Credit Risk Rating of KMV Model Adjusted for Expected Loss
碩士 === 輔仁大學 === 金融研究所 === 94 === This thesis is based on Moody’s KMV model. To calculate the volatility of stock returns, we use the exponential weighted moving average model（EWMA）to capture the dynamic feature of volatility with the latest observation carrying the highest weight. In practical ap...
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| Format: | Others |
| Language: | zh-TW |
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2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/85431882573063265141 |