Reference: | Aktug, E., G. Vasconcellos, and Y. Bae , 2008, “The Dynamics of Sovereign Credit Default Swap and Bond Markets: Empirical Evidence from the 2001-2007 Period”, Working Paper. Ammer, J., and F. Cai, 2008, “Sovereign CDS and Bond Pricing Dynamics in Emerging Markets Does the Cheapest-to-Deliver Option Matter”, Working Paper. Blanco, R., S. Brennan, and I. W. Marsh, 2005, “An Empirical Analysis of the Dynamic Relationship Between Investment Grade Bonds and Credit Default Swaps”, Journal of Finance, Vol. 60, No. 5, Pages 2255-2281. Boss, M., M. Scheicher, 2002, “The Determinants of Credit Spread Changes in the Euro Area“, BIS papers. Chan-Lau, Jorge A., and Yoon S. Kim, 2004, “Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets”, IMF Working Paper. Codogno, L., C. Favero, A. Missale, 2003, “Yield Spreads on EMU Government Bonds”, Economic Policy, Vol. 18, No. 37, Pages 503-532. Collin-Dufresne, Pierre, Robert S. Goldstein, and J. Spencer Martin, 2001, “The Determinants of Credit Spread Changes”, Journal of Finance, Vol. 56, No. 6, Pages 2177-2207. Duffie, D., 1999, “Credit Swap Valuation”, Financial Analysts Journal, Vol. 55, Pages 73-87. European Central Bank, 2004, “The Euro Bond Market Study”. Hull, J. C., and A. White, 2000, “Valuing Credit Default Swaps I: No Counterparty Default Risk”, Journal of Derivatives, Vol. 8, Pages 29-40. Hull, J., M. Predescu, and A. White, 2004, “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements”, Journal of Banking and Finance, Vol. 28, No. 11, Pages 2789-2811. Liu, J., 2006, “The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks”, The Journal of Business, Vol. 79, No. 5, Pages 2337-2359. Longstaff, F., S. Mithal, and E. Neiss, 2005, “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market”, Journal of Finance, Vol. 60, No. 5, Pages 2213-2253. Longstaff, F., J. Pan, L. Pedersen, and K. Singleton, 2008, “How Sovereign Is Sovereign Credit Risk?”, NBER Working Paper. McGuire, P., and M. A. Schrijvers, 2003, “Common Factors in Emerging Market Spreads”, BIS Quarterly Review, Pages 65-78, December. Packer, F., and C. Suthiphongchai, 2003, “Sovereign Credit Default Swaps”, BIS Quarterly Review, Pages 79-88, December. Pan, J., and K. J. Singleton, 2008, “Default and Recovery Implicit in the Term Structure of Sovereign Spreads”, The Journal of Finance, Vol. 63, Issue 5, Pages 2345–2384. Remolona, E. M., M. Scatigna, and E. Wu, 2007, “Interpreting Sovereign Spreads”, BIS Quarterly Review, Pages 27-39, March. Westphalen, M., 2002, “The Determinants of Sovereign Bond Credit Spreads Changes”, Working Paper. Wooldridge, P. D., 2001, “The Emergence of New Benchmark Yield Curves”, BIS Quarterly Review, Pages 48-57, December. Yue, V. Z., 2010, “Sovereign Default and Debt Renegotiation”, Journal of International Economics, Vol. 80, Issue 2, Pages 176-187. Zhu, H., 2006, “An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market”, Journal of Financial Services Research, Vol. 29, No. 3, Pages 211-235. Zinna, G., 2009, “Sovereign Default Risk Premia: Evidence from the Default Swap Market”, Working Paper. 沈大白、凌志銘,「信用違約交換評價之實證研究─TCRI信用評等資訊之應用」,金融風險管理季刊,民95,第二卷,第二期,47-74。 |