Credit Risk Illustrated under Coupled diffusions
碩士 === 國立中央大學 === 統計研究所 === 104 === In this paper, we introduce a model to analyze credit risk where the log-monetary reserves are driven by the coupled diffusions. The default is described as the assets of firm less than the book value of the liabilities in the maturity time T. In the different mea...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/5xc53q |