The Research of Efficiencyof Credit VaR under Factor Model
碩士 === 東吳大學 === 商用數學系 === 94 === Value at Risk (VaR) and its extension Credit-VaR has become the standard tool used by many financial institutions to measure market risk and credit risk after the enforcement of Basel II in June,2006 and the related models in estimating VaR play an important role due...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96995787302916613048 |