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題名:Credit Value-at-Risk, Credit Spread, and Distance-to-Default
書刊名:Pan-Pacific Management Review
作者:周恆志
作者(外文):Chou, Heng-chih
出版日期:2008
卷期:11:2
頁次:頁39-55
主題關鍵詞:違約間距信用風險值信用價差違約機率槓桿效果Distance-to-defaultExpected default probabilityCredit spreadCredit-at-riskCredit risk modeling
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:32
期刊論文
1.Avellaneda, M.、Zhu, J.(2001)。Distance to default。Risk,14,125-129。  new window
2.Hsia, C. C.(1981)。Coherence of the modem theories of finance。Financial Review,16(1),27-42。  new window
3.Hsia, C. C.(1991)。Estimating a firm’s cost of capital: an option pricing approach。Journal of Business and Accounting,18,281-287。  new window
4.Collin-Dufresne, P.、Goldstein, R. S.(2001)。Do Credit Spreads Reflect Stationary Leverage Ratios?。Journal of Finance,56(5),1929-1957。  new window
5.Altman, E. I.、Haldeman, R. G.、Narayanan, P.(1977)。Zeta Analysis: A New Model to Identify the Bankruptcy Risk of Corporations。Journal of Banking and Finance,1(1),29-54。  new window
6.Vassalou, Maria、Xing, Yuhang(2004)。Default risk in equity returns。Journal of Finance,59(2),831-868。  new window
7.Ronn, Ehud I.、Verma, Avinash K.(1986)。Pricing Risk-adjusted Deposit Insurance: An Option-based Model。Journal of Finance,41(4),871-895。  new window
8.Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。  new window
9.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。  new window
10.Leland, Hayne E.、Toft, Klaus Bjerre(1996)。Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads。Journal of Finance,51(3),987-1019。  new window
11.Merton, Robert C.(1974)。On the pricing of corporate debt: The risk structure of interest rate。Journal of Finance,29(2),449-470。  new window
12.Brooks, C.、Persand, G.(2003)。Volatility forecasting for risk management。Journal of Forecasting,22 (1),1-22。  new window
圖書
1.Alexander, C.(2001)。Market models: a guide to financial data analysis。New York:John Wiley & Sons。  new window
2.Altman, E. I.(1993)。Zeta analysis and other attempts to classify and predict business failures, in corporate financial distress and bankruptcy。New York:John Wiley & Sons。  new window
3.Caouette, J. B.、Altman, E. I.、Narayanan, P.(1998)。Managing credit risk: The next great financial challenge。New York:John Wiley & Sons。  new window
4.Cossin, D.、Pirotte, H.(2001)。Advanced credit risk analysis。New York:John Wiley & Sons。  new window
5.Christoffersen, Peter F.(2003)。Elements of financial risk management。Boston:Academic Press, Elsevier Science。  new window
6.Crosbie, P. J.、Bohn, J. R.(2003)。Modeling Default Risk。San Francisco, California, USA:KMV。  new window
7.Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。  new window
8.Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY:Morgan Guaranty Trust Company。  new window
9.Crouhy, Michel、Galai, Dan、Mark, Robert(2001)。Risk Management。New York:McGraw-Hill。  new window
 
 
 
 
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