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<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Inoltro avviso
di Seminario a me pervenuto.</EM></FONT></DIV>
<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Cordiali
saluti</EM></FONT></DIV>
<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Liviana
Paoletti</EM></FONT></DIV></FONT></DIV></FONT></DIV>
<DIV style="FONT: 10pt arial">----- Original Message -----
<DIV style="BACKGROUND: #e4e4e4; font-color: black"><B>From:</B> <A
title=giuliani@sns.it href="mailto:giuliani@sns.it">Valeria Giuliani</A> </DIV>
<DIV><B>To:</B> <B>Sent:</B> Tuesday, September 13, 2011 10:09 AM</DIV>
<DIV><B>Subject:</B> avviso seminario prof. Nassigh (20.09.2011)</DIV></DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><STRONG><U><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'">NO FREE LUNCH
SEMINAR</SPAN><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; mso-bidi-font-weight: bold; text-underline: none"><o:p></o:p></SPAN></U></STRONG></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; mso-bidi-font-weight: bold; text-underline: none"><U>seminari
di finanza quantitativa<o:p></o:p></U></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN> </H2>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">martedì 20
settembre 2011</SPAN><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></H2>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">ore <SPAN
style="mso-no-proof: yes">16.00</SPAN><o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><U><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Scuola Normale
Superiore Pisa<o:p></o:p></SPAN></U></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">(Aula <SPAN
style="mso-no-proof: yes">Bianchi</SPAN>)<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><B><U><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"> </SPAN></o:p></SPAN></U></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Aldo
NASSIGH<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Banca
Unicredit</SPAN></I><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><SPAN style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Terrà un
seminario dal titolo:<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'">“Default and
Credit Migration Risk in Trading Portfolios”<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">Abstract:
</SPAN></I></B><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Default
and credit migration risk was treated as negligible for a long time in banks'
trading portfolios, characterized by an investment horizon of few days. This was
consistent with the 'Constant Level of Risk' assumption according to which, in
case of deterioration of the creditworthiness of the obligor, exposures with
high credit quality would have been replaced with the goal of moving the asset
allocation back to the original risk profile. If perfect market liquidity and
continuous Brownian motion for asset prices are granted, losses induced by the
frequent rebalancing of the portfolio can indeed be neglected. The rise and blow
up of the Credit Trading bubble (also named Sub-Prime, Lehman and Sovereign
crises) showed the shortcomings of such approach. In 2004, the Basel Committee
on Banking Supervision asked banks to set aside capital for credit risk in
trading portfolios, in response to the rising credit exposures and the
improvements in risk management best practice observed in the banking system.
Such capital add-on (named 'Incremental Risk Charge') will enter into force in
December 2011. The proper evaluation of default and credit migration risk under
the constant level of risk assumption translates into the call for modeling
portfolio credit risk in the framework of short-term, multi-step simulations.
Aim of the seminar is to give an update on recent developments regarding
modeling the Incremental Risk Charge and to raise some critical and unresolved
issues as: the difficulty in adapting to this problem the mainstream treatment
of portfolio credit risk by continuous-time Markov Chains applied to the rating
migration process; the lack of an unambiguous approach to the estimation of
asset correlations, leading to large discrepancies in the capital level required
by the various models developed so far.</SPAN></I><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Tutti gli
interessati sono invitati a partecipare.<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2"> </SPAN></SPAN><FONT
face="Times New Roman"><SPAN style="mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2"><FONT
size=3>
</FONT></SPAN></SPAN><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT">Classe
di Scienze<o:p></o:p></SPAN></FONT></P></FONT></DIV>
<DIV><FONT face=Arial
size=2>--------------------------------------------------------------------------------<BR>Valeria
Giuliani<BR>Scuola Normale Superiore<BR>Servizio Supporto Attività Didattiche -
Scienze<BR>Tel. 050-509260<BR>Fax. 050-509045<BR>Piazza dei Cavalieri,
7<BR>56126 Pisa<BR>E-Mail: <A
href="mailto:v.giuliani@sns.it">v.giuliani@sns.it</A> <BR>E-Mail: <A
href="mailto:segreteria.scienze@sns.it">segreteria.scienze@sns.it</A></FONT></DIV>
<DIV><FONT face=Arial size=2>.</FONT></DIV>
<DIV> </DIV>
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