Case study on reduced from credit risk models

By:

HSIEH, YA-TING

Contributor(s):

LIU, SHU-ING

Material type:

Mixed materialsPublication details: 2012Description: 23-39Subject(s):

NLM classification:

658.16

In: ICFAI: JOURNAL OF FINANCIAL RISK MANAGEMENTMSummary: 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.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		9/2	Available		P14356

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.

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