THE APPLICATION OF NONPARAMETRIC ESTIMATE SMOOTHER TO THE CREDIT RISK MODEL OF NEW BASEL ACCORD－FOCUSING ON THE CALCULATION OF ASSET RETURN CORRELATION
碩士 === 國立臺北大學 === 統計學系 === 94 === Asset return correlation and default probability are key factors for determining the regulatory capital requirement in credit risk model of New Basel Accord. In this thesis, we apply the nonparametric estimate smoother to estimate default probability using distance...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41416043226415129988 |