalia, Princeton University
- Monica Billio, University of Venice and GRETA
- Damiano Brigo, Fitch Solutions, London and Imperial College
- Patrick Gagliardini, University of Lugano and Swiss Finance Institute
- Christian Gouriéroux, University of Toronto and CREST
- John Hull, University of Toronto
- Dirk Tasche, Lloyds Banking Group, London
PRELIMINARY PROGRAMME
=====================
THURSDAY, SEPTEMBER 30 2010
8.30-9.00 Registration
9.00-9.15 Welcome Address
- Opening Remarks: Alain Monfort (CREST, Banque de France & Maastricht University)
9.15-10.30 Session I: CREDIT RISK AND PRICING
- Invited talk: Credit Ratings and Securitization, John Hull (University of Toronto)
- Sovereign Default Risk and the U.S. Equity Market, Alexandre Jeanneret (HEC Montréal)
10.30-11.00 Coffee break
11.00-12.30 Session II: LATENT AND MACRO FACTORS IN DEFAULT MODELING
- A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors, Georges Dionne (HEC Montréal), Geneviève Gauthier (HEC Montréal), Khemais Hammami (Caisse de Dépôt et Placement du Québec), Mathieu Maurice (Caisse de Dépôt et Placement du Québec) and Jean-Guy Simonato (HEC Montréal)
- Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates, Siem Jan Koopman (VU University Amsterdam & Tinbergen Institute), André Lucas (VU University Amsterdam, Tinbergen Institute & Duisenberg school of Finance) and Bernd Schwaab (VU University Amsterdam & Tinbergen Institute)
- Default, Liquidity and Crises: An Econometric Framework, Alain Monfort (CREST, Banque de France & Maastricht University) and Jean-Paul Renne (Banque de France)
12.30-14.00 Lunch
14.00-15.15 Session III: FIRM VALUE MODELS: GRANULARITY AND DOUBLE DEFAULT
- Invited talk: Microinformation , Nonlinear Filtering and Granularity, Patrick Gagliardini (University of Lugano & Swiss Finance Institute), Christian Gouriéroux (University of Toronto & CREST) and Alain Monfort (CREST, Banque de France & Maastricht University)- Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model Without Additional Correlation, Sebastian Ebert (Bonn Graduate School of Economics) and Eva Lütkebohmert (Bonn Graduate School of Economics)
15.15-16.15 Coffee break and Poster Session 1
16.15-18.00 Session IV: EXTREME RISKS CORRELATION AND TAILS
- Invited talk: Credit Models pre- and in- Crisis: Impact of Default Clusters and Extreme Events on Valuation, Damiano Brigo (Fitch Solutions, London & Imperial College)
- Volatility, Correlation and Tails for Systemic Risk Measurement, Christian T. Brownlees (Stern School of Business, New York University) and Robert Engle (Stern School of Business, New York University)- Macro Stress Testing of Credit Risk Focused on the Tails, Ricardo Schechtman (Central Bank of Brazil) and Wagner Piazza Gaglianone (Central Bank of Brazil)
FRIDAY, OCTOBER 1 2010
9.15 - 10.30 Session V: CONTAGION
- Invited talk: Optimal Portfolio Construction When Asset Returns Self-Excite, Yacine Aït-Sahalia (Princeton University)
- An Extension of Davis and Lo's Contagion Model, Didier Rullière (Université de Lyon), Diana Dorobantu (Université de Lyon) and Areski Cousin (Université de Lyon)
10.30-11.00 Coffee break
11.00-12.30 Session VI: SYSTEMIC RISK
- Measuring Systemic Risk in the Finance and Insurance Sectors, Monica Billio (University of Venice & SSAV), Mila Getmansky (Isenberg School of Management, University of Massachusetts), Andrew W. Lo (MIT Sloan School of Management) and Loriana Pelizzon (University of Venice & SSAV)
- Attributing Systemic Risk to Individual Institutions. Methodology and Policy Applications, Nikola Tarashev (Bank for International Settlements, Basel), Claudio Borio (Bank for International Settlements, Basel) and Kostas Tsatsaronis (Bank for International Settlements, Basel)
- Caught in the Web: Exploring the Channels of Hedge Fund Contagion, Itzhak Ben-David (Fisher College of Business, The Ohio State University), Francesco Franzoni (Swiss Finance Institute & University of Lugano) and Rabih Moussawi (Wharton Research Data Services, The Wharton School, University of Pennsylvania)
12.30 - 14.00 Lunch
14.00-15.15 Session VII: CAPITAL REQUIREMENTS
- Invited talk: Statistical Capital Allocation and its Applications, Dirk Tasche (Lloyds Banking Group, London)
- Concentration Risk in Mortgages Portfolios: The Role of Geographic Factors and Loans Characteristics in a Multifactor Framework, Michel Dietsch (Université de Strasbourg & BPCE), Joël Petey (Université de Strasbourg) and Adeline Vandaele (BPCE)
15.15-16.15 Coffee break and Poster Session 2
16.15-18.00 PANEL Session
Systemic Stability, Financial Regulation and Economic GrowthChairman: Fabrizio Galimberti (Il Sole 24 Ore, Milan)
18.00 End of the Conference
REGISTRATION
============
To register for the Conference you are requested to complete the registration form that will be soon available on our website ( http://www.greta.it/credit/credit2010/credit2010.htm ).
