Reference: | 1.Altman, E.I., B. Brady, A. Resti and A. Sironi(2004),“The link between default and recovery rate: theory, empirical evidence and implications”, Journal of Business 2.Andersen, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk magazine, November 2003. 3.Andersen, L. and J. Sidenius (2004), “Extensions to the Gaussian copula:random recovery and random factor loadings”, working paper, Bank of America. 4.Black, F. and J. C. Cox (1976), “Valuing corporate securities:some effects of bond indenture provisions”, Journal of Finance 31, pages 351-367. 5.Bluhm, C., L. Overbeck and C. Wagner (2002), “An introduction to credit risk modeling”, Chapman & Hall. 6.Burtschell, X., J.-P. Laurent. and J. Gregory (2005), “A comparative analysis of CDO pricing models”, working papers, BNP-Paribas. 7.Cifuentes, A. and G. O’Connor (1996), “The binomial expectation method applied to CBO/CLO analysis,” Moody’s Special Report, Dec 13th 1996 8.Gibson, M. (2004), “Understanding the risk of synthetic CDOs”, FEDS Discussion Papers, no. 2004-36, Board of Governors of the Federal Reserve System. 9.Greenberg, A., D. O’Kane and L. Schloegl (2004), “LH+: a fast analytical model for CDO hedging and risk management,” Lehman Brothers Quantitative Credit Research Quarterly Report. 10.Hellqvist, M. (2005), “Comparison of approximation methods for combinations of differently distributed random variables”, Mat-2.108 Independent research project in applied mathematics, Helsinki University of Technology. 11.Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives 12(2), pages 8-48. 12.Hull, J. and A. White (2005), “The perfect copula”, working paper, Joseph L. Rotman School of Management, University of Toronto.. 13.Jarrow, R., D. Lando, and S. Turnbull (1997), “A Markov model for the term structure of credit spread”, Review of Financial Studies 10, pages 481- 523. 14.Jarrow, R. and S. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance 50, pages 53- 85. 15.Jarrow, R. and F. Yu (2001), “Counterparty risk and the pricing of defaultable securities”, The Journal of Finance 56, pages 1765- 1799. 16.Laurent, J.P. and J. Gregory (2003), “Basket default swaps, CDO’s and factor copulas”, working paper, ISFA Actuarial School, University of Lyon 17.Laurent, J.P. and J. Gregory (2004), “In the core of correlation”. Risk magazine, October, pp. 87-91 18.Li, D. X. (2000), “On default correlation: A copula function approach,” The RiskMetrics Group working paper number 99-07 19.Merton, R. (1974), “On the pricing of corporate debt:The risk structure of interest rates,” Journal of Finance 29, pages 449-470. 20.Peretyatkin, V. (2006), “HPM+: a fast analytical model to pricing synthetic CDOs”, working paper, Imperial College and Rabobank International 21.蔡麗君(2005),隨機違約強度模型下CDO之評價與分析-Copula方法,國立政治大學金融研究所。 |