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 - apologies for any cross-postings!! - June 1st, 2007; 9.00 am - 6.30 pm University of Vienna, Aula Campus 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. NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED PLEASE REGISTER VIA E-MAIL NOT LATER THAN May 21st: gutmann.bwl(a)univie.ac.at PROGRAM: 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 "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: "Credit Risk Markets - Opportunities and Challenges" Discussants: - Joe Biernat - European Credit Management Limited (ECM) - Pierre Collin-Dufresne - UC Berkeley and 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 "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne -UC Berkeley/Goldman Sachs Asset Management "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft -University of Kaiserslautern "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University - cocktails - Sessions will be chaired and discussed by members of the Academic Advisory Board: - Engelbert Dockner, University of Vienna - Robert Korajczyk, Northwestern University - Suresh Sundaresan, Columbia University - Klaus Spremann, University St. Gallen - Neal Stoughton, University of Calgary - Josef Zechner, University of Vienna Participation fee: the participation is free, but all participants are required to register: gutmann.bwl(a)univie.ac.at 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 E-mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at