Default Probability Analysis of Basket CLN

碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === This thesis focused on the relevance between baskets of the credit default rate of credit linked notes and credit default relation of underlying bond. We use Brace, Gatarek and Musiela (BGM, 1997) to model the long-term interest rate tree, and utilize the evalu...

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Bibliographic Details
Main Authors: Huei-Ting Li, 李惠婷
Other Authors: Yijen Wang
Format: Others
Language:zh-TW
Published: 2009
Online Access:http://ndltd.ncl.edu.tw/handle/67999639963046428095