A Comparative Study of CreditPortfolio View and Credit Cycle Index Models
碩士 === 國立交通大學 === 經營管理研究所 === 94 === The purpose of this study is to investigate the impact on credit migration matrix by changes in business cycle, and calculate the related default probabilities. Credit migration matrix plays a crutial role in many credit risk models We modify Wilson (1997,CreditP...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35922091416209663392 |