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Credit Risk
Analysis of credit risk measurement, rating frameworks, default risk, and related modeling approaches.
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2020
Credit Risk Market Model (CRMM)
Adopting the concept of Real Options of Merton Model (1974) → Uses daily stock prices to predict a company’s credit risk. After the calibration by TEJ for Taiwan’s market, the predictive ability of CRMM significantly improves and is suitable for Taiwan’s booming stock market and underdeveloped bond market. It is combined with TEJ’s financial database and is […]
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