| Reference: | 1.Altman, E., A. Resti and A. Sironi, 2004, “Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence”, Economic Notes by Banca Monte dei Paschi di Seina SpA. Pp. 183-208.
2.Ahluwalia, R. and L. McGinty, 2004, “A Model for Base Correlation Calculation”, JPMorgan, Credit Derivatives Strategy.
3.Andersen, L. and J. Sidenius, 2004, “Extensions of the Gaussian Copula: Random Recovery and Random Factor Loadings”, The Journal of Gredit Risk, 1(1), pp. 29-70.
4.Amaroui, S. and S. Hitier, 2008, “Optimal Stochastic Recovery for Base Correlation”. BNP Paribas, June 2008.
5.Amraoui, S. , L. Cousot , S. Hitier and J. Laurent , 2009 “Pricing CDOs with State Dependent Stochastic Recovery Rates” , working paper.
6.Bennani, N. , J. Maetz , 2009 ”A Spot stochastic Recovery Extension of the Gaussian Copula” , Munich Personal RePEc Archive.
7.Ech-Chatbi C., 2008, “CDS and CDO Pricing with Stochastic Recovery” , working paper.
8.Gaspar, R. M. and I. Slinko , 2007, “ On Recovery and Intensity’s correlation - A new class of credit risk models.” , working paper.
9.Hull, J. and A. White, 2004, ”Valuation of a CDO and Nth to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, 12(2) (Winter), pp. 8-23.
10.Krekel, M., 2008, “Pricing distressed CDOs with Base Correlation and Stochastic Recovery”, UniCredit Markets & Investment Banking.
11.Kakodkar, A., (ed.) 2009, “Coping with The Copula”, Merrill Lynch.
12.Li, D. X., 2000, “On Default Correlations: a Copula Function Approach”, Journal of Fixed Incom, 9, pp. 43-54.
13.Lamedica, P. , 2008 ,” The Bermuda Triangle of Super Senior Risk, Structured Credit Strategy” , working paper.
14.O’Kane, D. and M. Livesey, 2004, “Base Correlation Explained”, Lehman Brothers Quantitative Credit Research Quarterly Report.
15.Prampolini, A. and M. Dinnis, 2009, “CDO Mapping with Stochastic Recovery”, HSH Nordbank AG.
16.Torresetti, R. , D. Brigo and A. Pallavicini ,2006, ”Implied correlation in CDO tranches：a Paradigm to be handled with care” , working paper.
17.Yan,X. , 2008 , “Modelling the Dynamic Relationship between Systematic Default and Recovery Risk” , Quantitative Finance Imperial College Business School ,October 2008.
18.林恩平，條件獨立假設下合成型擔保債群憑證之評價與避險，台灣財務金融學會，2009
19.張立民，合成型擔保債權憑證之評價—考量異質分配與隨機風險因子承載係數，政治大學，2007 |
