Workshop 'Concentration Risk in Credit Portfolios': Programme

October 2005

Frankfurt/Eltville, 18-19 November 2005

Joint workshop of the Deutsche Bundesbank, the Basel Committee on Banking Supervision and the Journal of Credit Risk.


Thursday, 17 November 2005
  Individual arrival of conference participants and check-in at the Bundesbank Training Centre (address: Erbacher Strasse 18, 65343 Eltville am Rhein, Tel.: +49 6123 901-0, Fax: +49 6123 901399)
19:30 - 21:30 Buffet-style evening meal

Friday, 18 November 2005
8:00 - 8:30 Registration
8:30 - 8:45 Welcome address by Edgar Meister (Deutsche Bundesbank)
8:45 - 9:00 Opening remarks by Michael Gordy (Board of Governors of the Federal Reserve System)
9:00 - 9:50 A simple multi-factor "Factor Adjustment" for the treatment of diversification in credit capital rules (PDF, 35 pages, 1749 kb)
  Garcia Cespedes, Juan Carlos (BBVA)
  de Juan Herrero, Juan Antonio (BBVA)
  Kreinin, Alex (Algorithmics Inc)
  Rosen, Dan (The Fields Institute for Research in Mathematical Sciences)
  Discussant:
Pykthin, Michael (Bank of America)
9:50 - 10:40 The effects of name and sector concentrations on the distribution of losses for portfolios of large wholesale credit Exposures (PDF, 37 pages, 366 kb)
  Burton, Steve (Federal Deposit Insurance Corporation)
  Chomsisengphet, Souphala (Office of the Comptroller of the Currency)
  Heitfield, Erik (Federal Reserve Board)
  Discussant:
Rösch, Daniel (University of Regensburg)
10:40 - 11:10 Coffee break
11:10 - 12:00 Dependent credit migrations (PDF, 30 pages, 530 kb)
  McNeil, Alexander John (Swiss Federal Institute of Technology Zurich)
  Wendin, Jonathan (Swiss Federal Institute of Technology Zurich)
  Discussant:
Couderc, Fabien (RiskMetrics Group, Inc.)
12:00 - 12:50 Credit risk versus capital requirements under Basel II: are SME loans and retail credit really different? (PDF, 29 pages, 746 kb)
  Jacobson, Tor (Sveriges Riksbank)
  Lindé, Jesper (Sveriges Riksbank)
  Roszbach, Kasper (Sveriges Riksbank)
  Discussant:
Frye, Jon (Federal Reserve Bank of Chicago)
12:50 - 14:15 Lunch
14:15 - 15:05 Underestimation of sector concentration risk by misassignment of borrowers (PDF, 17 pages, 432 kb)
  Morinaga, Satoshi (Financial Services Agency, Japan)
  Shiina, Yasushi (Financial Services Agency, Japan)
  Discussant:
Frye, Jon (Federal Reserve Bank of Chicago)
15:05 - 15:55 The joys of industrial diversification in the stock and Eurobond markets (PDF, 36 pages, 448 kb)
  Varotto, Simone (ICMA Centre, University of Reading)
  Discussant:
Raupach, Peter (Deutsche Bundesbank)
15:55 - 16:25 Coffee break
16:25 - 17:15 Credit risk concentrations under stress (PDF, 19 pages, 426 kb)
  Bonti, Gabriel (Deutsche Bank AG)
  Kalkbrener, Michael (Deutsche Bank AG)
  Lotz, Christopher (Bundesanstalt f¿r Finanzdienstleistungsaufsicht)
  Stahl, Gerhard (Bundesanstalt f¿r Finanzdienstleistungsaufsicht)
  Discussant:
Summer, Martin (Austrian National Bank)
17:15 - 18:15 Panel discussion
  De Servigny, Arnaud (Standard & Poor's)
  Düllmann, Klaus (Deutsche Bundesbank)
  Fritz-Morgenthal, Sebastian (WestLB AG)
  Heitfield, Erik (Board of Governors of the Federal Reserve System)
  Rosen, Dan (The Fields Institute for Research in Mathematical Sciences)
19:30 Dinner with wine-tasting (Baron Knyphausen, Draiser Hof, Erbacher Strasse 28, 65346 Eltville-Erbach im Rheingau)

Saturday, 19 November 2005
9:00 - 9:50 Common failings: how corporate defaults are correlated (PDF, 29 pages, 516 kb)
  Das, Sanjiv R (Santa Clara University)
  Duffie, Darrell (Stanford University)
  Kapadia, Nikunj (University of Massachusetts)
  Discussant:
Perraudin, William (Tanaka Business School)
9:50 - 10:40 Risk contributions in an asymptotic multi-factor framework (PDF, 22 pages, 513 kb)
  Tasche, Dirk (Deutsche Bundesbank)
  Discussant:
Overbeck, Ludger (Justus-Liebig-Universität Gießen)
10:40 -11:10 Coffee break
11:10 - 12:00 Portfolio credit risk models with interacting default intensities: A Markovian approach (PDF, 27 pages, 620 kb)
  Backhaus, Jochen (University of Leipzig)
  Frey, Rüdiger (University of Leipzig)
  Discussant:
Rau-Bredow, Hans (Bayerische Julius-Maximilians-Universität Würzburg)
12:00 - 14:00 Lunch
14:00 Transportation by bus to Frankfurt airport and Frankfurt main railway station