Granularity Adjustment Method in Credit Risk with Stochastic Loss Given Default
碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === In Basel II 2004, Basle Committee on Banking Supervision (BCBS) proposes financial institutions to establish assessment model internally. Since the distribution of percentage of loss of investment portfolio is hard to be estimated and complicated, it is the impo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/95370620332725707016 |