Spillover Effect of Credit Risk-Empirical Evidence from Listing Companies in Taiwan
碩士 === 國立高雄科技大學 === 金融資訊系 === 107 === In the study, we use distance to default (DD) from KMV model to measure the credit risk. We use a vector autoregression model (VAR) and variance decomposition to examine spillover effect of credit risk, where the change of DD is endogenous variable and macroecon...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6y772e |