Session: FR-A-DA
Credit Risk 3

Chair

Natalie Packham

Time

10:00 - 12:00 on Friday, 20th of July 2018

Venue

Davis

10:00

Is the Hawkes graph approach applicable for examining the bankruptcy risk dependence structure? An empirical analysis of firms' bankruptcies in Japan

Hidetoshi Nakagawa (Hitotsubashi University), Teruo Kemmotsu (Hitotsubashi University (graduated))
10:30

A factor-model approach for correlation scenarios and correlation stress-testing

Natalie Packham (Berlin School of Economics and Law), Fabian Woebbeking (Goethe University Frankfurt)
11:00

Time-changed affine models: fitting interest-rates and CDS term-structures without shift

Cheikh Mbaye (Universite catholique de Louvain), Frédéric Vrins (Universite catholique de Louvain)
11:30

Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors

Flavia Barsotti (UniCredit Spa), Xavier Milhaud (ISFA), SALHI Yahia (ISFA)