2018,

16th - 20th July

10th World Congress of the Bachelier Finance Society

Conference Programme

Session: TU-A-B2
Credit Risk 1

Chair

Rüdiger Frey

Time

11:30 - 13:30 on Tuesday, 17th of July 2018

Venue

Beckett 2

11:30

Sovereign-Bond Backed Securities as a new Safe Asset for the Eurozone: a Dynamic Credit Risk Perspective

Rüdiger Frey (Vienna University of Economics and Business)
12:00

CDS index options in Markov chain models

Alexander Herbertsson (University of Gothenburg)
12:30

Modelling Liquidation Risk with Occupation Times

Roman Makarov (Wilfrid Laurier University)
13:00

Mimicking Credit Ratings by a Perpetual-Debt Structural Model

Gaia Barone (LUISS, Rome)

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