Implied Barrier as Default Boundary --- Algorithms and Empirical Studies
碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === Credit risk models can be classified into reduced-form or structural form. This thesis focuses on the structural model with the idea of moving-barrier options to develop a new default prediction scheme. We adopt a flexible and efficient tree algorithm to find t...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/72p97k |