A Pricing Model with Dynamic Credit Rating Transition Matrix
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 105 === A credit-sensitive note (CSN) is a corporate coupon bond linked to the credit rating of the corporation. Acharya, Das and Sundaram present a model to price CSNs of different rating classes. Their model uses a fixed credit rating transition matrix whose elements...
| 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/jh9jj7 |