The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions
博士 === 國立政治大學 === 金融研究所 === 103 === By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/63743820582515574686 |
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