On The Effectiveness of The Credit Portfolio Model by Liao and Chen (2006)
碩士 === 國立臺灣大學 === 財務金融學研究所 === 97 === We employ CDX market data to empirically examine the effectiveness of the credit portfolio model developed by Liao and Chen (2006), which combines a cash flow based model with a conditional independent default approach. Our empirical results show the credit por...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73932272319625049806 |