| Reference: | 參考文獻
Andersen, L., J. Sidenius, and S. Basu(2003), “All your hedges in one basket,” RISK, November 2003.
Andersen, L. and J. Sidenius(2004), “Extensions to the Gaussian copula：random recovery and random factor loadings,” working paper, Bank of America, June.
Anson M. J. P., F. J. Fabozzi, M. Choudhry and R. R. Chen(2004), Credit derivatives—instruments, applications, and pricing, John Wiley ＆ Sons, Inc.
Arvanitis and Gregory(2001), Credit：The Complete Guide to Pricing, Hedging and Risk Management. Risk Publications.
Black, F. and J. C. Cox(1976), “Valuing corporate securities：some effects of bond indenture provisions,” Journal of Finance 31, pages 351-367.
Bluhm, C., L. Overbeck and C. Wagner(2002), An introduction to credit risk modeling, Chapman & Hall.
Carey M.(1998), “Credit risk in private debt portfolios,” Journal of Finance 53(4), pages 1363-1387.
Chen, Ren-Raw and Ben J. Sopranzetti(2003), “The valuation of default-triggered credit derivative,”Journal of Financial and Quantitative Analysis, Vol. 38(2).
Cherubini, U., E. Luciano and W. Vecchiato(2004), Copula methods in finance, John Wiley ＆ Sons, Ltd.
Choudhry, M.(2004), “Structured credit products－credit derivatives & synthetic securitization, ” Wiley Finance.
Cifuentes, A. and G. O’Connor(1996), The binomial expectation method applied to CBO/CLO analysis, Moody’s Special Report, Dec 13th 1996
Crosbie, P.J. and J.R. Bohn(2002), “Modeling default risk,” Moody’s KMV
Crouhy, M., D. Galai and R. Mark(2000), “A comparative analysis of current credit risk models,” Journal of Banking and Finance 24, pages 59-117.
Davis, M. and V. Lo(2001), “Infectious defaults,” Quantitative Finance 1, pages 382-387.
Das, S., Fong, G. and Geng, G. (2001), “The Impact of Correlated Default Risk on Credit Portfolios,” Journal of Fixed Income, 11(3), 9-19.
Delianedis, G. and R. Geske(1998), “Credit risk and risk neutral default probabilities: information about migrations and defaults, ” University of California at Los Angeles, Anderson Graduate School of Management 1114, Anderson Graduate School of Management, UCLA.
Duffie, D. and K. Singleton(1999), “Modeling term structure of defaultable bonds,” Review of Financial Studies, 12, pages 687-720.
Duffie, D. and N. Garleanu(2001), “Risk and valuation of collateralized debt obligations,” Finance Analysis Journal 57(1), pages 41-59.
Frey, R. and A. J. McNeil(2001), “Modeling dependent defaults,” Working paper, Department of Mathematics, ETH Zurich.
Galiani, S. S.(2003), “Copula functions and their application in pricing and risk managing multiname credit derivative product,” working paper,
Garcia, J., T. Dwyspelaere , L. Leonard, T. Alderweireld and T.V. Gestel(2005), “Comparing bet and cash flows CDO’s,” working paper
Giesecke, K.(2001), “Structural modeling of correlated defaults with incomplete information,” working paper, Humboldt University.
Giesecke, K. and S. Weber(2004), “Cyclical correlations, credit contagion, and portfolio losses,” Journal of Banking and Finance 28(12), pages 3009-3036.
Gill K., R. Gambel, R. V. Hrvatin, H. Katz, G. Ong and D. Carroll(2004), “Global rating criteria for collateralized debt obligations,” structured finance, Fitchratings , 13th Sep. 2004
Gordy, M. B.(2000), “A comparative anatomy of credit risk models”, Journal of Banking and Finance 24, pages 119-149.
