- Empirical Estimation of Tail Dependence
Using Copulas. Application to Asian Markets, Cyril Caillault (Ecole
Normale Supérieure Cachan and Dexia Crédit Local, Paris)
and Dominique Guégan (Ecole Normale Supérieure Cachan)
- A Markovian Defaultable Term Structure
Model with State Dependent Volatilities, Carl Chiarella (University
of Technology, Sydney), Erik Schlögl (University of Technology,
Sydney) and Christina Nikitopoulos Sklibosios (University of Technology,
Sydney)
- Credit Risk Dynamics: Forecasting Rating
Transition Matrices, Fabien Couderc (FAME and University of Geneva),
Olivier Renault (Cass Business School, London) and Olivier Scaillet
(FAME and University of Geneva)
- Capital Structure: Optimal Leverage and
Maturity Choice in a Dynamic Model, Santiago Forte (Universidad
Carlos III de Madrid)
- The Term Structure of Default Rates and
Ratings, Sandra Foulcher (Banque de France), Christian Gourieroux
(CREST and CEPREMAP, Paris and Université de Toronto) and André
Tiomo (Banque de France)
- Dynamic Hedging of Credit Derivative: a
First Approach, David Kurtz (Crédit Lyonnais) and Gaël
Riboulet (Crédit Lyonnais)
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