On The Effectiveness of The Credit Portfolio Modelby Liao, Su, and Chen (2007)
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === Employing credit default swap market data, we empirically examine the effectiveness of the credit portfolio model developed by Liao, Su, and Chen (2007) which incorporates a cash flow based model, a conditional independent default approach (the factor Copula), a...
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92002833583322399631 |