Credit Portfolio Simulation Using Correlated Binomial Lattices
碩士 === 國立臺灣大學 === 財務金融學研究所 === 97 === We revisit the models developed in Das and Sundaram (2004) and Bandreddi, et al. (2007). Bandreddi, et al. (2007) use a simplified version of the model developed by Das and Sundaram for correlated default simulation. We find that in their setting, problematic pr...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69496035607078048152 |