| Reference: | 邱嬿燁(2008)"探討單因子複合分配關聯結構模型之擔保債權憑證之評價",國立政治大學碩士論文
Arellano-Valle, R.B., Gomez, H.W., and Quintana, F.A. (2004), “A new class of skew-normal distributions”, Communications in Statistics-Theory and Methods,33(7),1465-1480.
Azzalini,A.(2005), “The skew-normal distribution and related multivariate families”,Scandinavian Journal of Statistics, 32(2),159-188.
Davison, A.C. and Hinkley, DV (1997), Bootstrap methods and their application, Cambridge Univ Pr.
Engelmann, B., Hayden, E., and Tasche, D. (2003a), “Measuring the discriminative power of rating systems”, Deutsche BundesBank, 1-24.
------(2003b), “Testing rating accuracy”, Risk, 16(1), 82-86.
Genton, Marc G. (2005), “Discussion of The Skew-normal”, Scandinavian Journal of Statistics, 32, 189-198.
Gonzalez-Farias, G.,Dominguez-Molina, A., and Gupta, A.K. (2004), “Additive properties of skew normal random vectors”, Journal of Statistical Planning and Inference, 126(2), 521-534.
Hosmer, D.W. and Lemeshow, S. (2000), Applied logistic regression, Wiley-Interscience.
Pagan and Ullah, A. (1999), Nonparametric econometrics, Cambridge University Press.
Satchell and Xia., W. (2008), Analytic models of the ROC curve: Applications to credit rating model validation. In G. Christodoulakis and S. Satchell, editors, The Analytics of Risk Model Validation, Academic Press.
Tasche, Dirk (2005), “Studies on the Validation of Internal Rating Systems(revised)”, Quantitative Finance Papers.
-----(2009), “Estimating discriminatory power and PD curves when the number of defaults is small”, Bank for International Settlements.
Vidakovic, Brani (2003), “EM Algorithm and Mictures.”, Citeseer. |
