Estimating Tail Probability of Credit Loss Distribution with Closed Skew Normal
碩士 === 國立政治大學 === 統計學系 === 107 === The credit risk of the portfolio is often estimated using the Normal Copula model, but the parameters that the model can adjust are limited. This paper uses the Closed Normal Copula model to derive. The CSN distribution has the nature of normal distribution, and al...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/t355q9 |