14th INTERNATIONAL CONFERENCE
C R E D I T 2015
Societal Fault Lines and Credit Risk:
The Impact of Current Economic, Institutional and Political
Developments on Credit and Risk
Venice, Italy
1 - 2 October 2015
The objective of the Conference is to bring together academics,
practitioners and PhD students working in the area of risk
management. The conference this year focuses on Societal Fault
Lines and Credit Risk: The Impact of Current Economic,
Institutional and Political Developments on Credit and Risk
and will provide an opportunity for participants engaged in research
at the forefront of this area to discuss both the causes and
implications of recent events in financial markets and may, in turn,
suggest fruitful directions for future research. The Conference is
the fourteenth of a series dedicated to various aspects of
credit risk.
The co-sponsors of the Conference are GRETA Associati
(Venice, Italy), Research Center SAFE at Goethe University
Frankfurt (Frankfurt, Germany), the University of Zurich
(Zurich, Switzerland) and Intesa Sanpaolo (Milan, Italy).
The Conference is organised under the auspices of the Department
of Economics of the University Ca’ Foscari of Venice, ABI
- Italian Banking Association and European Investment
Bank.
The Scientific Committee for the Conference consists of: Steven
Ongena (University of Zurich, Programme Chair), Mark Carey
(Board of Governors of the Federal Reserve System), Hans
Degryse (KU Leuven), Jan Krahnen (SAFE & Goethe
University), André Lucas (VU University Amsterdam), Loriana
Pelizzon (SAFE, Goethe University & Ca’ Foscari University
of Venice) and Stephen Schaefer (London Business School).
PROGRAMME
Thursday, October 1 2015
9.00 - 9.15 Welcome and
Opening Remarks
Monica Billio (Ca’ Foscari University of Venice)
Steven Ongena (University of Zurich & Swiss Finance Institute,
CREDIT 2015 Programme Chair)
9.15 - 11.00 Session I:
Organization and Risk
Key-note talk: Information, Credit and Organization, Vikrant
Vig (London Business School)
Financial Synergies and the Organization of Bank Affiliates: A
Theoretical Perspective on Risk and Efficiency, Elisa Luciano
(University of Torino) and Clas Wihlborg (Chapman University) -
Discussant: Jean-Edouard Colliard (HEC Paris)
Restructuring Failure and Optimal Capital Structure, Alfred
Lehar (University of Calgary) - Discussant: Jan Pieter Krahnen (SAFE
&
Goethe University Frankfurt)
11.45 - 13.00 Session II:
Systemic Risk
Key-note talk: Risk Premia in Loan Markets, Mark Carey
(Board of Governors of the Federal Reserve System)
Soft Budget Constraints and Systemic Risk, Alan D. Morrison
(University of Oxford) and Ansgar Walther (University of Oxford) -
Discussant: Alessandro Fontana (Joint Research Center,
European Commission)
14.15 - 15.15 Session III:
Securitization
Arbitraging the Basel Securitization Framework: Evidence from
German ABS Investment, Matthias Efing (Swiss Finance
Institute & University of Geneva) - Discussant: Stephen Schaefer
(London Business School)
Securitisation, Bank Capital and Financial Regulation: Evidence
from European Banks, Alessandro Diego Scopelliti (University
of Warwick & University of Reggio Calabria) - Discussant: André
Lucas (VU
University Amsterdam & Tinbergen Institute)
15.15 - 16.15 Poster
Session 1
16.15 - 18.00 Session IV: Housing Credit
Risk
Key-note talk: Beyond Mortgages: Equity Financing of
Homes, Hayne Leland (University of California, Berkeley)
Loan Product Steering in Mortgage Markets, Sumit Agarwal
(National University of Singapore), Gene Amromin (Federal Reserve
Bank of Chicago), Itzhak Ben-David (Ohio State University) and
Douglas D. Evanoff (Federal Reserve Bank of Chicago) - Discussant:
Geng Li (Board of Governors of the Federal Reserve System)
