Case study on reduced from credit risk models
HSIEH, YA-TING
Case study on reduced from credit risk models - 2012 - 23-39
This is a case study on the credit risk models, introduces by Cetin et al. (2004) and Guo et al (2009). Empirial analysis are focused on the pricing of zero- coupon bonds issued by two US industrial companies, the Coca Cola company and Pepsi Co Inc. Appling mrket observed information, simulations of some related variables are performed, and then the future zero-coupon bond prices for each discussed model are genrated.
CREDIT RISK MODELS RISK MANAGEMENT
658.16
Case study on reduced from credit risk models - 2012 - 23-39
This is a case study on the credit risk models, introduces by Cetin et al. (2004) and Guo et al (2009). Empirial analysis are focused on the pricing of zero- coupon bonds issued by two US industrial companies, the Coca Cola company and Pepsi Co Inc. Appling mrket observed information, simulations of some related variables are performed, and then the future zero-coupon bond prices for each discussed model are genrated.
CREDIT RISK MODELS RISK MANAGEMENT
658.16