A process research on Credit VaR measurement of Bank’s loan asset portfolios
碩士 === 輔仁大學 === 應用統計學研究所 === 94 === The object of this study applies Credit Metrics model (Morgan, 1997) to find the method and model of Credit VaR of bank’s loan assets portfolio by referring Taiwan’s bank actual situation asset portfolios. This result not only provides a basic concept of Credit V...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48147838071852349704 |