17^th INTERNATIONAL CONFERENCE

CREDIT 2018

Small Business Risk, Financial Regulation

and Big Data Analytics

Venice, Italy

27 –28 September 2018

GRETA Associati (Venice, Italy), the European Investment Fund (EIF, Luxembourg), European DataWarehouse (Frankfurt am Main, Germany) and Intesa Sanpaolo (Milan, Italy) are co-sponsors of a Conference to be held in Venice on September 27-28, 2018. The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of risk management. The conference 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, organised under the auspices of the Department of Economics of the University Ca’ Foscari of Venice, ABI - Italian Banking Association and European Investment Bank, is the seventeenth of a series dedicated to various aspects of credit risk.

Since 2007, the financial crisis has triggered deep changes of various kinds. Central banks have experimented with new monetary policies (low interest rates, quantitative easing, forward guidance...). In the meantime, the first steps towards a more neutral monetary policy are taken. The banking industry has had to develop new asset management strategies and to adjust its credit allocation practices in order to cope with a new environment characterized, in particular, by a prolonged period of very low risk-free returns. Meanwhile, regulatory frameworks have been reshaped all around the world, with the introduction of new requirements or guidelines including regulation on credit impairment provisioning. All these changes have called for a substantial amount of research to improve the knowledge of the mechanisms at play during the crisis, to design adapted policy tools and to provide a better description of the new economic and financial environment.

The organizers encourage submissions of papers on any topic within the overall theme of the conference and in the following areas in particular:

• Loan level data and credit risk analysis: credit registries; big data analytics; credit risk measurement; credit risk modelling;
• Financial regulation and credit cycles: macro-prudential regulation; banking cycles; bank business models; rational inattention;
• Macro-economic determinants of SMEs’ credit risk and SME loan portfolios: ECB policy; macro-parameters for SMEs’ credit risk; industry sector specialization; loan portfolio allocation;
• IFRS9, credit impairments and SME financing: expected credit loss; internal models versus standardized approach; procyclicality;
• The economic impact of government support measures (i.e. Credit Guarantee Schemes, Venture Capital): availability; real effects; inequality;
• Monetary policy, financial regulation and credit cycles: unconventional monetary policy; monetary policy normalization; macro-prudential tools; banking cycles;
• Macro-prudential regulation and real estate valuation: macro-prudential tools; loan-to-value; loan-to-income; collateral value; real estate prices.

The Scientific Committee for the Conference consists of:

Hans Degryse (KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair); Monica Billio (Ca’ Foscari University of Venice & GRETA); Vasso Ioannidou (Lancaster University & CEPR); Helmut Kraemer-Eis (Head of Research & Market Analysis, Chief Economist, EIF); Jan Pieter Krahnen (SAFE - Goethe University); Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR); Guillaume Plantin (Sciences Po & CEPR); Stephen Schaefer (London Business School); Enrico Sette (Bank of Italy); Ludovic Thebault (European DataWarehouse).

CALL FOR PAPERS

The final program will include both submitted and invited papers. Acceptances received so far from invited speakers include Tor Jacobson (Sveriges Riksbank), Robert C. Merton (MIT Sloan School of Management), and Guillaume Plantin (Sciences Po & CEPR). The Conference will also feature a panel discussion on researchers' and practitioners' views of the major outstanding problems.

Those wishing to present a paper at the Conference should submit by May 25, 2018 to the address given below (preferably in electronic format). Please indicate to whom correspondence should be addressed. Decisions regarding acceptance will be made by June 25, 2018. The final version of accepted papers must be received by August 31, 2018.

European DataWarehouse (Frankfurt am Main, Germany) will offer access to its ABS loan level database to the authors of the selected papers on the following topics: loan level data, credit risk analysis, loan level data analytics, credit risk measurement, credit risk modelling, loan-to-value, loan-to-income, collateral value, real estate valuations. The access to the database will be given for a period of 1 year.

Please send papers to:

GRETA Associati

San Polo, 2605 - 30125 Venice, ITALY

Phone : +39 041 5238178

e-mail: credit@greta.it

More detailed information available on the Conference website:

http://www.greta.it/credit/credit2018/credit2018.htm

* Please accept our apologies for any crossed e-mails.