INVITATION / CONFERENCE ANNOUNCEMENT The WU Gutmann Center for Portfolio Management is proud to invite to its seventh symposium.

WU GUTMANN CENTER SYMPOSIUM 2013: “SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT”

JUNE 11, 2013 – 09:00-17:30

LOCATION: WU (Vienna University of Economics and Business) Augasse 2-6, (UZA 1), Festsaal, 1090 Vienna (Austria)

REGISTRATION: Participation is free of charge, but REGISTRATION IS REQUIRED at gutmann-center@wu.ac.at

CONFERENCE HOMEPAGE: http://www.wu.ac.at/wuw/other/gc/whatwedo/bridging/symposia/2013/index CONTACT AND FURTHER INFORMATION: www.gutmann-center.at

Recent years have shown a widespread and largely unexpected increase in sovereign credit risk. Its consequences still affect financial markets, the investment industry and economies around the world. The associated challenge to understand its origins and to investigate its consequences is still a major subject of political, economic and scientific debate, which may well last for another couple of years.

The main purpose of the WU Gutmann Symposium 2013 is to discuss various dimensions of sovereign credit risk and its implications for asset management. The papers of the symposium will focus on the following range of topics: sovereign credit risk, risk premia and stock market response; the role of governments and political uncertainty; banks' behavior and their systemic risk; sovereign bond and CDS markets.

We are proud to welcome highly renowned experts from all over the world who will present their state-of-the-art research in the field, and cordially invite you to attend the WU Gutmann Center Symposium 2013.

Nobel laureate William F. Sharpe, member of the WU Gutmann Center’s Academic Advisory Board, will open the symposium and chair the first session.

**PROGRAM**

08:30 Registration

09:00-09:15 WELCOME Alexander Mürmann, Program Chair, WU Gutmann Center Regina Prehofer, Vice-Rector, Financial Affairs and Infrastructure, WU Friedrich Strasser, CIO and Member of the Board of Management, Bank Gutmann AG

09:15-10:45 SESSION I Chair: **William F. Sharpe, Stanford University**

THE DYNAMICS OF SOVEREIGN CREDIT RISK Alexandre Jeanneret, HEC Montréal Discussant: Rüdiger Frey, WU

THE WORLD PRICE OF CREDIT RISK Gergana Jostova, George Washington University Discussant: Nils Friewald, WU SOVEREIGN BOND RISK PREMIUMS Engelbert J. Dockner, WU Discussant: Kerstin Bernoth, DIW Berlin

10:45-11:15 Coffee Break

11:15-12:45 SESSION II Chair: Elroy Dimson, London Business School

THE ASSET PRICING IMPLICATIONS OF GOVERNMENT ECONOMIC POLICY UNCERTAINTY Jonathan Brogaard, University of Washington Discussant: Benjamin Born, University of Mannheim SOVEREIGN DEBT RATING CHANGES, INSTITUTIONAL QUALITY AND THE STOCK MARKET George P. Nishiotis, University of Cyprus Discussant: Hermann Elendner, Humboldt-Universität zu Berlin THE SYSTEMIC RISK OF EUROPEAN BANKS DURING THE FINANCIAL AND SOVEREIGN DEBT CRISES Xin Huang, University of Oklahoma Discussant: David Veredas, Université libre de Bruxelles

12:45-13:45 Lunch Break

13:45-15:15 SESSION III: Chair: Christian Laux, WU

GOVERNMENT GUARANTEES AND FINANCIAL STABILITY Agnese Leonello, University of Pennsylvania Discussant: Hendrik Hakenes, University of Bonn THE “GREATEST” CARRY TRADE EVER? UNDERSTANDING EUROZONE BANK RISKS Sascha Steffen, European School of Management and Technology, Berlin Discussant: Josef Zechner, WU

SAFER RATIOS, RISKIER PORTFOLIOS: BANKS’ RESPONSE TO GOVERNMENT AID Denis Sosyura, University of Michigan Discussant: Gyöngyi Lóranth, University of Vienna

15:15-15:45 Coffee Break

15:45-17:15 SESSION IV Chair: Robert Korajczyk, Northwestern University

CDS AND SOVEREIGN BOND MARKET LIQUIDITY Batchimeg Sambalaibat, Carnegie Mellon University Discussant: Giovanni Calice, University of Birmingham THE EXODUS FROM SOVEREIGN RISK: SOVEREIGN CEILING VIOLATIONS IN CREDIT DEFAULT SWAP MARKETS Jongsub Lee, University of Florida Discussant: Peter Posch, University of Ulm CREDIT-RISK VALUATION IN THE SOVEREIGN CDS AND BONDS MARKETS: EVIDENCE FROM THE EURO AREA CRISIS Sergio Mayordomo (University of Navarra) Discussant: Alois Geyer, WU 17:15 Concluding Remarks and Refreshments