INVITATION / CONFERENCE ANNOUNCEMENT
The WU Gutmann Center for Portfolio Management is proud to invite to its seventh
symposium.
WU GUTMANN CENTER SYMPOSIUM 2013:
“SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT”
JUNE 11, 2013 – 09:00-17:30
LOCATION:
WU (Vienna University of Economics and Business)
Augasse 2-6, (UZA 1), Festsaal, 1090 Vienna (Austria)
REGISTRATION:
Participation is free of charge, but REGISTRATION IS REQUIRED at gutmann-center(a)wu.ac.at
CONFERENCE HOMEPAGE:
http://www.wu.ac.at/wuw/other/gc/whatwedo/bridging/symposia/2013/index
CONTACT AND FURTHER INFORMATION:
www.gutmann-center.at
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.
Nobel laureate William F. Sharpe, member of the WU Gutmann Center’s Academic Advisory
Board, will open the symposium and chair the first session.
**PROGRAM**
08:30 Registration
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
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
THE WORLD PRICE OF CREDIT RISK
Gergana Jostova, George Washington University
Discussant: Nils Friewald, WU
SOVEREIGN BOND RISK PREMIUMS
Engelbert J. Dockner, WU
Discussant: Kerstin Bernoth, DIW Berlin
10:45-11:15 Coffee Break
11:15-12:45 SESSION II
Chair: Elroy Dimson, London Business School
THE ASSET PRICING IMPLICATIONS OF GOVERNMENT ECONOMIC POLICY UNCERTAINTY
Jonathan Brogaard, University of Washington
Discussant: Benjamin Born, University of Mannheim
SOVEREIGN DEBT RATING CHANGES, INSTITUTIONAL QUALITY AND THE STOCK MARKET
George P. Nishiotis, University of Cyprus
Discussant: Hermann Elendner, Humboldt-Universität zu Berlin
THE SYSTEMIC RISK OF EUROPEAN BANKS DURING THE FINANCIAL AND SOVEREIGN DEBT CRISES
Xin Huang, University of Oklahoma
Discussant: David Veredas, Université libre de Bruxelles
12:45-13:45 Lunch Break
13:45-15:15 SESSION III:
Chair: Christian Laux, WU
GOVERNMENT GUARANTEES AND FINANCIAL STABILITY
Agnese Leonello, University of Pennsylvania
Discussant: Hendrik Hakenes, University of Bonn
THE “GREATEST” CARRY TRADE EVER? UNDERSTANDING EUROZONE BANK RISKS
Sascha Steffen, European School of Management and Technology, Berlin
Discussant: Josef Zechner, WU
SAFER RATIOS, RISKIER PORTFOLIOS: BANKS’ RESPONSE TO GOVERNMENT AID
Denis Sosyura, University of Michigan
Discussant: Gyöngyi Lóranth, University of Vienna
15:15-15:45 Coffee 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
THE EXODUS FROM SOVEREIGN RISK: SOVEREIGN CEILING VIOLATIONS IN CREDIT DEFAULT SWAP
MARKETS
Jongsub Lee, University of Florida
Discussant: Peter Posch, University of Ulm
CREDIT-RISK VALUATION IN THE SOVEREIGN CDS AND BONDS MARKETS: EVIDENCE FROM THE EURO AREA
CRISIS
Sergio Mayordomo (University of Navarra)
Discussant: Alois Geyer, WU
17:15 Concluding Remarks and Refreshments