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    Title: 違約傳染模型及其應用
    A contagion model of defaults and its applications
    Authors: 揚濬濂
    Contributors: 江彌修
    揚濬濂
    Keywords: 傳染
    違約
    信用
    Date: 2009
    Issue Date: 2010-12-08 16:22:53 (UTC+8)
    Abstract: 目前市場多以因子聯繫模型(factor copula)作為擔保信用憑證之評價基礎,然而其靜態的性質無法捕捉違約環境之演變,且其對條件獨立的假設經實證資料而遭質疑。本文以Davis and Lo(2001)的違約傳染模型為基礎,傳染是新的一種描述違約相關性的方式,我們將Davis and Lo(2001)的模型作了延伸,改變其違約狀態及傳染形式,讓其應用性更廣,使違約傳染模型能用來評價擔保信用憑證。
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    Description: 碩士
    國立政治大學
    金融研究所
    97352026
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0973520261
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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