搜索结果: 1-3 共查到“信贷理论 Modeling”相关记录3条 . 查询时间(0.421 秒)
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term struc-ture is summarized and shown to be equivalent to a particular ty...
The credit crisis of 2007 and 2008 has thrown much focus on the models used to price
mortgage backed securities. Many institutions have relied heavily on the credit ratings
provided by credit agency...