A Markov Model for Credit Risk Spreads
碩士 === 東海大學 === 數學系 === 93 === JLT propose a Markov chain model for valuing risky debt that explicitly incorporates a firm's credit rating as an indicator of the likelihood of default. It is important to include credit risk information in the pricing models, since credit derivatives are sensit...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/93455386605234661628 |