Reference: | 英文部分 1.Altman, E.I., and Saunders, A., 1998, “Credit Risk Measurement: Developments over the Last 20 Years,” Journal of Banking and Finance 21, 1721-1742. 2.Barnhill, T., and Maxwell, W., 2002, “Modeling Correlated Market and Credit Risk in Fixed Income Portfolios,” Journal of Banking and Finance 26, 347-374. 3.Bangia, A., Diebold, F.X., Kronimus, A. Schagen, C., and Schuermann, T., 2002, “Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing,“ Journal of Banking and Finance 26, 445-474. 4.Crouhy, M., Galai, D., and Mark, R., 2003, Risk Management. The McGraw-Hill Companies, Inc. 5.Crouhy, M., Galai, D., and Mark, R., 2000, “A Comparative Analysis of Current Credit Risk Models,” Journal of Banking and Finance 24, 59-117. 6.Gordy, M.B., 2000, “A Comparative Anatomy of Credit Risk Models,” Journal of Banking and Finance 24, 119-149. 7.JP Morgan, 1997, CreditMetrics™-Technical Document. 8.Lando, D., 2004, Credit Risk Modeling: Theory and Applications. Princeton University Press. 9.Lopez, J.A., and Saidenberg, M.R., 2000, “Evaluating Credit Risk Models,” Journal of Banking and Finance 24, 151-165. 10.Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance 29, 449-470. 11.Saunders, A., and Allen, L., 2002, Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms. John Wiley & Sons, Inc. 12.Wilson, T., 1997, “Portfolio Credit Risk I,” Risk 10, September. 13.Wilson, T., 1997, “Portfolio Credit Risk II,” Risk 10, October. 中文部份 1.李沃牆、許竣賓,2004,「銀行授信的風險管理─KMV模型於財務預警之實證研究」,建華金融季刊,第二十六期,頁97-138。 2.盧彥合,2004,「新巴塞爾協定對銀行及企金信用風險之影響」,建華金融季刊,第二十六期,頁171-177。 3.黃仁德、陳淑郁,2004,「信用投資組合概觀法的信用風險衡量」,存款保險資訊季刊,第十七卷第六期,頁128-145。 4.黃仁德、陳淑郁,2004,「穆迪KMV公司的信用風險衡量」,存款保險資訊季刊,第十七卷第四期,頁65-98。 5.黃仁德、陳淑郁,2004,「信用計量法的信用風險衡量」,存款保險資訊季刊,第十七卷第三期,頁69-102。 6.曾令寧、黃仁德,2003,「信用投資組合法及投資組合管理法的信用風險模型」,存款保險資訊季刊,第十七卷第一期,頁76-90。 7.財政部金融局與中華民國銀行公會新巴塞爾資本協定共同研究小組,2003,「新巴塞爾資本協定第一階段報告及修正報告」。 8.蕭珍隆,2003,「銀行授信信用風險溢酬之衡量」,國立中山大學財務管理研究所碩士論文。 9.林妙宜,2002,「公司信用風險之衡量」,國立政治大學金融研究所碩士論文。 10.曾令寧、陳威光,1999,「信用風險模型簡介─信用計量法及信用風險加成法」,存款保險資訊季刊,第十三卷第二期,頁63-92。 |