The Gutmann Center for Portfolio Management at the University of Vienna www.gutmann-center.at invites to the first GUTMANN CENTER PRACTITIONERS' SEMINAR "THE STRUCTURAL APPROACH TO CREDIT RISK" with: Prof. Dr. Stephen SCHAEFER, London Business School Date: May 31st (Thursday), 14.00 - 17.30 Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Invitation available as pdf on www.gutmann-center.at!) On occasion of its 5th annual symposium, the Gutmann Center extends its bridging activities, bringing together academia and industry, and offers for the first time a "Gutmann Center Symposium Practitioners' Seminar". In this half-day workshop designed especially for participants from the portfolio management industry, Stephen Schaefer from London Business School provides an introduction to the problem of modeling credit risk, describes the "structural approach", explains how it works, what its successes and failures have been and what it has to offer to practitioners who have to deal with credit risk. About Stephen Schaefer: Stephen Schaefer is Professor of Finance at London Business School. Formerly on the faculty of the Graduate School of Business at Stanford University, he has also been a visiting professor at the Universities of British Columbia, California (Berkeley), Cape Town, Chicago and Venice. He has published widely on fixed income markets, risk management, credit risk and financial regulation. At London Business School he has been at various times Research Dean, Chairman of the finance area, Director of the Institute of Finance and Accounting and a member of the School's Governing Body. In his outside academic life, Stephen Schaefer is a Senior Research Advisor to Moody's KMV, a member of Moody's Academic Research and Advisory Committee and a Non-Executive Director of Leo Fund Management. He was formerly an Independent Board Member of the Securities and Futures Authority and a Trustee-Director of Smith Breeden Mutual Funds. Program: 14.00-14.15 Welcome Rudolf Stahl, CEO Bank Gutmann AG Josef Zechner, University of Vienna and Gutmann Center 14.15-15.30 Introduction to Credit Risk - What is default? - How to model default - the main alternatives - The data The Structural Approach (Part I) - The basic idea (Black-Scholes-Merton[BSM]) - Limitations of BSM 15.30-16.00 - Coffee Break - 16.00-17.15 The Structural Approach (Part II) - Models with early default - Evidence on using structural models for predicting credit spreads and default probabilities Some recent research: Using structural models to understand - Hedge ratios (against the issuing firm's equity) - Duration Summary and discussion - Refreshments - Please register no later than May 23rd, 2007! Participation is free of charge, but the number of participants is limited. Registration, contact and further information: Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at