Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
碩士 === 東海大學 === 數學系 === 93 === This thesis is based on the Markov model , which is proposed by Jarrow , Lando , and Turnbull in 1997. We use the risk premium proposed by Kijima and Komoribayashi in 1998. And use the method proposed by Kodera in 2001 to increase a nonnegative random variable for the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/17359625307511887195 |
| Summary: | 碩士 === 東海大學 === 數學系 === 93 === This thesis is based on the Markov model , which is proposed by
Jarrow , Lando , and Turnbull in 1997. We use the risk premium
proposed by Kijima and Komoribayashi in 1998. And use the method
proposed by Kodera in 2001 to increase a nonnegative random
variable for the transition matrix to improve the behavior of
credit spread . Finally, we
do some empirical studies.
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