Implied Hazard Rates of Convertible Bonds-- The Estimation for VaR of CDS
碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === This research discusses that the CDS’ reference asset is convertible bonds and the VaR of CDS. Based on the relationship with convertible bonds and pure bonds, we can estimate the pure bond price. With the pure bond price, we can compute the implied hazard rate...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/29245727604306070672 |