Deriving Recovery Rate and Default Point：Reconciliation of Structural and Intensity Models
碩士 === 國立中正大學 === 財務金融所 === 94 === This paper introduces a new methodology that integrates information in equity market, bond market, and financial statements to derive a unique recovery rate for every company by reconciling structural models with intensity models. We model a firm’s equity as the do...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/49308100983099263245 |