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Filtragem por: Palavra-chave Credit Risk

Risk Analysis for Corporate Bond Portfolios

Palavra-chave:

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

O Criador:

Zhao, Yunfeng

Advisor:

Blais, Marcel Y.

Editor:

Worcester Polytechnic Institute

Data Criada:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Risk Analysis for Corporate Bond Portfolios

Palavra-chave:

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

O Criador:

Jiang, Qizhong

Advisor:

Blais, Marcel Y.

Editor:

Worcester Polytechnic Institute

Data Criada:

2013-05-02

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences
Prices of Credit Default Swaps and the Term Structure of Credit Risk

Palavra-chave:

Credit Default Swaps and Credit Risk

O Criador:

Desrosiers, Mary Elizabeth

Advisor:

Vermes, Domokos

Editor:

Worcester Polytechnic Institute

Data Criada:

2007-05-01

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences
The Valuation of Credit Default Swaps

Palavra-chave:

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

O Criador:

Diallo, Nafi C

Advisor:

Roman, Luis J.

Editor:

Worcester Polytechnic Institute

Data Criada:

2006-01-11

Resource Type:

Thesis

Degree:

MS

Unit (Department):

Mathematical Sciences