Dynamic Model of Portfolio Credit Risk With Pure Birth Process
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === We wish to provide a both simple and analytically tractable dynamic model of portfolio credit risk, as an attractive alternative model of traditional Gaussian Copula model. In our model, the default intensity is governed by a deterministic drift and an impulse,...
| 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/84582056140788836052 |