Loan Originations and Defaults in the Mortgage Crisis: The Role
of the Middle Class, Manuel Adelino (Duke University,
Durham), Antoinette Schoar (MIT Sloan School of Management,
Cambridge & NBER) and Felipe Severino (Dartmouth,
Hanover) - Discussant: Isaac Hacamo (Indiana University,
Bloomington)
Friday, October 2 2015
9.00 - 10.30 Session V:
Information Asymmetries
Rating Agencies and Information Efficiency: Do Multiple Credit
Ratings Pay Off? The Case of RMBS Rating Migration, Stefan
Morkoetter (University of St. Gallen), Roman Stebler (University of
St. Gallen) and Simone Westerfeld (University of Applied Sciences
Northwestern Switzerland) - Discussant: Douglas T. Breeden (Duke
University)
Show Me Yours and I’ll Show You Mine: Sharing Borrower
Information in a Competitive Credit Market, Jaap Bos
(Maastricht University), Ralph De Haas (EBRD and Tilburg University)
and Matteo Millone (VU University Amsterdam) - Discussant: Reinhard
Schmidt (SAFE & Goethe University Frankfurt)
Information, Contract Design, and Unsecured Credit Supply:
Evidence from Credit Card Mailings, Song Han (Board of
Governors of the Federal Reserve System), Benjamin J. Keys
(University of Chicago) and Geng Li (Board of Governors of the
Federal Reserve System) - Discussant: Arjen Siegmann (VU University
Amsterdam)
11.15 - 13.00 Session VI:
Interbank Market and Liquidity Risk
Key-note talk: Central Bank Policies and Bank Credit
Risk, Viral Acharya (New York University)
Lending-of-last-resort Is as Lending-of-last-resort Does: Central
Bank Liquidity Provision and Interbank Market Functioning in the
Euro Area, Carlos Garcia de Andoain (European Central Bank),
Florian Heider (European Central Bank), Marie Hoerova (European
Central Bank) and Simone Manganelli (European Central Bank) -
Discussant: Marti G. Subrahmanyam (New York University)
The Euro Interbank Repo Market, Loriano Mancini (Swiss
Finance Institute), Angelo Ranaldo (University of St. Gallen) and
Jan Wrampelmeyer (University of St. Gallen) - Discussant: Alain
Monfort (CREST & Banque de France)
14.30 - 15.30 Session VII:
Inequality and Credit Risk
Does Inequality Cause Financial Distress? Evidence from
Lottery Winners and Neighboring Bankruptcies, Sumit Agarwal
(National University of Singapore), Vyacheslav Mikhed (Federal
Reserve Bank of Philadelphia) and Barry Scholnick (University of
Alberta) - Discussant: Roger M. Stein (MIT Laboratory for Financial
Engineering, Cambridge)
Conflicting Security Laws and The Democratization of Credit:
France's Reform of the Napoleonic Code, Kevin Aretz
(Manchester Business School), Murillo Campello (Cornell University
& NBER) and Maria-Teresa Marchica (Manchester Business School) -
Discussant: Matteo Millone (VU University Amsterdam)
15.30 - 16.30 Poster
Session 2
16.30 - 18.00 PANEL Session
REGISTRATION
To register for the Conference you are requested to complete the
registration form that is available on our website (
http://www.greta.it/credit/credit2015/credit2015.htm).
Registration fees are:
Academics:
300 Euro + VAT
Practitioners:
1000 Euro + VAT
Academics Poster Presenter: 130 Euro + VAT
Practitioners Poster Presenter: 500 Euro + VAT
PhD Students*:
130 Euro + VAT
VAT is currently 22%
For participants presenting a paper there are no fees.
*Students will have to provide valid proof of their student status.
The registration fees cover:
- Admission to all scientific sessions
- Lunches and coffee service during the Conference
- Conference kit
The registration fees do not fully cover the conference dinner on
October 1st, 2015, for which there is an extra charge of 80.00 Euro
per person (conference attendees as well as accompanying persons).
For more detailed information (registration, accommodation and
Conference venue), please refer to the Conference website: