Exploring Variables that May Impair Merton Model in Predicting Defaults
碩士 === 國立臺灣大學 === 會計學研究所 === 94 === In the Basel 2 environment, to measure credit risk more precisely may be a bank’s core competency. Among many methods of measuring credit risk, Merton model (option pricing) is the prevalent one. However, prior research documents Merton model’s weak predictability...
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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/51217258367780611607 |