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10c5 -- Financial Statistics |
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July 10 (Wednesday), 1:10 -- 3:10 p.m., IM 1st FL, Conference RM |
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| Organizer: Ruby C. Weng (National Chengchi University, Taiwan, R.O.C.) | ||
| Chair: Tsung-Chi Cheng (National Chengchi University, Taiwan, R.O.C.) | ||
| 1:10 p.m. | Structural Models for Credit Risk
Migration, Ngai-Hang Chan (Chinese University of Hong Kong, Hong Kong) |
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| 1:40 p.m. | Forecasting Next Record
Catastrophic Property Losses Using Extreme Value Theory, Ping-Hung Hsieh (Oregon State University, U.S.A.) |
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| 2:10 p.m. | Pricing Convertible Bonds with
Credit Risk under Gaussian HJM Framework, Szu-Lang Liao (National Chengchi University, Taiwan, R.O.C.) |
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| 2:40 p.m. | Extreme Value Analysis of Taiwan
Stock Market, Jin-Lung Lin (Academia Sinica, Taiwan, R.O.C.; Co-authors: R. Tsay and S.-Y. Hu) |
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