| Reference: | 一、 中文部份
1. 何志偉，2004年，「信用損失分配之估計」，國立台北大學統計學系碩士論文。
2. 卓逸愷，2004年，「下方風險限制下之最適資產配置」，國立高雄第一科技大學風險管理與保險研究所碩士論文。
3. 洪瑩珊，2004年，「信用風險之衡量方法：Copula函數的應用」，國立清華大學科技管理研究所碩士論文。
4. 胡志宏，2003年，「新版巴塞爾資本協定對我國金融業信用風險管理之衝擊」，元智大學管理研究所碩士論文。
5. 陳孟雅，2003年，「Basel II對銀行信用風險管理之影響」，東吳大學國際貿易學系碩士論文。
6. 黃仁德、陳淑郁，200年，「信用風險衡量-信用風險加成模型」，台灣金融財務季刊，第五輯第三期，pp. 77-111。
二、 英文部份
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2. Basel Committee on Bank Supervision, “Credit Risk,”
http://www.riskglossary.com/link/credit_risk.htm
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4. Danielsson, J., C. G. de Vries, and B. N. Jorgensen. (1998), “The Value of Value at Risk: Statistical Financial,Financial and Regulatory Considerations,” FRBNY Economic Policy Review, Vol. 4 , pp. 107-117.
5. Dembo, A., J. D. Deuschel, and D. Duffie. (2004), “Large Portfolio Losses,” Finance and Stochastics, Vol. 8, pp. 3-21.
6. Glasserman, P. (2004), “Tail Approximations for Portfolio Credit Risk,” The Journal of Derivatives, pp. 24-42.
7. Glasserman, P., and J. Li. (2005), “Importance Sampling for Portfolio Credit Risk,” Management Science, forthcoming 2004.
8. Hopper, G.. P. (1996), “Value at Risk: A new Methodology for Measuring Portfolio Risk,”. Business Review, pp. 19-29.
9. Huisman, R., K.G. Koedijk, and R. A. J. Pownall. (1998), “VaR-x：Fat Tails in Financial Risk Management”, Journal of Risk, Vol. 1 , pp. 47-61.
10. Jorion, P. (1996), “Risk2:Measuring the Risk in Value at Risk,” Financial Analysis Journal, Vol. 52, pp. 47-56.
11. Jorion, P. (2000), “Value at Risk ,” McGraw-Hill, New York.
12. Löffler, G. (2003), “The effects of estimation error on measures of portfolio credit risk,” Journal of Banking & Finance, Vol. 27, pp. 1427-1453.
13. Lucas, A., P. Klaassen, P. Spreij, and S. Straetmans.(2001), “An analytic approach to credit risk of large corporate bond and loan portfolios,” Journal of Banking & Finance, Vol. 25, pp. 1635-1664. |
