How Does the Transparency of Information Affect the Spreads of Basket Default Swap？
碩士 === 國立交通大學 === 財務金融研究所 === 98 === This paper emphasizes on how the transparency of information influences the credit spread of basket default swap with a first passage time model. In addition, one factor Gaussian copula model is used to measure the default correlation between reference entities....
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91100061006798819473 |