The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2007: CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS - With copious apologies for duplicated emails! - June 1st, 2007 - 9.00 am - 6.30 pm, University of Vienna (Austria) Aula Altes AKH, Hof 1, Alser Str. 4, 1090 Wien Fixed income products and credit derivatives represent booming markets with predictable cash-flows and attractive return-risk profiles. Still, the economic relationships underlying these products are very sophisticated. Determinants of credit spreads, the price of default and liquidity risk and models of default correlations are important questions in academic research and have immediate implications for fixed income fund management. At the Gutmann Symposium 2007 internationally recognized experts will address these issues and present their most current research results. 08.30-09.00 Registration 09.00-09.15 WELCOME Josef Zechner - University of Vienna 09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS Chair: Josef Zechner - University of Vienna "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto Discussant: Youchang Wu - University of Vienna "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary Discussant: Thomas Steinberger - University of Vienna "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School Discussant: Alexander David - University of Calgary 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK Chair: Klaus Spremann - University St. Gallen "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam Discussant: Holger Kraft - University of Kaiserslautern "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University Discussant: Stefan Pichler - Wirtschaftsuniversität Wien "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University Discussant: Ashay Kadam - Cass Business School 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: CREDIT RISK MARKETS - OPPORTUNITIES AND CHALLENGES Chair: Engelbert Dockner - University of Vienna Discussants: Joe Biernat - European Credit Management Limited (ECM) Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Stephen Schaefer - London Business School Suresh Sundaresan - Columbia University Friedrich Strasser - Bank Gutmann AG 15.30-16.00 - coffee break - 16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS Chair: Stephen Schaefer - London Business School "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Discussant: Neal Stoughton - University of Calgary "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University Discussant: Thomas Dangl - Vienna University of Technology 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT Chair: Robert Korajczyk - Northwestern University "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft - University of Kaiserslautern Discussant: Helmut Elsinger - University of Vienna "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University Discussant: Otto Randl - Anaxo - refreshments - Participation fee: the participation is free, but all participants are required to register. Contact: Gutmann Center for Portfolio Management University of Vienna - Dorothea Grimm - gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Web: www.gutmann-center.at