4th Conference on Credit Analysis and Risk Management
Basel Workshop of Credit Risk
August | 27 - 28 | 2015
Time
Participant
Name
Affiliation
Paper
Co-author(s)
Day 1 | 27.08.2015
12:00 - 13:00 Registration and Lunch
Keynotes I 13:00 - 14:00
13:00 - 13:10
13:10 - 13:40
13:40 - 14:10
Chair: Pascal Gantenbein
Pascal Gantenbein / Simone Westerfeld
Marcel Fligge
Credit Suisse
Alexandre Kurth
FINMA
Session 1 - Regulation
14:15 - 14:45 Presenter
Discussant
14:45 - 15:15 Presenter
Discussant
Alon Raviv
Han Xia
Dennis Kahlert
Oguzhan Karakas
Chair: Thomas Breuer
Brandeis University
University of Texas
University of Passau
Boston College
15:15 - 15:45 Presenter
Xiaoxia Ye
Stockholm University
Qinghao Mao
Erasmus University Rotterdam
Session 2 - Models
16:05 -16:35 Presenter
Discussant
16:35 - 17:05 Presenter
Discussant
Christian Greve
Marc Arnold
Bernd Schwaab
Stefan Morkötter
Chair: Dion Bongaerts
WGZ BANK AG
University of St. Gallen
European Central Bank
University of St.Gallen
17:05 - 17:35 Presenter
Christop Basten
FINMA/ETH
Pepa Kraft
NYU Stern School of Business
Discussant
Conference Opening
Stress Testing and AIRB Modelling
Stress Testing from a Supervision Perspective
14:10 - 14:15 Break
Optimal Regulation, Executive Compensation and Risk Taking by Financial Institutions
Jens Hilscher; Yoram Landskroner
Are Eurozone Banks Undercapitalized? A Stress Testing Approach to Financial Stability
Niklas Wagner
How Does the Market View Bank Regulatory Capital Forbearance Policies?
Van Son Lai
15:45 - 16:05 Coffee Break
Discussant
Benchmarking the LGD Parameter for Mortgage Loan Portfolios under Stress
Lutz Hahnenstein
Global Credit Risk: World, Country, and Industry Factors
Siem Jan Koopmann; André Lucas
The Demand and Supply of Mortgage Fixation Periods
Benjamin Guin; Catherine Koch
Dinner Program
Day 2 | 28.08.2015
Session 3 - Credit Analysis and Ratings
08:30 - 09:00 Presenter
Qinghao Mao
Discussant
Wan-Chien Chiu
09:00 - 09:30 Presenter
Pepa Kraft
Discussant
Mikhail V. Oet
09:30 - 10:00 Presenter
Chair: Stefan Morkötter
Erasmus University Rotterdam
University of Glasgow
NYU Stern School of Business
Case Western Reserve University
Customer Risk and Corporate Financial Policy: Evidence from Receivables Securitization
Laura Xiaolei Liu; Greg Nini
Qualitative Corporate Disclosure and Credit Analysts' Soft Rating Adjustments
Zahn Bozanic
Follow the Money: Investor Trading around Investor-Paid Credit Rating Changes
Utpal Bhattacharya; Kelsey D. Wie
Han Xia
University of Texas
Dennis Kahlert
University of Passau
Keynotes II 10:30 - 12:00
10:30 - 11:00
Elod Takats
Chair: Simone Westerfeld
Bank for International Settlements (BIS)
Emerging market bonds: perspectives and risks
11:00 - 11:30
Thomas Wiedmer
Swiss National Bank (SNB)
Low interest rates - causes and implications for financial stability
11:30 - 12:00
Steven Ongena
University of Zurich
Credit ratings
Marc Arnold
Alon Raviv
Oguzhan Karakas
Austin Murphy
Jun Uno
Bernd Schwaab
Chair: Daniel Rösch
University of St. Gallen
Brandeis University
Boston College
Oakland University
Waseda University Tokyo
European Central Bank
Austin Murphy
Xiaoxia Ye
Wan-Chien Chiu
Christian Greve
Mikhail V. Oet
Jun Uno
Chair: Hans-Peter Burghof
Oakland University
Stockholm University
University of Glasgow
WGZ BANK AG
Case Western Reserve University
Waseda University Tokyo
Discussant
10:00 - 10:30 Coffee Break
12:00 - 13:00 Lunch
Session 4 - Derivatives
13:00 - 13:30 Presenter
Discussant
13:30 - 14:00 Presenter
Discussant
14:00 - 14:30 Presenter
Discussant
The Impact of Centrally Cleared Credit Risk Transfer on Banks' Lending Discipline
The Value of Creditor Control in Corporate Bonds
Peter Feldhutter; Edie Hotchkiss
Sovereign Credit Risk, Liquidity and ECB Intervention: Deus ex machina
Loriana Pelizzon; Marti G Subrahmanyam; Davide Tomio
14:30 - 15:00 Coffee Break
Session 5 - Risk Analysis
15:00 - 15:30 Presenter
Discussant
15:30 - 16:00 Presenter
Discussant
16:00 - 16:30 Presenter
Discussant
Systematic Risk and Yield Premiums in the Bond Market
Terry Benzschawel; Liang Fu
Financial Crises, Debt Financing, and Default Risk
Juan Ignacio Penã; Chih-Wie Wang
Evaluation of Adaptive Macroprudential Policy: Information Value from Identification to Early Warning
John M. Dooley; Stephen J. Ong; Dieter Gramlich

Curriculum Vita (PDF) - Fisher College of Business