Improve the estimation of Credit-at-Risk use term structure of interest rate and credit spread
碩士 === 銘傳大學 === 金融研究所 === 88 === We are interested in transparency of credit risk. This study can distinguish between market risk and credit risk of a corporate bond and different from CreditMetrics, the risk management methodology for measuring credit risk developed by J. P. Morgan. Improve the est...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97857589245291918953 |