臺灣博碩士論文加值系統

本篇論文提出一個在市場有漲跌幅限制下的破產機率算法。除了使用歷史股價報酬率來求得破產機率外，亦可使用跌停頻率的方法。因為在市場有漲跌幅限制之下，使用歷史股價報酬率會低估波動度，所以破產機率亦會被低估。然而使用跌停頻率的方法可以獲得較準確且一致的破產機率。

Chinese Abstract i
English Abstract ii
Content iii
List of Tables iv
List of Figures v
1. Introduction 1
2. The Model 3
3. Default Probability 5
4. Conclusion 6
Reference 8
Tables 10
Figures 14

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