Registration fees are:
Early registration (by 20 July 2010)
Academics: 250 Euro (+ VAT 20%)
Practitioners: 750 Euro (+ VAT 20%)
PhD Students*: 50 Euro (+ VAT 20%)
Late registration (after 21 July 2010)
Academics: 300 Euro (+ VAT 20%)
Practitioners: 900 Euro (+ VAT 20%)
PhD Students*: 100 Euro (+ VAT 20%)
For participants presenting a paper there are no fees.
*Students will have to provide valid proof of their student status.
The registration fees cover: Admission to all scientific sessions; Lunches and coffee service during the meeting; Conference package
The registration fees do not fully cover the conference dinner on Thursday, September 30 for which there is a charge of 70 Euro for each attending person (participants as well as accompanying persons).
Credit Risk, Systemic Risk, and Large Portfolios
Venice, Italy
30 September - 1 October 2010
The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modeling. The conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the University Ca' Foscari of Venice, ABI - Italian Banking Association, European Investment Bank and Assogestioni (Rome, Italy), is the ninth of a series dedicated to various aspects of credit risk.
The Scientific Committee for the Conference consists of:
- Alain Monfort, CREST, Banque de France and Maastricht University, Programme Chair
- Yacine A t-Sahalia, Princeton University
- Monica Billio, University of Venice and GRETA
- Damiano Brigo, Fitch Solutions, London and Imperial College
- Patrick Gagliardini, University of Lugano and Swiss Finance Institute
- Christian Gouriéroux, University of Toronto and CREST
- John Hull, University of Toronto
- Dirk Tasche, Lloyds Banking Group, London
PRELIMINARY PROGRAMME
=====================
THURSDAY, SEPTEMBER 30 2010
8.30-9.00 Registration
9.00-9.15 Welcome Address
- Opening Remarks: Alain Monfort (CREST, Banque de France & Maastricht University)
9.15-10.30 Session I: CREDIT RISK AND PRICING
- Invited talk: Credit Ratings and Securitization, John Hull (University of Toronto)
- Sovereign Default Risk and the U.S. Equity Market, Alexandre Jeanneret (HEC Montréal)
10.30-11.00 Coffee break
11.00-12.30 Session II: LATENT AND MACRO FACTORS IN DEFAULT MODELING
- A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors, Georges Dionne (HEC Montréal), Geneviève Gauthier (HEC Montréal), Khemais Hammami (Caisse de Dépôt et Placement du Québec), Mathieu Maurice (Caisse de Dépôt et Placement du Québec) and Jean-Guy Simonato (HEC Montréal)
- Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates, Siem Jan Koopman (VU University Amsterdam & Tinbergen Institute), André Lucas (VU University Amsterdam, Tinbergen Institute & Duisenberg school of Finance) and Bernd Schwaab (VU University Amsterdam & Tinbergen Institute)
- Default, Liquidity and Crises: An Econometric Framework, Alain Monfort (CREST, Banque de France & Maastricht University) and Jean-Paul Renne (Banque de France)
12.30-14.00 Lunch
14.00-15.15 Session III: FIRM VALUE MODELS: GRANULARITY AND DOUBLE DEFAULT
- Invited talk: Microinformation , Nonlinear Filtering and Granularity, Patrick Gagliardini (University of Lugano & Swiss Finance Institute), Christian Gouriéroux (University of Toronto & CREST) and Alain Monfort (CREST, Banque de France & Maastricht University)- Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model Without Additional Correlation, Sebastian Ebert (Bonn Graduate School of Economics) and Eva Lütkebohmert (Bonn Graduate School of Economics)
