A Model with Memory for the Term Structure of Credit Risk Spreads
碩士 === 國立政治大學 === 財務管理學系 === 90 === In this thesis we develop a credit migration model with memory for the term structure of credit risk spreads. Our model incorporates stochastic default probability, stochastic recovery rate, and the correlation between the recovery rate and the term structure of r...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73866200731112601498 |