Third International Conference on Credit and Operational Risks. Credit and Operational Risks: Are We Ready for Basel II?
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1 Third International Conference on Credit and Operational Risks Credit and Operational Risks: Are We Ready for Basel II? HEC Montréal, April Centre for Research on e-finance Canada Research Chair in Risk Management Program Thursday, April 12 8:15 Registration and Breakfast Chairperson: Michèle Breton Plenary Session 1 8:30 Keynote address The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt Michael Gordy, Federal Reserve Board 9:30 Modelling and Estimation Errors in Measures of Portfolio Credit Risk Nikola Tarashev, Bank for International Settlements 10:10 Pause 1
2 Chairperson: Pascal François Parallel session I (Spread 1) 10:30 Default Risk, Default Risk Premium and Corporate Yield Spreads Jean-Guy Simonato, HEC Montréal 11:10 Leverage, Options Liabilities and Corporate Bond Pricing Hueng-Ming Huang, Syracuse University 11:50 A Simple Model of Credit Spreads with Incomplete Information Chuang Yi, McMaster University Chairperson: Joshua Slive Parallel session II (Default 1) Standard Life 1 and 2 10:30 Default Estimation for Low-Default Portfolios Nicholas M. Kiefer, Cornell University 11:10 Is the Structural Approach More Accurate than the Statistical Approach in Bankruptcy Prediction? Hui (Howard) Hao, Bank of Nova Scotia 11:50 Bankruptcy Events: Does Idiosyncratic Risk Matter? Kanak Patel, University of Cambridge 12:30 Lunch Chairperson: Nicolas Papageorgiou Plenary Session 2 14:00 Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory Hulusi Inanoglu, Office of the Comptroller of the Currency 2
3 Chairperson: Nicolas Papageorgiou Parallel session III (Spread 2) 14:40 Nondefault Bond Spread and Market Trading Liquidity Song Han, Federal Reserve Board 15:20 Time Varying Default Risk Premia in Corporate Bond Markets Jan Ericsson, McGill University 16:00 Pause Chairperson: Michèle Breton Parallel session IV (Default 2) Standard Life 1 and 2 14:40 A Market-Based Framework for Bankruptcy Prediction Alexander S. Reisz, Office of the Comptroller of the Currency 15:20 Modelling the Distribution of Credit Losses With Observable and Latent Factors Javier Mencía, Bank of Spain 16:00 Pause Chairperson: Albert Lee Chun Parallel session V (Default 3) 16:20 Joint Analysis of Default Occurrence and Recovery Rate André Tiomo, DEXIA, ERUDITE and University Paris XII 17:00 Liquidity and Credit Default Swap Spreads Dragon Yongjun Tang, Kennesaw State University 17:40 On Debt Service and Renegotiation when Debt-holders Are More Strategic Jean-Marc Bourgeon, INRA and École Polytechnique, Paris 3
4 Chairperson: Georges Hübner Parallel session VI (Operational) Standard Life 1 and 2 16:20 Scaling Models for the Severity and Frequency of External Operational Loss Data Hela Dahen, HEC Montréal 17:00 Operational Risk and Reputation in the Financial Industry Séverine Plunus, Liège University 17:40 The Long-Term Effects of Operational Risk Events: Shot-Noise Stochastic Models Anna Chernobai, Syracuse University - CANCELLED 18:20 End 19:00 19:45 Cocktail at the Mount Stephen Club followed by Dinner 1440 Drummond Friday, April 13 8:15 Registration and Breakfast Chairperson: Georges Dionne 8:30 Keynote address 9:30 Plenary Plenary Session 3 Achievements and Challenges in Basel II Klaus Duellmann, Deutsche Bundesbank (Non) Consistency of the Beta Kernel Estimator for Recovery Rate Distribution Christian Gouriéroux, CREST, CEPREMAP and University of Toronto 4
5 10:10 Pause Chairperson: Nicolas Papageorgiou Parallel session VII (Industry) 10:30 Risk Management Assessment: The Canadian Banking System Nawal Roy, Moody s 11:10 Basle II Operational Risk : Are Banks Prepared and What Are They Preparing for? Denis Pellerin, National Bank of Canada 11:50 Credit Risk of Traded Products under Basel II Niall Whelan, Scotia Capital Chairperson: Albert Lee Chun Parallel session VIII (Recovery) Ordre des CGA du Québec 10:30 Discount Rate for Workout Recoveries: An Empirical Study Peter Miu, McMaster University 11:10 Jumps and Recovery Rates Inferred from Corporate CDS Premia Tanja Veza, Vienna University of Economics and Business Administration 11:50 Bankruptcy Filing and the Expected Recovery of Corporate Debt Wei Wang, Queen s University Chairperson: Lars Stentoft Parallel session IX (Pricing) St-Hubert 10:30 Pricing CDOs with Correlated Arrival and Recovery Rates Jean-Roch Sibille, Université de Liège 11:10 Valuation of Credit Derivatives, and Credit Value-at-Risk, for the Energy Industry Ehud I. Ronn, University of Texas at Austin 5
6 11:50 CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions Michael B. Walker, University of Toronto 12:30 Lunch 14:00 End of the Conference 6
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