Valuation of Credit risk：Copula function Approach
碩士 === 國立清華大學 === 科技管理研究所 === 92 === In this thesis, our aim was establish a framework as CreditMetrics for quantifying credit risk in portfolios of corporate bonds. We depended on assets dependence structures of corporate bonds and Standard & Poor’s credit transition matrices to compute all pos...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75267728988947525633 |