The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === KMV credit monitor model has been proposed as a potential approach to circumvent credit risk of companies. This study adopts the KMV’s model to estimate the expected default frequency and the distance of default and tries to explain the EDF (expected default fre...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/40863088130278742029 |