| Reference: | 中文部份
1. 吳秉昭，2005，信用損失分配之尾端機率估計-大樣本投資組合與區型塊投資組合，國立政治大學統計研究所碩士論文。
2. 楊立民，2005，信用風險尾巴機率之研究，國立政治大學統計研究所碩士論文。
3. 賴柏志，2003，「關聯結構在信用風險管理之運用」，金融聯合徵信中心，
http://www.jcic.org.tw/。
4. 廖四郎，李福慶，2005，「擔保債權憑證之評價－Copula分析法」，台灣金融財務季刊第六輯第二期。
英文部份
[1] Azzalini, A. & Capitanio, A. (1999). “Statistical applications of the multivariate skew-normal distribution”, J.R Stat. Soc., ser. B, vol.61, 579-602.
[2] Azzalini, A. (1985). “A class of distributions which includes the normal ones”, Scand. J. Statist., vol.12, 171-178.
[3 ] Azzalini, A. & Dalla Valle, A. (1996). “The multivariate skew-normal distribution”, Biometrika, vol.83, 715-726.
[4] Azzalini, A. (2005). “The skew-normal distribution and related multivariate families”, Journal of Statistics , vol.32, 159-188.
[5] Black, F. and J. Cox (1976). “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, vol.31, 351-367.
[6] Duffie, D. J. and K. J. Singleton (1998). “Modeling term structures of defaultable bonds”, Review of Financial Studies, vol.12, 687-720.
[7] Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering. Springer, New York.
[8] Glasserman, P. (2004). “Tail approximations for portfolio credit risk”, The Journal of Derivatives, vol. 4, 24-43.
[9] Glasserman, P. and J. Li (2005). “Importance Sampling for Portfolio Credit Risk”, Management Science, vol.51, 1643-1656.
[10] Glasserman, P. (2005). “Measuring Marginal Risk Contributions in Credit Portfolios”, Journal of Computational Finance, vol. 9, 1-41.
[11] Hull, J. and A. White (1998). “Value at Risk When Daily Changes in Market Variables Are Not Normally Distribution”, Journal of Derivative, vol.5, 9-19.
[12] Jarrow, R. and S. Turnbull (1995). “Pricing Derivatives on Financial Securities subject to Credit Risk”, Journal of Finance, vol.50, 53-85.
[13] Jarrow, R. and F. Yu (2001). “Counterparty risk and the pricing of defaultable securities”, The Journal of Finance, vol.56, 1765- 1799.
[14] Kalkbrenner, M., H. Lotter, and L. Overbeck (2004). “Sensible and efficient capital allocation for credit portfolios”, Risk, vol.17, 19-24.
[15] Li, D. (2000). “On default correlation: A copula function approach”, The Journal
of Fixed Income, vol.9, 43-54.
[16] Lucas, A., P. Klaassen, P. Spreij, and S. Straetmans. (2001). “An analytic approach to credit risk of large corporate bond and loan portfolios”, Journal of Banking & Finance, vol.25, 1635-1664.
[17] Merton, R. (1974). “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, vol.29, 449-470.
[18] Nocedal, J., and M. Wright. (1999). Numerical Optimization. Springer-Verlag, New York.
[19] Shonbucher, P. (2001). “Factor models: Portfolio Credit Risk When Defaults Are Correlated”, Journal of Risk Finance ,vol.3 , 45-56
[20] Sklar, A. (1959). “Fonctions de répartition à n dimensions et leur marges”, Publ. Int. Stat Univ., Paris, vol.8, 229–231. |
