The Dynamic Analysis of Implied Default Probabilities and Recovery Ratios: A Case Study of Lehman Brothers Bankruptcy
碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 97 === In this paper, dynamic analysis approach is applied to study the variation of implied default probabilities and recovery ratios in risk neutral way when Lehman Brothers declare bankruptcy from the period of 2007-2008 as the breakpoint. Based on the reduce-for...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67043590756203831148 |