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A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...
}Recently some press reports about the insolvency and the debt-repayment of the GITIC have attracted growing international interest in the problems of the Chinese banking sector: What happened in Chin...