17^th INTERNATIONAL CONFERENCE

CREDIT 2018

*/SMALL BUSINESS RISK, FINANCIAL REGULATION/*

*/and BIG DATA ANALYTICS/*

**

27 – 28 September 2018

Palazzo Franchetti – Venice, Italy

*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.

The Scientific Committee 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 *(European Investment Fund)

·*Jan Peter 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)

**

PROGRAMME

*Thursday, September 27 2018*

09.00 - 09.15 _Welcome and Opening Remarks_

*Hans Degryse*(KU Leuven, Halle Institute for Economic Research & CEPR, Programme Chair)

09.15 - 11.00 _Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT_

·*Key-note talk:*/Trade Credit - for Better or Worse: Contagion, Risk-sharing, and Pricing, /*Tor Jacobson* (Sveriges Riksbank, Stockholm)

·/Credit Risk Analysis Using Machine and Deep Learning Models, /Peter Martey Addo (French Development Agency & Laboratory of Excellence for Financial Regulation, Paris), *Dominique Guegan* (Laboratory of Excellence for Financial Regulation, Paris, University Paris 1 Pantheon Sorbonne & Ca’ Foscari University of Venice) and Bertrand Hassani (Laboratory of Excellence for Financial Regulation, Paris & Capgemini Consulting, Courbevoie)

·/Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach, /*Stefano Bonini*(University of Bologna) and Giuliana Caivano (University of Bologna)

11.30 - 13.00 _Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS_

·/Unconventional Monetary Policy and Credit Rating Inflation, /Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank) and Ixart Miquel-Flores (European Central Bank)

·/Sharing the Pain? Credit Supply and Real Effects of Bank Bail-ins, /Thorsten Beck (University of London, CEPR & CESifo), Samuel Da-Rocha-Lopes (European Banking Authority & Nova School of Business & Economics, Lisbon) and *André F. Silva* (University of London & International Monetary Fund)

·/Does Size Matter? Bailouts with Large and Small Banks, /Eduardo Dávila (New York University & NBER) and *Ansgar Walther* (Imperial College London)

14.30 - 16.00 _Session III: BANK LENDING POLICIES_

·/Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits, /Oscar Arce (Bank of Spain), Miguel García-Posada (European Central Bank), *Sergio Mayordomo* (Bank of Spain) and Steven Ongena (University of Zurich, Swiss Finance Institute, KU Leuven & CEPR)

·/Loan Underwriting Time: A New Determinant of Bank Lending Standards, /Mikel Bedayo (Bank of Spain), *Gabriel Jiménez* (Bank of Spain), José-Luis Peydró (ICREA, Pompeu Fabra University, Barcelona Graduate School of Economics, Imperial College London & CEPR) and Raquel Vegas (Bank of Spain)

·/Can Technology Undermine Macroprudential Regulation? Evidence from Peer-to-Peer Credit in China, /Fabio Braggion (Tilburg University & CentER), *Alberto Manconi* (Bocconi University) and Haikun Zhu (Tilburg University & CentER)

16.00 - 17.00 _Poster Session 1_

17.00 - 18.00 _Session IV: DEFAULTS: TIME AND CONTAGION_

·/Disastrous Defaults/, Christinan Gouriéroux (University of Toronto & Toulouse School of Economics), Alain Monfort (CREST & Bank of France), Sarah Mouabbi (Bank of France) and *Jean-Paul Renne *(HEC Lausanne)

·/Time Matters: How Default Resolution Times Impact Final Loss Rates, /*Jennifer Betz*(Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University)

*Friday, September 28 2018*

09.00 - 11.00 _Session V: INVESTMENT, FINANCING AND DEFAULT RISK_

·/Residential mortgage defaults and positive equity: Lessons from Europe, /Virginia Gianinazzi (Università della Svizzera Italiana & Swiss Finance Institute), Loriana Pelizzon (Ca’ Foscari University of Venice & SAFE-Goethe University Frankfurt) and *Alberto Plazzi* (Università della Svizzera Italiana & Swiss Finance Institute)

·/The Differential Impact of Leverage on the Default Risk of Small and Large Firms, /Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & Henley Business School), Ludovico Rossi (ICMA Centre & Henley Business School) and *Simone Varotto* (ICMA Centre & Henley Business School)

·/Credit Default Swaps Around the World: Investment and Financing Effects/, Söhnke M. Bartram (Warwick Business School), Jennifer Conrad (University of North Carolina at Chapel Hill), Jongsub Lee (University of Florida) and *Marti G. Subrahmanyam* (New York University)

·/The European Venture Capital Landscape: an EIF Perspective, /Helmut Kraemer-Eis (European Investment Fund) and *Simone Signore* (European Investment Fund)

11.30 - 13.15 /Session VI: BANKS, COLLATERAL AND ASYMMETRIC INFORMATION/

·*Key-note talk:*/Customers and Investors: A Framework for Understanding Financial Institutions, /*Robert Merton* (Massachusetts Institute of Technology & NBER)

·/Collateral and Asymmetric Information in Lending Markets, /Vasso Ioannidou (Lancaster University & CEPR), *Nicola Pavanini* (Tilburg University & CEPR) and Yushi Peng (University of Zurich & Swiss Finance Institute)

·/Lending Relationships and the Collateral Channel, /Gareth Anderson (Bank of England), Saleem Bahaj (Bank of England), *Matthieu Chavaz* (Bank of England), Angus Foulis (Bank of England) and Gabor Pinter (Bank of England)

14.30 - 16.00 _PANEL SESSION_

16.00 - 17.00 _Poster Session 2_

17.00 - 18.15 _Session VII: BANKS AND INCENTIVES_

·*Key-note talk:*/Marking to Market versus Taking to Market, /*Guillaume Plantin* (Sciences Po & CEPR)

·/Bank Bonus Pay as a Risk Sharing Contract, /*Matthias Efing*(HEC Paris), Harald Hau (University of Geneva, CEPR & Swiss Finance Institute), Patrick Kampkötter (University of Tübingen) and Jean-Charles Rochet (University of Geneva & Swiss Finance Institute)

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/credit2018/credit2018.htm_).

Registration fees are:

Early registrationLate registration

(within August 31^st )(from September 1^st on)

Academics:250 Euro + VAT300 Euro + VAT

Practitioners:800 Euro + VAT1000 Euro + VAT

Academics Poster Presenter:130 Euro + VAT130 Euro + VAT

Practitioners Poster Presenter:500 Euro + VAT500 Euro + VAT

PhD Students*:80 Euro + VAT130 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 September 27^th , 20178, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons).

IMPORTANT DATES

August 31, 2018: Deadline for sending final version of accepted papers

August 31, 2018: Deadline for early registration

More detailed information available on the Conference website:

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