| Reference: | 英文文獻
1. Arellano-Valle, R.B., Gómez, H.W., Quintana, F.A. (2004). A New Class of Skew-normal Distributions. Communications in Statistics-Theory and Methods Vol.33, Issue 7, 1465 – 1480.
2. Azzalini, A. (2005). The Skew-normal Distribution and Related Multivariate Families. Scandinavian Journal of Statistics Vol.32, Issue 2, 159-188.
3. Domínguez-Molina, J.A., González-Farías, G., Gupta, A.K. (2004). Additive Properties of Skew Normal Random Vectors. Journal of Statistical Planning and Inference 126, 521-534.
4. Glasserman, P. (2004). Tail Approximations for Portfolio Credit Risk. Journal of Derivatives, 24-42, Winter.
5. Glasserman, P., Li, J. (2003) Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk. Proceedings of the Winter Simulation Conference.
6. Gupton, A.K., Chen, T. (2001) Goodness-of-fit Tests for the Skew-normal Distribution. Communications in Statistics-Simulation and Computation Vol.30, Issue 4, 907 – 930.
7. Lando D. (2004). Credit Risk Modeling: Theory and Applications. Princeton University Press, New Jersey.
8. Nocedal, J. and M. Wright. (1999). Numerical Optimization. Springer-Verlag, New York.
中文文獻
1. 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。
2. 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。
3. 潘雅惠，2004，新巴塞爾資本協定與我國因應之道，中央銀行季刊第二十六卷第二期 31頁-48頁。 |
