The Application of Gibbs Sampler Method to the Distribution of Asset Return Correlation in the New Basel Accord
碩士 === 國立臺北大學 === 統計學系 === 95 === The asset correlation is the key variable for calculating the regulatory capital in the IRB approach of New Basel Accord. However, the range of asset correlation has suffer a lot of controversy since the Second Consultative paper（CP2）in 2001. Then, the third Consult...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/20149968963515633765 |