Pricing Collateralized Debt Obligation with theIntersection of Credit and Market Risks
碩士 === 國立高雄第一科技大學 === 財務管理所 === 94 === Abstract Extending the model in Jarrow and Turnbull (2000), this is the first paper to derive the closed-form solution of survival probability for each firm with the intersection of market-side risk (spot interest rate and the return of market index) and credit...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/63625487902442635466 |