Modeling Credit Risk with GARCH Process
碩士 === 臺灣大學 === 財務金融學研究所 === 95 === To calculate the default probability of Taiwan stock market from 2001 to 2007, we conduct Merton (1974) and Altman’s Z-score. In order to use the parameters correctly, we use GARCH process to predict those. We test the power of default prediction by the Receiver O...
| 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/79584369858445406449 |