The Application of Markov Chain Monte Carlo Simulations to EstimateAsset Return Correlation in Basel II
碩士 === 國立臺北大學 === 統計學系 === 96 === The asset return correlation plays an important role in the credit risk model of Basel II. The asset return is assumed to be normally distributed in deriving models for credit risk. However, there is consensus that the distribution of asset return has tails that are...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69627839511424888162 |