Default Correlation:Comparison Study
碩士 === 國立臺灣大學 === 國際企業學研究所 === 93 === Modeling default correlation correctly is an important task in risk management and pricing credit derivatives. We discuss why default correlation exists and its implication .Covering the two primary types of models that describe default process,“structural form...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41136023550447211331 |