主題:Beyond Friendly Mergers-the Case of REITs

時間:12/23 下午14:00-16:00

地點:共D108

演講大綱:This study combines a cash flow based structural credit model with a conditional
independent default approach, the factor copula method, to estimate multi-period credit risk of
a corporate credit portfolio. Unlike most existing portfolio credit models, this approach
considers state (risk) dynamics and can endogenously estimate the recovery rate. The
empirical results of applying the proposed approach to price a market-traded CDX show that
the new approach performs well, especially for a model with a dynamic default threshold.