On The Effectiveness of The Credit Portfolio Modely Liao, Su, and Chen (2007)
Date Issued
2008
Date
2008
Author(s)
Lin, Wei-Hung
Abstract
Employing credit default swap market data, we empirically examine the effectiveness of the credit portfolio model developed by Liao, Su, and Chen (2007) which incorporates a cash flow based model, a conditional independent default approach (the factor Copula), and a dynamic default threshold setting and is able to estimate the multi-period credit risk of a corporate credit portfolio endogenously. Our empirical results show an acceptable performance of the proposed model in default risk pricing.
Subjects
Dynamic Default Threshold
Factor Copula
Cash Flow Based Multi-period Structural Model
Type
thesis
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