CREDIT2018 http://www.greta.it/credit/credit2018/credit2018.htm

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*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 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)

Sponsors**

*GRETA* http://www.greta.it/

*EIF* http://www.eif.org/index.htm

*European Datawarehouse* https://eurodw.eu/

*IntesaSanpaolo* http://www.group.intesasanpaolo.com/scriptIsir0/si09/eng_index.jsp

Auspices**

*ABI* http://www.abi.it/Pagine/default.aspx

*EIB* http://www.eib.org/

http://www.unive.it/pag/16892

**PROGRAMME

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*Thursday, September 27 2018*

* 9.15 - 11.00  Session I: RECENT DEVELOPMENTS IN CREDIT RISK MEASUREMENT *- Chairman: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR)

• *Key-note talk:* /Trade Credit - for Better or Worse: Contagion, Risk-sharing, and Pricing/, *Tor Jacobsen*(Sweden's Central Bank) • /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) - Discussant: *Monica Billio *(Ca’ Foscari University of Venice & GRETA) • /Estimation of Probability of Default with Machine Learning Techniques: A Comparative Approach/, *Stefano Bonini *(Accenture Finance&Risk & University of Bologna) and Giuliana Caivano (Accenture Finance&Risk & University of Bologna) - Discussant: *Roberto Casarin *(Ca’ Foscari University of Venice & GRETA)

*11.30 - 13.00  Session II: DISCIPLINING BANKS, BAILOUTS AND BAIL-INS *- Chairman: *Alain Monfort *(CREST & Bank of France)

• /Unconventional Monetary Policy and Credit Rating Inflation/, Nordine Abidi (European Central Bank), *Matteo Falagiarda* (European Central Bank)and Ixart Miquel-Flores (European Central Bank) - Discussant: *Stephen Schaefer* (London Business School) • /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) - Discussant: *Hans Degryse* (KU Leuven, Halle Institute for Economic Research & CEPR) • /Does Size Matter? Bailouts with Large and Small Banks/, Eduardo Dávila (New York University & NBER) and*Ansgar Walther* (University of Warwick) - Discussant:*Guillaume Plantin *(Sciences Po & CEPR)

*14.30 - 16.00  Session III: * *BANK LENDING POLICIES *- Chairman: *Stephen Schaefer* (London Business School)

• /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) - Discussant:*Glenn Schepens* (European Central Bank) • /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)- Discussant: *Mike Mariathasan* (KU Leuven) • /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) - Discussant: *Christoph Basten *(University of Zurich)

*16.00 - 17.00  Poster Session 1*

*17.00 - 18.00  Session IV: DEFAULTS: TIME AND CONTAGION *- Chairman: *Domenico Sartore *(Ca’ Foscari University of Venice & GRETA)**

• /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) - Discussant: *Andrea Giacomelli *(Knowshape & GRETA) • /Time Matters: How Default Resolution Times Impact Final Loss Rates/, *Jennifer Betz* (Regensburg University), Ralf Kellner (Regensburg University) and Daniel Rösch (Regensburg University) - Discussant: *Alain Monfort* (CREST & Bank of France)

*Friday, September 28 2018*

*9.00 - 11.00   Session V: ***DEFAULTS, DEFAULT RISK AND DERIVATIVES**- Chairman: *Helmut Kraemer-Eis *(European Investment Fund)**

• /The European Venture Capital Landscape: an EIF Perspective/, Helmut Kraemer-Eis (European Investment Fund) and *Simone Signore*(European Investment Fund) /• 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)- Discussant: *Ludovic Thebault* (European DataWarehouse) • /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) - Discussant: *Yalin Günduz* (Deutsche Bundesbank) • /The Differential Impact of Leverage on the Default Risk of Small and Large Firms/, Lara Cathcart (Imperial College London), Alfonso Dufour (ICMA Centre & University of Reading), Ludovico RossiICMA Centre & University of Reading) and *Simone Varotto* (ICMA Centre & University of Reading) - Discussant: *Roberto Savona *(University of Brescia)

*11.30 - 13.15  Session VI: ***BANKS, COLLATERAL AND ASYMMETRIC INFORMATION **- Chairman: *Davide Alfonsi *(Intesa Sanpaolo, Turin)**

•*Key-note talk: *C/ustomers 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) - Discussant: *Bogdan Stacescu* (BI Norwegian Business School) • /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) - Discussant: *Olivier De Jonghe* (National Bank of Belgium & Tilburg University)

*14.30 - 16.00  PANEL Session***: SMALL BUSINESS RISK, FINANCIAL REGULATION AND BIG DATA ANALYTICS**- Moderator: *Fabrizio Galimberti* (Columnist, Il Sole 24 Ore)

*_Participants:_* *D**avide Alfonsi *(Group Risk Manager, Intesa Sanpaolo, Turin) *Renzo Avesani* (Chief Risk Officer, Unipol Gruppo Finanziario, Bologna) *Francesco Giavazzi* (Full professor of Economics, Bocconi University, Milan) *Dale Gray* (Senior Risk Expert, International Monetary Fund, Washington) *Nina B. Shapiro* (former Vice President Finance and Treasurer, World Bank Group's International Finance Corporation, Washington)

*16.00 - 17.00  Poster Session 2*

*17.00 - 18.15  Session VII: BANKS AND INCENTIVES *- Chairman: *Ludovic Thebault* (European DataWarehouse)

• *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) - Discussant: *Roman Goncharenko* (University of Vienna moving to KU Leuven)

**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:

Academics:

300 Euro + VAT

Practitioners:

1000 Euro + VAT

PhD Students*:

130 Euro + VAT

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*VAT is currently 22%*

*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 27th, 2018, for which there is an extra charge of 90.00 Euro per person (conference attendees as well as accompanying persons).

More detailed information available on the Conference website:

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