Gupton, G.M., C. C. Finger and M. Bhatia(1997), “ CreditMetrics -technical document,” Morgan Guaranty Trust Company
Gupton, G. M.(2004), “Portfolio credit risk models,” credit derivatives –the definitive guide edited by Jon Gregory, Risk Books
Hull, J. and A. White(2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation,” Journal of Derivatives 12(2), pages 8-48.
Hurst, R. R.(2001), “CDOs backed by ABS and commercial real estate,” Investing in collateralized debt obligations, edited by Frank J. Fabozzi and Laurie S. Goodman
Jarrow, R., D. Lando, and S. Turnbull(1997), “A Markov model for the term structure of credit spread,” Review of Financial Studies 10, pages 481- 523.
Jarrow, R. and S. Turnbull(1995), “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance 50, pages 53- 85.
Jarrow, R. and F. Yu(2001), “Counterparty risk and the pricing of defaultable securities,” The Journal of Finance 56, pages 1765- 1799.
Kijima, M. and Y. Muromachi(2000), “Credit events and the valuation of credit derivatives of basket type, ”Review of Derivatives Research 4(1), pages 53-77.
Lando, D.(1998), “On Cox processes and credit risky securities,” Review of Derivatives Research, Vol.2, pages 99-120.
Laurent, J.P. and J. Gregory(2003), “Basket default swaps, CDO’s and factor copulas,” working paper, ISFA Actuarial School, University of Lyon
Lee, C. W., C. K. Kuo and J.L. Urrutia(2004), “A Poisson model with common shocks for CDO valuation,” The Journal of Fixed Income 14(3), pages 72-82.
Li, D. X.(2000), “On default correlation: A copula function approach,” The RiskMetrics Group working paper number 99-07
Li, D. X.(2002), “Valuing synthetic CDO tranches using copula function approach,” The RiskMetrics Group working paper
Lin, S. Y.(2004), “Two essays on credit derivatives: CB asset swap and CDO,” Working paper
Marshall, A. W. and I. Olkin(1988), “Families of multivariate distributions,” Journal of the American Statistical Association, pages 834-841.
Meneguzzo, D. and W. Vecchiato(2004), “Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps,” The Journal of Futures Markets, Vol. 24(1), pages 37-70.
Merton, R.(1974), “On the pricing of corporate debt：The risk structure of interest rates,” Journal of Finance 29, pages 449-470.
Mina, J.(2001),“Mark-to-market, oversight, and sensitivity analysis of CDO’s,” working paper number 01-02, RiskMetrics Group Dec 2001
Moody’s (2001), “ Default and recovery rates of corporate bond issuers:2000,”Moody’s Investor Service, February 2001
Perraudin, W.(2004), Structured credit products- pricing, rating, risk management and BaselⅡ, Risk Books
Picone, D.(2004), “A survey of CDOs and their use in bank balance sheet management,” Structured Credit Products-pricing, rating, risk management and BaselⅡ edited by William Perraudin.
Schorin, C. and S. Weinreich(2001), “Introduction to collateralized debt obligations,” Investing in collateralized debt obligations, edited by Frank J. Fabozzi and Laurie S. Goodman
Schonbucher J. and D. Schubert(2001), “Copula-dependent default risk in intensity models,” working paper, Department of Statistics, Bonn University.
Rogge E. and J. Schonbucher(2003), “Modeling dynamic portfolio credit risk,” working paper.
Sklar, A.(1959), “Fonctions de repartition a n dimensions et leurs marges,” Pub. Inst. Statisr. Univ. Paris, 8, pages 229-231.
Wilde, T.(1997), “CreditRisk+: a credit risk management framework,” Credit Suisse First Boston
Zhou, C.(2001), “An analysis of default correlations and multiple defaults,” The Review of Financial Studies, Vol. 14(2), pages 555-576.
參考網址
1. The Bond Market Association
http://www.bondmarkets.com/
2. 行政院金融監督管理委員會銀行局
http://www.boma.gov.tw/ |
