Call For Participation
CREDIT 2012: 11th International Conference - Sovereign Risk and its Consequences for Financial Markets, Institutions and Regulation

Venice, Italy, 27 - 28 September 2012

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 Sovereign Risk 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 eleventh of a series dedicated to various aspects of credit risk.

CO-SPONSORS: The co-sponsors of the Conference are GRETA Associati (Venice, Italy), Intesa Sanpaolo (Milan, Italy) and Pixart Printing (Venice, Italy). 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.

SCIENTIFIC COMMITTEE: The Scientific Committee for the Conference consists of: Stephen Schaefer, London Business School, Programme Chair; Viral Acharya, New York University, Stern; Francis Longstaff, University of California; Roberto Rigobon, Massachusetts Institute of Technology; Loriana Pelizzon, University Ca' Foscari of Venice; Ilya A. Strebulaev, Stanford University; Vikrant Vig, London Business School

Thursday, September 27 2012

9.00 - 9.15 Welcome Address and Opening Remarks: Stephen M. Schaefer (London Business School)

9.15 - 11.00 Session I: Interlinkages in Sovereign Risk

- Key-note talk: Exorbitant Privilege and Exorbitant Duty: the United States and the International Financial System
Helene Rey (London Business School)
- Measuring Sovereign Contagion in Europe
Massimiliano Caporin (Univerisita di Padova), Loriana Pelizzon (Univerist√ Ca' Foscari Venezia and MIT Sloan), Francesco Ravazzolo (Norges Bank and BI Norwegian Business School) and Roberto Rigobon (MIT Sloan and NBER)
- Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
Rene Kallestrup (Copenhagen Business School), David Lando (Copenhagen Business School) and Agatha Murgoci (Copenhagen Business School)

11.00 - 11.30 Coffee Break

11.30 - 13.00 Session II: A Structural View of Sovereign Risk and its Relation to the Pricing of Corporate Credit
- Sovereign Credit Risk and Banking Crises
Manuel Mayer (Vienna Graduate School of Finance)
- The Dynamics of Sovereign Credit Risk
Alexandre Jeanneret (HEC Montreal)
- Corporate and Sovereign Credit Risk in the Euro Area during the Period 2007-2011
Alessandro Fontana (Geneva Finance Research Institute & FINRISK)

13.00 - 14.30 Lunch

14.30 - 16.00 Session III: Liquidity Effects and Risk Premia in Sovereign Risk
- Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
Jean-Paul Renne (Banque de France) and Alain Monfort (CREST, Banque de France & University of Maastricht)
- A Forensic Analysis of Liquidity and Credit Risk in European Sovereign Bond Markets
Jennie Bai (Federal Reserve Bank of New York), Christian Julliard (London School of Economics) and Kathy Yuan (London School of Economics & CEPR)
- Sovereign Risk Premia
Nicola Borri (LUISS Guido Carli) and Adrien Verdelhan (Massachusetts Institute of Technology & National Bureau of Economic Research)

16.00 - 17.00 Coffee break and Poster Session 1

17.00 - 18.00 Session IV: Risk Exposures in Banking and Sovereign Risk
- The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Viral V. Acharya (New York University, CEPR & NBER) and Sascha Steffen (European School of Management and Technology, Berlin)
- Sovereign Default and Banking
Igor Livshits (University of Western Ontario, BEROC) and Koen Schoors (University of Ghent)

Friday, September 28 2012

9.15 - 10.45 Session V: Systemic Risk

- A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR
Sylvain Benoit (University of Orleans), Gilbert Colletaz (University of Orleans) and Christophe Hurlin (University of Orleans)
- A Component Approach to Systemic Risk...Which Are the Riskiest Financial Institutions of Them All?
Georgiana-Denisa Banulescu (University of Orleans & Maastricht University) and Elena-Ivona Dumitrescu (University of Orleans & Maastricht University)
- Bilateral Exposures and Systemic Solvency Risk
Christian Gourieroux (CREST & University of Toronto), Jean-Cyprien Heam (CREST & ACP) and Alain Monfort (CREST, Banque de France & University of Maastricht)

10.45 - 11.15 Coffee Break

11.15 - 12.45 Session VI: Sovereign Credit Ratings and Credit Market Competition
- Sovereign Debt Rating Changes and the Stock Market
Alexander Michaelides (University of Cyprus, CEPR & NETSPAR), Andreas Milidonis (University of Cyprus), George Nishiotis (University of Cyprus) and Panayiotis Papakyriacou (University of Cyprus)
- Credit Ratings across Asset Classes: A = A?
Jess Cornaggia (Indiana University), Kimberly J. Cornaggia (Indiana University) and John E. Hund (Rice University)
- Credit Market Competition and Liquidity Crises
Elena Carletti (European University Institute & CEPR) and Agnese Leonello (University of Pennsylvania)

12.45 - 14.15 Lunch

14.15 - 15.30 Session VII: Prospects for the Eurozone and Credit Supply
- Key-note talk: In What Form will the Eurozone Emerge from the Crisis?
Franklin Allen (The Wharton School, University of Pennsylvania)
- Credit Supply During a Sovereign Crisis
Marcello Bofondi (Bank of Italy), Luisa Carpinelli (Bank of Italy) and Enrico Sette (Bank of Italy)

15.30 - 16.30 Coffee break and Poster Session 2

16.30 - 18.00 PANEL Session: "Sovereign Debt Crisis and the Future of Euro: Looking Ahead"

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:

Registration fees are:
Early registration (within August 19th)\ Academics: 250 Euro (+ VAT 21%)
Practitioners: 800 Euro (+ VAT 21%)
PhD Students*: 80 Euro (+ VAT 21%)

Late registration (from August 20th on)\ Academics: 300 Euro (+ VAT 21%)
Practitioners: 1000 Euro (+ VAT 21%)
PhD Students*: 130 Euro (+ VAT 21%)

*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 27 for which there is a charge of 80 Euro for each attending person (participants as well as accompanying persons).

For more detailed information (registration, accommodation and Conference venue), please refer to the Conference website:

Posted 8/12/12