Fitch Group Announces Academic Advisory Board, Launches Grant Program

25 Apr 2006 8:51 AM (EDT)

Fitch Ratings-New York-25 April 2006: Fitch Group, the parent organization of Fitch Ratings and Algorithmics, has announced the formation of the Fitch Academic Advisory Board (FAAB). The role of the board will be to promote the exchange of ideas between the Fitch Group's companies and academia. In order to allow a wide scope of coverage, the Board includes a select group of prominent academicians in various areas of economics and finance.

'We are pleased by the prominence of the FAAB members who are recognized experts in fixed income, real estate, credit, structured finance modelling and derivatives at prestigious universities and research institutions,' said Fitch Ratings Chief Credit Officer, Robert Grossman. 'The goal of the FAAB is to create a formal bridge between prominent academicians, researchers and Fitch.'

Michael Zerbs, President and Chief Operating Officer of Algorithmics commented, 'The FAAB program will provide access to leading edge research and thinking across markets and will foster the opportunity to explore new ideas and concepts which can be incorporated into our market solutions.'

Additionally, Fitch Ratings has launched a research grant program and has developed a graduate student summer internship program, in New York and London, as part of its goal to promote further study of the credit markets.

The FAAB members:

• Didier Cossin - IMD
  • How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
  • Credit Risk in a Network Economy
  • A Framework for Collateral Risk Control Determination
  • Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk
  • Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
  • A Structural Analysis of Credit Risk with Risky Collateral: a methodology for haircut determination
  • Control of Credit Risk Collateralization Using Quasi-Variational Inequalities
• Paul Embrechts - ETH Zurich
  • Quantitative Risk Management: Concepts, Techniques, and Tools
  • Correlation: Pitfalls and Alternatives
  • Correlation and Dependence in Risk Management: Properties and Pitfalls
  • Modelling Dependence with Copulas and Applications to Risk Management
  • Bounds for Functions of Dependent Risks
  • Bounds for Functions of Multivariate Risks
  • Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool
  • Extreme Value Theory as a Risk Management Tool
• Rüdiger Frey - University of Leipzig
  • Pricing Corporate Securities under Noisy Asset Information
  • Quantitative Risk Management: Concepts, Techniques, and Tools
  • Dependence Modelling, Model Risk and Model Calibration in Models of Portfolio Credit Risk
  • Modelling Dependent Defaults
  • VaR and Expected Shortfall in Portfolios of Dependent Credit Risk: Conceptual and Practical Insights
  • Interacting Defaults and Counterparty Risk: A Markovian Approach
  • Credit Derivatives in Models with Interacting Default Intensities: A Markovian Approach
• Dwight Jaffee - University of California - Berkeley
• Ng Kah Hwa - National University of Singapore
• Salih Neftci - ICMA Centre - The University of Reading
  • Pricing and Hedging of Contingent Credit Lines
• Dan Rosen - University of Toronto - The Fields Institute
  • Building a Credit Risk Valuation Framework for Loan Instruments
  • A Simple Multi-factor "Factor Adjustment" for the Treatment of Credit Capital Diversification
  • Understanding Stochastic Exposures and LGDs in Portfolio Credit Risk
• Andrea Sironi - Bocconi University
  • Recovery Risk: The next challenge in credit risk management
  • Credit Risk Models: An Application to Deposit Insurance Pricing
  • An Analysis of European Banks' SND Issues and its Implications for the Design of a Mandatory Subordinated Debt Policy
  • Which Factors Affect Corporate Bond Pricing? Evidence from Eurobonds Primary Market Spreads
  • Analyzing and Explaining Default Recovery Rates
  • The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
  • Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence
  • Is Banks' Cost of Equity Capital Different Across Countries? Evidence from the G10 Countries Major Banks
  • Applying Credit Risk Models to Deposit Insurance Pricing: Empirical evidence from the Italian banking system
  • Testing for market discipline in the European banking industry: Evidence from subordinated debt issues
  • Strengthening banks' market discipline and leveling the playing field: Are the two compatible?
  • The Risk-Weights in the New Basel Capital Accord: Lessons from Bond Spreads Based on a Simple Structural Model
• Rudi Zagst - Munich University of Technology

Contact: Robert Grossman +1-212-908-0535, Ahmet Kocagil +1-212-908-0271 or James Jockle +1-212-908-0547, New York.

Media Relations: James Jockle, New York, Tel: +1 212-908-0547.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.

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