Workshop 'Concentration Risk in Credit Portfolios': Programme
Frankfurt/Eltville, 18-19 November 2005
Joint workshop of the Deutsche Bundesbank, the Basel Committee on Banking Supervision and the Journal of Credit Risk.
Thursday, 17 November 2005 |
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| Individual arrival of conference participants and check-in at the Bundesbank Training Centre (address: Erbacher Strasse 18, 65343 Eltville am Rhein, Tel.: +49 6123 901-0, Fax: +49 6123 901399) | |
| 19:30 - 21:30 | Buffet-style evening meal |
Friday, 18 November 2005 |
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| 8:00 - 8:30 | Registration |
| 8:30 - 8:45 | Welcome address by Edgar Meister (Deutsche Bundesbank) |
| 8:45 - 9:00 | Opening remarks by Michael Gordy (Board of Governors of the Federal Reserve System) |
| 9:00 - 9:50 | A simple multi-factor "Factor Adjustment" for the treatment of diversification in credit capital rules (PDF, 35 pages, 1749 kb) |
| Garcia Cespedes, Juan Carlos (BBVA) | |
| de Juan Herrero, Juan Antonio (BBVA) | |
| Kreinin, Alex (Algorithmics Inc) | |
| Rosen, Dan (The Fields Institute for Research in Mathematical Sciences) | |
| Discussant: Pykthin, Michael (Bank of America) |
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| 9:50 - 10:40 | The effects of name and sector concentrations on the distribution of losses for portfolios of large wholesale credit Exposures (PDF, 37 pages, 366 kb) |
| Burton, Steve (Federal Deposit Insurance Corporation) | |
| Chomsisengphet, Souphala (Office of the Comptroller of the Currency) | |
| Heitfield, Erik (Federal Reserve Board) | |
| Discussant: Rösch, Daniel (University of Regensburg) |
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| 10:40 - 11:10 | Coffee break |
| 11:10 - 12:00 | Dependent credit migrations (PDF, 30 pages, 530 kb) |
| McNeil, Alexander John (Swiss Federal Institute of Technology Zurich) | |
| Wendin, Jonathan (Swiss Federal Institute of Technology Zurich) | |
| Discussant: Couderc, Fabien (RiskMetrics Group, Inc.) |
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| 12:00 - 12:50 | Credit risk versus capital requirements under Basel II: are SME loans and retail credit really different? (PDF, 29 pages, 746 kb) |
| Jacobson, Tor (Sveriges Riksbank) | |
| Lindé, Jesper (Sveriges Riksbank) | |
| Roszbach, Kasper (Sveriges Riksbank) | |
| Discussant: Frye, Jon (Federal Reserve Bank of Chicago) |
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| 12:50 - 14:15 | Lunch |
| 14:15 - 15:05 | Underestimation of sector concentration risk by misassignment of borrowers (PDF, 17 pages, 432 kb) |
| Morinaga, Satoshi (Financial Services Agency, Japan) | |
| Shiina, Yasushi (Financial Services Agency, Japan) | |
| Discussant: Frye, Jon (Federal Reserve Bank of Chicago) |
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| 15:05 - 15:55 | The joys of industrial diversification in the stock and Eurobond markets (PDF, 36 pages, 448 kb) |
| Varotto, Simone (ICMA Centre, University of Reading) | |
| Discussant: Raupach, Peter (Deutsche Bundesbank) |
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| 15:55 - 16:25 | Coffee break |
| 16:25 - 17:15 | Credit risk concentrations under stress (PDF, 19 pages, 426 kb) |
| Bonti, Gabriel (Deutsche Bank AG) | |
| Kalkbrener, Michael (Deutsche Bank AG) | |
| Lotz, Christopher (Bundesanstalt f¿r Finanzdienstleistungsaufsicht) | |
| Stahl, Gerhard (Bundesanstalt f¿r Finanzdienstleistungsaufsicht) | |
| Discussant: Summer, Martin (Austrian National Bank) |
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| 17:15 - 18:15 | Panel discussion |
| De Servigny, Arnaud (Standard & Poor's) | |
| Düllmann, Klaus (Deutsche Bundesbank) | |
| Fritz-Morgenthal, Sebastian (WestLB AG) | |
| Heitfield, Erik (Board of Governors of the Federal Reserve System) | |
| Rosen, Dan (The Fields Institute for Research in Mathematical Sciences) | |
| 19:30 | Dinner with wine-tasting (Baron Knyphausen, Draiser Hof, Erbacher Strasse 28, 65346 Eltville-Erbach im Rheingau) |
Saturday, 19 November 2005 |
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| 9:00 - 9:50 | Common failings: how corporate defaults are correlated (PDF, 29 pages, 516 kb) |
| Das, Sanjiv R (Santa Clara University) | |
| Duffie, Darrell (Stanford University) | |
| Kapadia, Nikunj (University of Massachusetts) | |
| Discussant: Perraudin, William (Tanaka Business School) |
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| 9:50 - 10:40 | Risk contributions in an asymptotic multi-factor framework (PDF, 22 pages, 513 kb) |
| Tasche, Dirk (Deutsche Bundesbank) | |
| Discussant: Overbeck, Ludger (Justus-Liebig-Universität Gießen) |
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| 10:40 -11:10 | Coffee break |
| 11:10 - 12:00 | Portfolio credit risk models with interacting default intensities: A Markovian approach (PDF, 27 pages, 620 kb) |
| Backhaus, Jochen (University of Leipzig) | |
| Frey, Rüdiger (University of Leipzig) | |
| Discussant: Rau-Bredow, Hans (Bayerische Julius-Maximilians-Universität Würzburg) |
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| 12:00 - 14:00 | Lunch |
| 14:00 | Transportation by bus to Frankfurt airport and Frankfurt main railway station |