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