Lam, Ho Man. / "August 2010." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 42-43). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Levy Process --- p.5 / Chapter 2.1 --- Merton's Jump-Diffusion model (1976) --- p.8 / Chapter 2.2 --- Estimation of Levy processes --- p.9 / Chapter 3 --- Transform Martingale Estimation --- p.11 / Chapter 3.1 --- Maximum Likelihood Estimation --- p.11 / Chapter 3.2 --- Transform Martingale Estimating Functions --- p.13 / Chapter 3.2.1 --- Transform Quasi-Score Function --- p.15 / Chapter 3.2.2 --- Composite Quasi-Score Function --- p.17 / Chapter 3.2.3 --- Implementation Issue --- p.18 / Chapter 3.2.4 --- Transform Martingale Estimation on Levy process --- p.21 / Chapter 4 --- Structural Models of Credit Risk --- p.22 / Chapter 4.1 --- Overview --- p.22 / Chapter 4.2 --- Merton's structural credit risk model (1974) --- p.23 / Chapter 4.3 --- Estimation Methodologies --- p.24 / Chapter 4.4 --- Martingale Estimation with KMV's Method --- p.26 / Chapter 5 --- Simulation Study --- p.28 / Chapter 5.1 --- Equity Estimation --- p.28 / Chapter 5.2 --- Estimation of Structural Models --- p.37 / Chapter 6 --- Conclusion --- p.41 / Bibliography --- p.42
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327185 |
| Date | January 2010 |
| Contributors | Lam, Ho Man., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 43 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.002 seconds