On study of the recovery rate via the credit default swap spread and default probability
碩士 === 國立東華大學 === 應用數學系 === 106 === We use a discrete-time default model to obtain the model-based theoretical estimators of the credit default swap spread for one-year, three-year, and five-year contracts. Due to that those estimators include an unknown recovery rate, we combine the daily credit de...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/8sy634 |