Conference on the Interaction of Market and Credit Risk on 6-7 December 2007

Research Task Force of the Basel Committee on Banking Supervision and the Journal of Banking & Finance, hosted by the Deutsche Bundesbank

The rapid pace of financial innovation has brought the relationship between market and credit risk to the forefront of researchers' attention. A driving force behind this development is the strong growth of market instruments which blur the dividing lines between established concepts of market and credit risk. Leading examples are the steadily increased trading of credit products, the development of structured credit, improved counterparty credit risk management and the use of bank-wide portfolio management tools.

In light of these market developments a workshop on the "Interaction of Market and Credit Risk" will be held (1) to present state-of-the-art research on advances in risk modelling in this area; and (2) to provide a forum for debate among policy makers, researchers and market participants.

The organisers are inviting the submission of empirical, policy-oriented, and theoretical research papers on the relationships between market and credit risk. Researchers from universities, private sector institutions, supervisory authorities and central banks are encouraged to submit papers for presentation. Submissions should be of high quality, originality and of relevance to risk management or bank supervision. The topics listed below are of particular interest. Furthermore, they should be limited to unpublished, recent work in progress. Accepted papers will be eligible for a special issue of the Journal of Banking & Finance, subject to a referee process.

Topics
The programme committee is encouraging the submission of papers in the following areas:

(a) Integrated modelling and management of market and credit risk.
(b) Joint pricing and trading of market and credit risk.
(c) Potential implications of the integrated modelling and pricing of market and credit risk for bank behaviour and capital holding.

Instructions for authors on submissions to the workshop can be found in the Call for Papers. (PDF 16 kb)

See the conference program