An Emprical Study of Credit Index － CreditGrades Model
碩士 === 東吳大學 === 財務工程與精算數學系 === 99 === CreditGrades(CG) model, developed by RiskMetricsGroupe, was used to calculate single-name credit default swap spreads. In this study, we use the CG model to calculateiTraxx Europe indices spread and compared with market spread. According...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/39850144561664343013 |