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Call
for Papers
The Basel II
deliberations began in 1999 with the goals of promoting greater consistency in
credit risk management and of introducing operational risk management by
financial institutions. The implementation date was originally set for 2000+.
Strong criticisms by the banking industry of the 2004 framework led to a new
proposal being put forth in June 2006, with an implementation expected in over
100 countries by early 2007. As this new deadline approaches, it seems however
that banking industries in many countries are not yet adequately prepared.
What are the
major difficulties confronting banks seeking to implement credit and
operational risks management systems compliant with Basel II?
One of the aims of the Conference is to provide an answer to
this question. The scientific committee invites papers that examine the
different issues related to the implementation of the Basel II Accord.
Submitted papers can be related to any of the three pillars of Basel II.
Other contributing research papers related to credit and
operational risks can also be submitted to the scientific committee. Suitable
topics include but are not limited to:
 Copulas and loss distribution for operational risk
Use of external
data for operational risk
Operational risk ratings models
Testing advanced credit risk models
Cycles in
credit risk modeling
Stress
testing of credit risk models
Recovery risk and loss given default
EAD
measurement
Retail credit risk
Interrelation between credit, market, operational and liquidity risks
Papers must be submitted before January 15, 2007 at the
following address:
claire.boisvert@hec.ca
Successful authors will be notified by the end of January
2007.
Questions about the Conference may be directed to any member
of the scientific committee: Michèle Breton (michele.breton@hec.ca),
Georges Dionne (georges.dionne@hec.ca),
Christian Gouriéroux (c.gourieroux@utoronto.ca),
and Nicolas Papageorgiou (nicolas.papageorgiou@hec.ca).
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