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