The term structure of credit spread and pricing of default risk
碩士 === 國立臺灣大學 === 財務金融學研究所 === 90 === This thesis proposes a default intensity model, constructing the term structure of default intensity by credit spreads as the market input, to price the default risk and credit derivatives. One of the traditional models for pricing defaultable bonds was first de...
| 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/47155847296555881876 |