Copula-Based Factor Model for Credit Risk Analysis

博士 === 國立交通大學 === 財務金融研究所 === 105 === A standard quantitative method to assess credit risk employs a factor model based on joint multivariate normal distribution properties. By extending the one-factor Gaussian copula model to produce a more accurate default forecast, this paper proposes the incorpo...

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Bibliographic Details
Main Authors: Lu, Meng-Jou, 呂孟柔
Other Authors: Wang, Keh-Luh
Format: Others
Language:en_US
Published: 2017
Online Access:http://ndltd.ncl.edu.tw/handle/nt76r9

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