• INTRODUCING EDEN
• EDEN IN FINANCE
• PROGRAMME COORDINATOR
• FACULTY
• TARGET AUDIENCE
• PROGRAMME OBJECTIVE
• PROGRAMME
• PRACTICALITIES

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The programme in Finance will include seminars on :

• Corporate Finance
• Corporate Finance

Loriana Pelizzon, University of Venice and Marco LiCalzi, University of  Venice

Loriana Pelizzon, Associate Professor of Economics, Department of Economics, University of Venice
Email: loriana.pelizzon@unive.it
Phone : +39 041 2349164
http://venus.unive.it/pelizzon

Stephen Schaefer, Professor of Finance, London Business School
Email: sschaefer@london.edu
Phone : +44 020 7262 5050
http://forum.london.edu/

Ilya Strebulaev, Assistant Professor of Finance at the Graduate School of Business, Stanford University
Email: istrebulaev@stanford.edu
Phone: +44 (0)20 72625050 x3768
http://faculty-gsb.stanford.edu/strebulaev/

All three instructors have focused most of their recent research on Credit Risk and Regulation, and have build a strong reputation of being at the forefront of the field.

2nd or 3rd year PhD students in finance and financial economics or with strong interests in credit risk. A solid understanding of asset pricing theory and a good awareness of the empirical evidence is assumed.

The course purposes are to provide PhD students, with interests in finance and financial economics, with a solid foundation on credit risk modeling and implementation. The course will provides also suggestions for new research areas on credit risk to develop. Credit risk modeling is in fact a growing and increasingly important field of finance and highly relevant also for practitioners and regulators.
The main objective is to focus on the techniques currently used to model credit risk.

The first part of the course will examine basic models of credit risk and their implementation and issues.
In the second part, more advanced models will be introduced and analyzed.
The third part will concentrate on credit portfolio analytics, loan valuation and credit derivatives.
Finally, the fourth part will be on credit risk and bank regulation. Emphasis will be placed on model building and model validation.
In all parts of the course the faculty will pay a lot of attention in providing suggestions on issues and areas not well developed yet so to stimulate students in continuing research on this field.

Day 1: Monday 18 - S. Schaefer

14.00h : Welcome

14.15 – 15.45h : 
-  Introduction to credit risk
- The Scope of Credit Risk Research

15.45 – 16.15h : Break

16.15 – 17.15h :
- First steps in intensity models

Day 2: Tuesday 19 - I. Strebulaev

9.30 – 11.00h :
- Introduction to contingent-claim models. Merton model.

11.00 – 11.30h : Break

11.30 – 12.30h:
- Merton model (contd.)

12.30 – 14.00h : Lunch

14.00 – 15.30h :
- Extensions of Merton model; intermediate payments; default barrier.

15.30 – 16.00h : Break

16.00 – 17.00h :
· Perpetual debt; strategic debt service

Day 3: Wednesday 20 - I. Strebulaev

9.30 – 11.00h :
- Optimal capital structure; Leland model.

11.00 – 11.30h : Break

11.30 – 12.30h:
- Leland-Toft model

12.30 – 14.00h : Lunch

14.00 – 15.30h :
- EBIT-based models; dynamic capital structure.

15.30 – 16.00h : Break

16.00 – 17.00h :
- Recent advances; topics for future research.

Day 4: Thursday 21 - S. Schaefer

9.30 – 11.00h :
- Intensity modelling, contd.

11.00 – 11.30h : Break

11.30 – 12.30h:
- Credit derivatives – single name credit products

12.30 – 14.00h : Lunch

14.00 – 15.30h :
- Credit derivatives – portfolio products

15.30 – 16.00h : Break

16.00 – 17.00h :
- Summary and issues for future research

Day 5: Friday 22 - L. Pelizzon

9.30 – 11.00h :
- Bank regulation

11.00 – 11.30h : Break

11.30 – 12.30h:
- Credit Risk regulation
- Issues on Credit risk regulation

TIME AND LOCATION
The seminar will be held at the UNIVERSITY CA'FOSCARI OF VENICE, Fondamenta S. Giobbe, Cannareggio 827, Venice, Italy
The programme will start on Monday, September 18, 2006 at 14.00 and is scheduled to end Friday, September 22, 2006 at 16.00.

PARTICIPATION FEE
The participation fee is 1500 €. This fee includes participation to the seminar, the documents, lodging and full board.
Doctoral students will be assigned rooms for two. Should you wish a single room, an extra fee of 50 € per night will be charged to you.
Cancellations made before August 15,  2006 will be reimbursed with 10% deduction of the total fee. No reimbursement will be possible after this date.

EIASM SCHOLARSHIPS
The Institute offers a limited number of scholarships of 700 € each. Scholarships are strictly limited to students coming from an EIASM Institutional Member (the Academic Council). Allocation of the scholarships is entirely at the discretion of the European Institute.

APPLICATIONS
Interested doctoral students should register online (and add the required documents) no later than July 18, 2006. Besides doctoral students, other researchers may participate. The number of participants will be limited to create a stimulating environment. The selection among the applicants will be conducted by the Institute’s Faculty. They will review the following documents which should necessarily complement each application form:

• the applicant’s curriculum vitae demonstrating his/her capabilities of doing research ;
• a letter of recommendation of his/her local faculty supporting the application ; (letter of recommendation is not needed for researchers)
• a two-page description of his/her doctoral research, indicating the general objectives.