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...

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Bibliographic Details
Main Authors:	YEH CHANG-YI, 葉昶邑
Other Authors:	YEH FANG-BO
Format:	Others
Language:	zh-TW
Published:	2005
Online Access:	http://ndltd.ncl.edu.tw/handle/17359625307511887195

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spelling	ndltd-TW-093THU004790072015-10-13T11:39:44Z http://ndltd.ncl.edu.tw/handle/17359625307511887195 Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate 具隨機違約率之馬可夫模型在信用價差之評價 YEH CHANG-YI 葉昶邑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. YEH FANG-BO 葉芳栢 2005 學位論文 ; thesis 50 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	YEH FANG-BO
author_facet	YEH FANG-BO YEH CHANG-YI 葉昶邑
author	YEH CHANG-YI 葉昶邑
spellingShingle	YEH CHANG-YI 葉昶邑 Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
author_sort	YEH CHANG-YI
title	Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
title_short	Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
title_full	Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
title_fullStr	Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
title_full_unstemmed	Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate
title_sort	valuation of credit spreads on a markov chain model with stochastic default rate
publishDate	2005
url	http://ndltd.ncl.edu.tw/handle/17359625307511887195
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Valuation of Credit Spreads on a Markov Chain Model with Stochastic Default Rate

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