|Title:||Credit Analysis of Corporate Credit Portfolios: A Cash Flow Based Conditional Independent Default Approach||Other Titles:||公司債務組合信用風險分析現金流量基礎之條件獨立違約法||Authors:||LIAO HSIEN-HSING
|Issue Date:||2018||Journal Volume:||11||Journal Issue:||1||Start page/Pages:||1||Source:||期貨與選擇權學刊||Abstract:||
This study combines a cash flow based structural credit model with a conditional independent default approach, the factor copula method, to estimate multi-period credit risk of a corporate credit portfolio. Unlike most existing portfolio credit models, this approach considers state (risk) dynamics and can endogenously estimate the recovery rate. The empirical results of applying the proposed approach to price a market-traded CDX show that the new approach performs well, especially for a model with a dynamic default threshold.
|Appears in Collections:||財務金融學系|
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