Session: TH-P-B1
Credit Risk 2

Chair

Stéphane Crépey

Time

14:30 - 16:30 on Thursday, 19th of July 2018

Venue

Beckett 1

14:30

An application of time reversal to credit risk management

Masahiko Egami (Kyoto University), Rusudan Kevkhishvili (Kyoto University)
15:00

From Az\'ema supermartingales of finite honest times to optional semimartingales of class-$(\Sigma)$}

Libo Li (University of New South Wales)
15:30

Pricing of CoCo Bonds with Unexpected Write-Down Risk

José Fajardo (FGV/EBAPE), José Manuel Corcuera (University of Barcelona), Wim Schoutens (University Katholic of louvain)
16:00

When Capital is a Funding Source: The XVA Anticipated BSDEs

Stéphane Crépey (Evry University), Romuald Elie (University Paris Est), Wissal Sabbagh (Evry), Shiqi Song (University of Evry)