HEC Montréal, Canada

April 15–16, 2004

Pdf versions of papers and/or presentations

Some are not available for the moment

Thursday, 15 April

 Morning sessions

– Credit Rating

8:30       Stochastic Migration Models with Application to Corporate Risk
Patrick Gagliardini, Universita della Svizzera Italiana, Christian Gouriéroux, University of Toronto and CREST.

 9:10      Confidence Sets for Continuous-time Rating Transition Probabilities
Jens Christensen and David Lando, Copenhagen Business School, Ernst Hansen, University of Copenhagen.

 9:50    Break

Parallel sessions

– Meaning of Rating

 10:10    Rating System Dynamics and Bank-Reported Default Probabilities under the New Basel Capital Accord
Erik Heitfield, Board of Governors, Federal Reserve System.

 10:50    Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History
Presentation
David T. Hamilton and Richard Cantor, Moodys.

 11:30    An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies
Presentation
Daniel Rösch, University of Regensburg.

 – Theoretical Pricing

 10:10    Liquidation Triggers and the Valuation of Equity and Debt
Dan Galai and Alon Raviv, The Hebrew University of Jerusalem, Zvi Wiener, University of Southern California and The Hebrew University of Jerusalem.

 10:50    The Market Price of Credit Risk
Presentation
Kay Giesecke, Cornell University, Lisa R. Goldberg, Barra, Inc.

 11:30    Pricing the Risks of Deposit Insurance
Presentation
Dilip B. Madan and Haluk Unal, University of Maryland.

 12:10  Lunch

Afternoon Sessions

– Credit Spreads

 13:30     Stock Market Performance and the Term Structure of Credit Spreads
Presentation
Andriy Demchuk, University of Lausanne, Rajna Gibson, University of Zurich.

 14:10    Default Risk in Corporate Yield Spreads
Presentation
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice and Jean-Guy Simonato, HEC Montréal.

 14:50  Break

Parallel sessions

– Credit Spreads

 15:10    Individual Stock-Option Prices and Credit Spreads
Martijn Cremers, Yale School of Management, Joost Driessen, University of Amsterdam, Pascal Maenhout, INSEAD, David Weinbaum, University of Cornell.

 15:50    Modeling the Dynamics of Credit Spreads with Stochastic Volatility
Kris Jacobs, McGill University, Xiaofei Li, York University.

 16:30    Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance
Yigal S. Newman, Stanford University, Michael A. Rierson, CitiGroup’s Global Equities.

 – Dependence and Contagion

 15:10     A Simple Model of Credit Contagion
Presentation
Daniel Egloff, Zürcher Kantonalbank, Markus Leippold, University of Zurich, Paolo Vanini, University of Southern Switzerland and Zürcher Kantonalbank.

 15:50     Cyclical Correlations, Credit Contagion, and Portfolio Losses
http://www.sciencedirect.com/science/journal/03784266
(click on Articles in Press)
Presentation
Kay Giesecke, Cornell University, Stefan Weber, Humboldt-Universität zu Berlin.

 16:30  Correlated Defaults and the Valuation of Defaultable Securities
Presentation
Fan Yu, University of California, Irvine.

The Purpose of Ratings, and Other Basel Conundra
Mark Levonian
Vice President in Banking Supervision and Regulation
Federal Reserve Bank of San Francisco

Friday, 16 April

Morning sessions

 – Portfolio Credit Risk

 8:30      Credit Barrier Models on a Lattice
http://www.ma.ic.ac.uk/~calban/
Presentation
Claudio Albanese, University of London, Oliver X. Chen, University of Toronto.

 9:10      Modeling Default Dependence with Threshold Models
Ludger Overbeck, University of Giessen, Wolfgang Schmidt, Hochschule für Bankwirtschaft.

 9:50    Break

Parallel sessions

– Bank Lending

10:10     Informational Efficiency of Loans versus Bonds: Evidence from Secondary Market Prices
Presentation
Edward Altman and Anthony Saunders, New York University, Amar Grande, Vanderbilt University.

10:50     Bank Loan-loss Provisioning, Methodology and Application
Jean Dermine, INSEAD, C. Neto de Carvalho, Universidade Catolica Portuguesa.

11:30     Determinants of Collateral
Gabriel Jiménez and Jesús Saurina, Banco de España, Vicente Salas, Universidad de Zaragoza and Banco de España.

 – Default Correlation and Macroeconomic Effect

10:10     Pricing Swap Credit Risk with Copulas
Presentation
Umberto Cherubini, University of Bologna.

10:50     Analysis of Default Data Using Hidden Markov Models
Presentation
Giacomo Giampieri, Mark Davis and Martin Crowder, Imperial College, London.

11:30     Macroeconomic Dynamics and Credit Risk: A Global Perspective
Hashem Pesaran, University of Cambridge and University of Southern California, Til Schuermann, Federal Reserve Bank of New York, Björn-Jakob Treutler, Mercer Oliver Wyman and Otto Beisheim Graduate School of Management, WHU, Scott M. Weiner, Alliance Capital Management L.P.

 12:10   Lunch

* * *

The scientific committee:

Michel Crouhy (michelcrouhy@hotmail.com);

Georges Dionne (georges.dionne@hec.ca);

Michael Gordy (michael.gordy@frb.gov).