政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49667

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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/49667

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49667

Reference:

Laurent, Jean-Paul and Gregory, Jon (2005), “Basket default swaps, CDOs and factor copulas”, Working Paper, ISFA Actuarial School, University of Lyon.
Li, David (2000), “On default correlations: a copula approach”, Journal of Fixed Income, 9, 43–54.
Merton, Robert C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 29, 449–470.
Ruohonen, Matti (1987), “On a model for the claim number process”, Astin Bulletin, 18(1), 57–68.
Servigny, Arnaud de and Renault, Olivier (2002), “Default correlation: Empirical evidence”, Working Paper, Standard and Poor’s.
Vasicek, Oldrich (1987), “Probability of loss on loan portfolio”, Working paper, KMV Corporation.

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[金融學系] 學位論文

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