Reference: | 英文文獻: 1、Aziz, M. Adnan and Dar, Humayon A.(2006),“Predicting Corporate Bankruptcy:Where We Stand?,”Corporate Governance,pp.18-33. 2、Basel Committee on Banking Supervision (2004, October),“An Explanatory Note on the BaselⅡ IRB Risk Weight Function. 3、Ervin, D. Wilson and Wilde, Tom,“Pro-cyclicality in New Basel Accord,” Credit Risk Modeling,pp.165-172. 4、Farmen, Tom E. S., Westgaard, Sjur and Wijst, Nico van der(2004),“An Empirical test of Option Based Default Probabilities using Payment Behavior and Auditor Notes.” 5、Finger, Christopher C.(2001),“The One-Factor CreditMetrics Model In The New Basel Capital Accord,” RiskMetrics Journal,Vol.2,pp.9-18. 6、Grover, Jeffrey and Lavin, Angeline M.(2001,February),“Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy:A Service Industry Extension of Altman’s Z-Score Model of Bankruptcy Prediction,”Grover conducted at the 2001 meeting of the Southern Finance Association Annual Meeting. 7、Joseph, Maurice P.(2005),“A PD Validation Framework for Basel ⅡInternal Rating-Based Systems.” 8、Kulkarni, Amit, Mishra, Alok Kummer and Thakker, Jigisha,“How Good is Merton Model at Assessing Credit Risk?Evidence from India.” 10、Musiela, Marek and Rutkowski, Marek(2005),“Martingale Methods in Financial Modelling(2nd ed.),” New York:Springer. 11、Sobehart, Jorge, Keenan, Sean and Stein, Roger(2001)“ Benchmarking Quantitative Default Risk Models:A Validation Methodology,”Moody’s Investors Service. 12、Sobeheart, Jorge R., Stein, Roger M.(2000), “Moody’s Public Firm Risk Model:A Hybrid Approach To Modeling Short Term Default Risk,” New York:Moody’s KMV. 13、Stein, Roger M.(2002), “Benchmarking Default Prediction Models:Pitfalls and Remedies in Model Validation,” Technical Report #020305,Moody’s KMV. 14、hreve, Steven E.(2004),“Stochastic Calculus for Finance Continuous-Time Models,” New York:Springer. 15、Tudela, Merxe and Young, Garry(2003),“A Merton-model Approach to Assessing the Default Risk of UK Public Companies,” ISSN 1368-5562,Bank of England. 16、Wilde, Tom,“IRB Approach Explained”,credit Risk Modeling p.157-163 中文文獻: 1、柯瓊鳳與楊舒雯(民94),“台灣地區信用評等模型有效性之驗證”,貨幣觀測與信用評等。 2、林妙宜(民91),“公司信用風險之衡量”,國立政治大學金融研究所碩士論文 3、李欣怡(民94),“以修正KMV模式為基礎探討上市上櫃公司違約風險”,國立東華大學國際經濟研究所碩士論文。 4、林公韻(民94)“信用違約機率的預測-robust logistic regression”,國立政治大學金融研究所碩士論文。 5、薛人瑞與陳漢沖(民93),“新巴塞爾協定之君約機率量化研究”,貨幣觀測與信用評等。 6、行政院金管會銀行局與中華民國銀行公會(民94)。銀行自有資本之計算與有資本標準之國際通則:修正版架構(ISBN 986-7506-37-5)。臺北市:新巴塞爾資本協定共同研究小組編譯。 7、曾令寧與黃仁德(民93)。風險基準資本指南:新巴塞爾資本協定(ISBN 986-7506-23-5)。臺北市:財團法人台灣金融研訓院。 8、沈中華(民92),“Basel Ⅱ的缺點及改進建議”,台灣金融財務季刊,第四輯第一期,1-18。 9、陳木在與陳錦村(民90)。商業銀行風險管理。臺北市:新陸書局股份有限公司。 10、陳思翰(民92),“商業銀行如何利用Logistic 及KMV模型檢視授信政策”,國立中央大學財務金融所碩士論文。 |