The Analysis of Non-constant Default Correlation
碩士 === 國立成功大學 === 財務金融研究所 === 103 === The aim of this study is devoted to the time-varying behaviors in joint default risk. Using a historical dataset of bankruptcy events in US, covariant default probabilities are computed to assess default correlations. Driven by firm-specific characteristics and...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6pqw9j |