An analysis of credit risk financial indicators

Cecchetti, Sara (2011) An analysis of credit risk financial indicators. Tesi di Dottorato, LUISS Guido Carli, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Giovanna Nappo, p. 53. [Doctoral Thesis]

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Abstract/Index

A Dynamic Default Dependence Model. On the Relationship between the Risk of Default and the Yield-to-Maturity of Bonds.

References

Bibliografia: pp. 52-53.

Item Type: Doctoral Thesis (PhD)
Research documents and activity classification: LUISS PhD Thesis
Divisions: Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance
Thesis Advisor: Nappo, Giovanna
Additional Information: Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XXII ciclo), LUISS Guido Carli, Roma, 2011. Relatore: Prof. Giovanna Nappo.
Uncontrolled Keywords: Lévy subordinators. Joint default probability. Copula. Default risk. Yield rate.
MIUR Scientific Area: Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance
Area 01 - Mathematics and Computer Science > MAT/06 Probability and Mathematical Statistics
Deposited by: Chiara Annulli (admin)
Date Deposited: 03 Aug 2011 09:33
Last Modified: 22 Apr 2015 00:14
URI: http://eprints.luiss.it/id/eprint/982

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