How to construct the credit risk model of default probability model?
如何构建违约概率模型等信用风险模型体系？
The application of competing risk model in the pricing of housing mortgage-backed securities is discussed based on measuring models of prepayment and default.
在阐述提前偿付与违约风险测量模型的基础上，探讨了竞争风险模型在住房抵押贷款证券定价过程中的应用。
Considering that credit risk and market risk is well correlated, gave the pricing model of credit default swap based on the COX process.
基于信用风险和市场风险密切相关，提出了基于COX过程的信用违约互换定价模型。
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