Latent Credit Risk Determinants and the Pricing of Credit Default Swaps
碩士 === 東吳大學 === 財務工程與精算數學系 === 100 === The study integrates the dynamic processes of macroeconomic and firm-specific factors, and constructs the pricing model of credit default swaps with no arbitrage conditions. In addition, in order to derive the unob-served common factor that is not captured by...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87459122137169057179 |