Copula-Based Factor Model for Credit Risk Analysis
博士 === 國立交通大學 === 財務金融研究所 === 105 === A standard quantitative method to assess credit risk employs a factor model based on joint multivariate normal distribution properties. By extending the one-factor Gaussian copula model to produce a more accurate default forecast, this paper proposes the incorpo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/nt76r9 |