Gutmann Center Symposium 2013

SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT

June 11, 2013

Recent years have shown a widespread and largely unexpected increase in sovereign credit risk. Its consequences still affect financial markets, the investment industry and economies around the world. The associated challenge to understand its origins and to investigate its consequences is still a major subject of political, economic and scientific debate, which may well last for another couple of years.

The main purpose of the WU Gutmann Symposium 2013 is to discuss various dimensions of sovereign credit risk and its implications for asset management. The papers of the symposium will focus on the following range of topics: sovereign credit risk, risk premia and stock market response; the role of governments and political uncertainty; banks' behavior and their systemic risk; sovereign bond and CDS markets.

We are proud to welcome highly renowned experts from all over the world who will present their state-of-the-art research in the field, and cordially invite you to attend the WU Gutmann Center Symposium 2013. 

Location:

WU (Vienna University of Economics and Business)
Augasse 2-6, (UZA 1), Festsaal, 1090 Vienna

Registration

Participation is free of charge, but registration is required at gutmann-center@wu.ac.at 

Registration deadline: June 5, 2013

Conference Programas pdf download          
GALLERY          
PROGRAMFILES
08:30Registration
09:00-09:15           

Welcome

Alexander Mürmann, Program Chair, WU Gutmann Center

Regina Prehofer, Vice-Rector, Financial Affairs and Infrastructure, WU

Friedrich Strasser, CIO and Member of the Board of Management, Bank Gutmann AG

Program          
09:15-10:45

Session I

Chair: William F. Sharpe, Stanford University

The Dynamics of Sovereign Credit Risk

Alexandre Jeanneret, HEC Montréal

Discussant: Rüdiger Frey, WU


Presentation
Discussion          

The World Price of Credit Risk

Gergana Jostova, George Washington University

(Joint with Doron Avramov, Tarun Chordia, and Alexander Philipov)

Discussant: Nils Friewald, WU


Presentation
Discussion

Sovereign Bond Risk Premiums

Engelbert J. Dockner, WU

(Joint with Manuel Mayer and Josef Zechner)

Discussant: Kerstin Bernoth, DIW Berlin


Presentation
Discussion

10:45-11:15Coffee Break
11:15-12:45Session II
Chair: Elroy Dimson, London Business School          

The Asset Pricing Implications of Government Economic Policy Uncertainty

Jonathan Brogaard, University of Washington

(Joint with Andrew Detzel)

Discussant: Benjamin Born, University of Mannheim


Presentation
Discussion

Sovereign Debt Rating Changes, Institutional Quality and the Stock Market

George P. Nishiotis, University of Cyprus

(Joint with Alexander Michaelides, Andreas Milidonis, and Panayiotis Papakyriacou)

Discussant: Hermann Elendner, Humboldt-Universität zu Berlin


Presentation
Discussion

The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises

Xin Huang, University of Oklahoma

(Joint with Lamont Black, Ricardo Correa, and Hao Zhou)

Discussant: David Veredas, Université libre de Bruxelles


Presentation
Discussion

12:45-13:45Lunch Break
13:45-15:15Session III
Chair: Christian Laux, WU          

Government Guarantees and Financial Stability

Agnese Leonello, University of Pennsylvania

(Joint with Franklin Allen, Elena Carletti, and Itay Goldstein)

Discussant: Hendrik Hakenes, University of Bonn


Presentation
Discussion

The “Greatest” Carry Trade Ever? Understanding Eurozone Bank Risks

Sascha Steffen, European School of Management and Technology, Berlin

(Joint with Viral V. Acharya)

Discussant: Josef Zechner, WU


Presentation
Discussion

Safer Ratios, Riskier Portfolios: Banks’ Response to Government Aid

Denis Sosyura, University of Michigan

(Joint with Ran Duchin)

Discussant: Gyöngyi Lóranth, University of Vienna


Presentation
Discussion

15:15-15:45Coffee Break
15:45-17:15 

Session IV
Chair: Robert Korajczyk, Northwestern University

CDS and Sovereign Bond Market Liquidity

Batchimeg Sambalaibat, Carnegie Mellon University

Discussant: Giovanni Calice, University of Birmingham


Presentation
Discussion

The Exodus from Sovereign Risk:

Sovereign Ceiling Violations in Credit Default Swap Markets

Jongsub Lee, University of Florida

(Joint with Andy Naranjo and Stace Sirmans)

Discussant: Peter Posch, University of Ulm


Presentation
Discussion

Credit-Risk Valuation in the Sovereign CDS and Bonds Markets:

Evidence from the Euro Area Crisis

Sergio Mayordomo, University of Navarra

(Joint with Oscar Arce and Juan Ignacio Peña)

Discussant: Alois Geyer, WU


Presentation
Discussion

17:15Concluding Remarks and Refreshments
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