Organizing Committee:
Rossella Agliardi: rossella.agliardi@unibo.it
Paola Brighi: paola.brighi@unibo.it
Maria Letizia Guerra: marialetizia.guerra@rimini.unibo.it

Tuesday

10.00 – Welcoming address

Introduction and Chairman. Rossella Agliardi, University of Bologna

10.15 - Monique Jeanblanc , Université d'Evry Val d'Essonne,  “Dynamic model for CDS’s in a multiname setting“
11.15 - Holger Kraft , University of  Kaiserslautern ,  “Pricing and asset allocation with bankruptcy and contagion“
12.15 - Stefan Kassberger , University of Ulm  “CPPI and CPDO strategies in Lévy markets”

13.30 - Lunch

Introduction and Chairman. Maria Letizia Guerra, University of Bologna

15.00 - Rita D’Ecclesia , University La Sapienza, Roma , “CDs: a key tool to measure credit risk”
15.30 - Alessandro Sbuelz, University of Verona, “Systematic equity-based credit risk: a CEV model with jump to default”
16.00 - Umberto Cherubini , University of Bologna, “Accounting fraud and the pricing of corporate liabilities”

16.30  - Coffee break

16.40 -  Chiara Pederzoli, University of Milano-Bicocca, “Banks’ optimal rating systems and procyclicality in a general equilibrium framework”
17.10 - Marco Tolotti, University “Bocconi” Milano, “Large portfolio losses: a dynamic contagion model”
17.40 - Viviana Fanelli, University of Foggia, “Numerical implementation of a credit risk model in the HJM framework”

Wednesday

Introduction and Chairman. Paola Brighi, University of Bologna and RCEA

10.00 - Svetlozar T. Rachev , University of Karlsruhe, “Momentum strategies using risk-adjusted stock selection criteria”
11.00 - Gabriella Chiesa , University of Bologna and RCEA– “Risk transfer, lending capacity and real investment activity”
12.00 - Maria Letizia Guerra, University of Bologna, “ Risk management in a fuzzy scenario”
12.30 - Rossella Agliardi, University of Bologna,” A revisitation of Geske model for defaultable bonds”

13.00 - Lunch