Integrated risk measurement for defaultable bond portfolio based on three-factors intensity pricing model under credit crisis

被引：0
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作者：
Chen, Rong-Da [1 ,2 ,3 ]
Li, Wen-Long [4 ]
He, Yun-Xin [1 ,5 ]
Bao, Wei-Wei [6 ]
机构：
[1] School of Finance, Zhejiang University of Finance and Economics, Hangzhou,310018, China
[2] Coordinated Innovation Centre of Wealth Management and Quantitative Investment, Zhejiang University of Finance and Economics, Hangzhou,310018, China
[3] Center for Research of Regulation and Policy of Zhejiang Province, Hangzhou,310018, China
[4] Zhejiang Branch, Agricultural Development Bank of China, Hangzhou,310004, China
[5] School of Economics, Peking University, Beijing,100871, China
[6] Dongfang College, Zhejiang University of Finance and Economics, Haining,314408, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2015年 / 35卷 / 03期
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页码：567 / 577
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