12th International Conference
C R E D I T 2013 - Risk, Regulation and Opportunities in an Increasingly Interconnected World

26 - 27 September 2013, Venice, Italy

The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of financial risk management. The conference this year focuses on Risk, Regulation and Opportunities in an Increasingly Interconnected World and 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 is the twelfth of a series dedicated to various aspects of credit risk.

The co-sponsors of the Conference are GRETA Associati (Venice, Italy), Intesa Sanpaolo (Milan, Italy) and SYRTO - SYstemic Risk TOmography, a project funded by the European Union under the 7th Framework Programme (FP7-SSH/2007-2013) Grant Agreement n 320270. The Conference is organised under the auspices of the Department of Economics of the University Ca Foscari of Venice, ABI - Italian Banking Association and European Investment Bank Institute.

SCIENTIFIC COMMITTEE: The Scientific Committee for the Conference consists of: Paul Embrechts, ETH Zurich, Programme Chair, Monica Billio, Ca Foscari University of Venice, Damiano Brigo, Imperial College London, Darrell Duffie, Stanford University and Kenneth Singleton, Stanford University.

PROGRAMME:

Thursday, September 26 2013

9.00 - 9.15 Welcome Address: Dominik Sobczak (DG Research and Innovation European Commission)

Opening Remarks: Paul Embrechts (ETH Zurich)

9.15 - 11.00 Session I
- Key-note talk: Correlation, Contagion and Systemic Risk, Rama Cont (Imperial College, London)
- Systemic Risk in Europe, Robert Engle (New York University), Eric Jondeau (Swiss Finance Institute & University of Lausanne) and Michael Rockinger (Swiss Finance Institute, University of Lausanne, & CEPR)
- TRC Networks and Visualizations: Combining Credit Risk Measures and Network Analysis to Characterize Systemic Risk, Andrew W. Lo (Massachusetts Institute of Technology & AlphaSimplex Group, Cambridge) and Roger Stein (Massachusetts Institute of Technology & Moodys Corporation, New York)

11.00 11.30 Coffee break and presentation of the SYRTO - SYstemic Risk TOmography project, funded by the European Union under the 7th Framework Programme (FP7-SSH/2007-2013) Grant Agreement n 320270

11.30 - 13.15 Session II
- Key-note talk: Adapting the Solvency Regulations in Time of Crisis, Michel Dacorogna (SCOR, Zurich)
- Supervisors' Incentives and Optimal Regulatory Architecture in a "Banking Union", Jean-Edouard Colliard (European Central Bank)
- Modeling Global Financial Sector Stress and Credit Market Dislocation, Bernd Schwaab (European Central Bank), Siem Jan Koopman (VU University Amsterdam & Tinbergen Institute) and Andre Lucas (VU University Amsterdam & Tinbergen Institute)

13.15 - 14.45 Lunch

14.45 - 15.45 Session III
- Efficiency and Stability of a Financial Architecture with Too Interconnected to Fail Institutions, Michael Gofman (University of Wisconsin Madison)
- Dynamic Prudential Regulation, Ajay Subramanian (Georgia State University) and Baozhong Yang (Georgia State University)

15.45 - 16.45 Coffee break and Poster Session 1

16.45 - 18.15 Session IV
- Rules of Thumb for Banking Crises in Emerging Markets, Paolo Manasse (University of Bologna), Roberto Savona (University of Brescia) and Marika Vezzoli (University of Brescia)
- Systemic Risk in Commercial Bank Lending, Daniel Rosch (University of Regensburg) and Harald Scheule (University of Tecnology, Sydney)
- Comprehensive Correlation and Capital Estimates for a Canadian SME Portfolio: Implications for Basel, Jade Michel Haddad (University of Concordia, Montreal)

Friday, September 27 2013

9.00 - 10.45 Session V
- Key-note talk: Examples of Regulatory Constraints in Insurance, Jean Lemaire (University of Pennsylvania)
- Catastrophe Risk Transfer, Jinjing Wang (Georgia State University) and Ajay Subramanian (Georgia State University)
- Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks, Monica Billio (Ca' Foscari University of Venice), Mila Getmansky (University of Massachusetts), Dale Gray (International Monetary Fund), Andrew W. Lo (Massachusetts Institute of Technology & AlphaSimplex Group, Cambridge), Robert C. Merton (Massachusetts Institute of Technology) and Loriana Pelizzon (Ca' Foscari University of Venice)

11.15 - 13.00 Session VI
- Key-note talk: Illiquidity and Insolvency Cascades in the Interbank Network, Tom Hurd (McMaster University, Hamilton)
- Liquidity and Price Impacts of Financial Distress: Evidence from the Market for Defaulted Bonds, Song Han (Federal Reserve Board) and Ke Wang (Federal Reserve Board)
- Financial Intermediaries, Monetary Policy and Bond Risk Premia, Rodrigo Guimaraes (Bank of England) and Gabriele Zinna (Bank of England)

13.00 - 14.30 Lunch

14.30 - 15.30 Session VII
- What Drives the Liquidity of Eurozone Sovereign Bonds? Assessing the Appropriateness of the New Rules on Bank Liquid Assets, Giovanni Petrella (Cattolica University, Milan) and Andrea Resti (Bocconi University, Milan)
- The Microstructure of the European Sovereign Bond Market: A Study of the Euro-zone Crisis, Loriana Pelizzon (Ca' Foscari University of Venice), Marti G. Subrahmanyam (New York University), Davide Tomio (Copenhagen Business School) and Jun Uno (Waseda University, Tokyo)

15.30 - 16.30 Coffee break and Poster Session 2

16.30 - 18.00 PANEL Session: "World Wide Interconnections: Risk and Opportunities"

Chairman: Fabrizio Galimberti (ll Sole 24 Ore)

REGISTRATION: To register for the Conference you are requested to complete the registration form that is available on our website: ( http://www.greta.it/credit/credit2013/credit2013.htm).

Registration fees are:

Early registration (within August 18th)
Academics: 250 Euro (+ VAT 21%)
Practitioners: 800 Euro (+ VAT 21%)
Academics Poster Presenter: 130 Euro (+ VAT 21%)
Practitioners Poster Presenter: 500 Euro (+ VAT 21%)
PhD Students*: 80 Euro (+ VAT 21%)

Late registration (from August 19th on)
Academics: 300 Euro (+ VAT 21%)
Practitioners: 1000 Euro (+ VAT 21%)
Academics Poster Presenter: 130 Euro (+ VAT 21%)
Practitioners Poster Presenter: 500 Euro (+ VAT 21%)
PhD Students*: 130 Euro (+ VAT 21%)

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 26 for which there is a charge of 80 Euro + VAT 21% for each attending person (participants as well as accompanying persons).

FURTHER INFORMATION: For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website: http://www.greta.it/credit/credit2013/credit2013.htm