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題名:障礙選擇權違約風險模型之績效與應用
書刊名:管理學報
作者:周恆志
作者(外文):Chou, Heng-chih
出版日期:2009
卷期:26:3
頁次:頁275-289
主題關鍵詞:違約風險障礙選擇權違約機率違約門檻值信用評分法Default riskBarrier optionDefault probabilityDefault barrierCredit ratings
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(3) 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:3
  • 共同引用共同引用:21
  • 點閱點閱:33
期刊論文
1.Reisz, A. S.、Perlich, C.(2007)。A market-based framework for bankruptcy prediction。Journal of Financial Stability,3(2),85-131。  new window
2.Madan, D.、Unal, H.(1998)。Pricing the Risks of Default。Review of Derivatives Research,2,121-160。  new window
3.Jarrow, R. A.、Turnbull, S. M,(2000)。“The Intersection of Market and Credit Risk”。Journal of Banking & Finance,vol. 24,pp. 271-299。  new window
4.Chou, H. C.、Wang, D.(2007)。Performance of Default Risk with Barrier Option Framework and Maximum Likelihood Estimation: Evidence from Taiwan。Physica A,358,270-280。  new window
5.Ericsson, Jan、Reneby, Joel(2005)。Estimating Structural Bond Pricing Models。The Journal of Business,78,707-735。  new window
6.Tudela, M.、Young, G.(2003)。Predicting Default Among UK Companies。Financial Stability Review,13,104-114。  new window
7.Wang, H. Y.、Choi, T. W.(2009)。Estimating Default Barriers from Market Information。Quantitative Finance,9(2),187-196。  new window
8.Collin-Dufresne, P.、Goldstein, R. S.(2001)。Do Credit Spreads Reflect Stationary Leverage Ratios?。Journal of Finance,56(5),1929-1957。  new window
9.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
10.Vassalou, Maria、Xing, Yuhang(2004)。Default risk in equity returns。Journal of Finance,59(2),831-868。  new window
11.Brockman, P.、Turtle, H. J.(2003)。A Barrier Option Framework for Corporate Security Valuation。Journal of Financial Economics,67(3),511-529。  new window
12.Duan, J. C.、Moreau, A. F.、Sealey, C. W.(1995)。Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implication。Journal of Banking & Finance,19,1091-1108。  new window
13.Duan, Jin Chuan、俞明德(1994)。Assessing the cost of Taiwan's deposit insurance。Pacific-Basin Finance Journal,2(1),73-90。  new window
14.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
15.Jones, E.、Mason, S.、Rosenfeld, E.(1984)。Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation。The Journal of Finance,39,611-627。  new window
16.Duan, Jin-Chuan(1994)。Maximum Likelihood Estimation Using Price Data Of The Derivative Contract。Mathematical Finance,4(2),155-167。  new window
17.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
18.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
19.陳業寧、王衍智、許鴻英(20040700)。臺灣企業財務危機之預測:信用評分法與選擇權評價法孰優?。風險管理學報,6(2),155-179。new window  延伸查詢new window
20.Altman, Edward I.(1968)。Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy。The Journal of Finance,23(4),589-609。  new window
21.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
22.蘇敏賢、林修葳(2006)。Merton 模型預測違約之使用限制。金融風險管理季刊,第二卷第三期,65-879。  延伸查詢new window
23.Duan, J. C.,(2000)。Correction:Maximum Likelihood Estimation Using Price Data of the Derivate Contract。Mathematical Finance,10(4),461- 462。  new window
24.Kealhofer, S.,(2003)。Quantifying Credit Risk I: Default Prediction。Financial Analysts Journal,59(1),30-44。  new window
25.Rich. D.,(1994)。The Mathematical Foundations of Barrier Options。Advances in Futures and Options Research,7,267-311。  new window
研究報告
1.Duan, J. C., G. Gauthier, J. G. Simonato and S. Zaanoun,(2003)。Estimating Merton’s Model by Maximum Likelihood with Survivorship Consideration。  new window
2.Duan, J. C., G. Gauthier, J. G. Simonato and S. Zaanoun,(2002)。Maximum Likelihood Estimation of Structural Credit Spread Models: Deterministic and Stochastic Interest Rates。  new window
3.Duan, J. C., G. Gauthier and J. G. Simonato,(2005)。On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models。  new window
4.Marin, J., R. Medina and A. Ponce(2006)。Un Analisis DeLos Modeos Contables Y De Mercado En LaEvaluacion Del Riesgo De Credito: Aplicacon AlMercado Bursatil Espanoli。  new window
5.Matters, J.,(2004)。Size Effect and Default Risk in the UK。  new window
圖書
1.Crosbie, P.J. and J.R. Bohn,(2002)。Modeling Default Risk。San Francisco:KMV Corporation。  new window
2.Kealhofer, S.、Kurbat, M.(2001)。The Default Prediction Power of Merton Approach, Relative to Debt Ratings and Accounting Variables。KMV Corporation。  new window
3.Ingersoll, J. E.(1987)。Theory of Financial Decision Making。Maryland:Rowman-Littlefield。  new window
4.Altman, E., J. Hartzell and M. Peck,(1995)。Emerging Markets Corporate Bonds: A Scoring System。New York。  new window
5.Saunders, A. and L. Allen,(2002)。Credit Risk Measurement。New York。  new window
 
 
 
 
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