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Filtrage par: Mot-clé Credit Risk Collections Masters Theses

Risk Analysis for Corporate Bond Portfolios

Mot-clé:

Fama-French multi-factor model, Value at Risk, Credit Risk, liquidity risk, and market risk

Créateur:

Zhao, Yunfeng

Advisor:

Blais, Marcel Y.

Éditeur:

Worcester Polytechnic Institute

date créée:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Risk Analysis for Corporate Bond Portfolios

Mot-clé:

Credit Risk, Fama-French multi-factor model, Value at Risk, liquidity risk, and market risk

Créateur:

Jiang, Qizhong

Advisor:

Blais, Marcel Y.

Éditeur:

Worcester Polytechnic Institute

date créée:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
The Valuation of Credit Default Swaps

Mot-clé:

Credit Risk, Credit Default Swap, Merton model, and Hazard rate approach

Créateur:

Diallo, Nafi C

Advisor:

Roman, Luis J.

Éditeur:

Worcester Polytechnic Institute

date créée:

2006-01-11

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences