https://scholars.lib.ntu.edu.tw/handle/123456789/414402
標題: | Credit Analysis of Corporate Credit Portfolios: A Cash Flow Based Conditional Independent Default Approach | 其他標題: | 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 | 作者: | LIAO HSIEN-HSING Tsung-Kang Chen Chia-Wu Lu Yu-Hui Su Wei-Hung Lin |
公開日期: | 2018 | 卷: | 11 | 期: | 1 | 起(迄)頁: | 1 | 來源出版物: | 期貨與選擇權學刊 | 摘要: | 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. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414402 |
顯示於: | 財務金融學系 |
在 IR 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。