15.15-16.15 Coffee break and Poster Session 1
16.15-18.00 Session IV: EXTREME RISKS CORRELATION AND TAILS
- Invited talk: Credit Models pre- and in- Crisis: Impact of Default Clusters and Extreme Events on Valuation, Damiano Brigo (Fitch Solutions, London & Imperial College)
- Volatility, Correlation and Tails for Systemic Risk Measurement, Christian T. Brownlees (Stern School of Business, New York University) and Robert Engle (Stern School of Business, New York University)- Macro Stress Testing of Credit Risk Focused on the Tails, Ricardo Schechtman (Central Bank of Brazil) and Wagner Piazza Gaglianone (Central Bank of Brazil)
FRIDAY, OCTOBER 1 2010
9.15 - 10.30 Session V: CONTAGION
- Invited talk: Optimal Portfolio Construction When Asset Returns Self-Excite, Yacine Aït-Sahalia (Princeton University)
- An Extension of Davis and Lo's Contagion Model, Didier Rullière (Université de Lyon), Diana Dorobantu (Université de Lyon) and Areski Cousin (Université de Lyon)
10.30-11.00 Coffee break
11.00-12.30 Session VI: SYSTEMIC RISK
- Measuring Systemic Risk in the Finance and Insurance Sectors, Monica Billio (University of Venice & SSAV), Mila Getmansky (Isenberg School of Management, University of Massachusetts), Andrew W. Lo (MIT Sloan School of Management) and Loriana Pelizzon (University of Venice & SSAV)
- Attributing Systemic Risk to Individual Institutions. Methodology and Policy Applications, Nikola Tarashev (Bank for International Settlements, Basel), Claudio Borio (Bank for International Settlements, Basel) and Kostas Tsatsaronis (Bank for International Settlements, Basel)
- Caught in the Web: Exploring the Channels of Hedge Fund Contagion, Itzhak Ben-David (Fisher College of Business, The Ohio State University), Francesco Franzoni (Swiss Finance Institute & University of Lugano) and Rabih Moussawi (Wharton Research Data Services, The Wharton School, University of Pennsylvania)
12.30 - 14.00 Lunch
14.00-15.15 Session VII: CAPITAL REQUIREMENTS
- Invited talk: Statistical Capital Allocation and its Applications, Dirk Tasche (Lloyds Banking Group, London)
- Concentration Risk in Mortgages Portfolios: The Role of Geographic Factors and Loans Characteristics in a Multifactor Framework, Michel Dietsch (Université de Strasbourg & BPCE), Joël Petey (Université de Strasbourg) and Adeline Vandaele (BPCE)
15.15-16.15 Coffee break and Poster Session 2
16.15-18.00 PANEL Session
Systemic Stability, Financial Regulation and Economic GrowthChairman: Fabrizio Galimberti (Il Sole 24 Ore, Milan)
18.00 End of the Conference
REGISTRATION
============
To register for the Conference you are requested to complete the registration form that will be soon available on our website ( http://www.greta.it/credit/credit2010/credit2010.htm ).
Registration fees are:
Early registration (by 20 July 2010)
Academics: 250 Euro (+ VAT 20%)
Practitioners: 750 Euro (+ VAT 20%)
PhD Students*: 50 Euro (+ VAT 20%)
Late registration (after 21 July 2010)
Academics: 300 Euro (+ VAT 20%)
Practitioners: 900 Euro (+ VAT 20%)
PhD Students*: 100 Euro (+ VAT 20%)
For participants presenting a paper there are no fees.
*Students will have to provide valid proof of their student status.
The registration fees cover: Admission to all scientific sessions; Lunches and coffee service during the meeting; Conference package
The registration fees do not fully cover the conference dinner on Thursday, September 30 for which there is a charge of 70 Euro for each attending person (participants as well as accompanying persons).