Comparison of Credit Risk in Coupled Diffusion Model and Merton's Model
碩士 === 國立中央大學 === 統計研究所 === 106 === In this paper, we use the framework of Merton's model and the coupled diffusion model to analyze the companies' credit risk. The default is defined as the market value of the firm's assets less than the book value of the firm's liabilities at m...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vdrn3e |