:::

詳目顯示

回上一頁
題名:考慮雙方交易對手違約風險、標的資產違約風險與市場風險交互影響下信用違約交換之評價
書刊名:財務金融學刊
作者:王昭文張嘉倩 引用關係陳彥伶
作者(外文):Wang, Chou-wenChang, Chia-chienChen, Yan-ling
出版日期:2006
卷期:14:3
頁次:頁69-110
主題關鍵詞:信用違約交換信用風險市場風險雙方交易對手違約風險標的資產違約風險Credit default swapsCredit riskMarket riskBilateral counterparty risksReference risk
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:24
期刊論文
1.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
2.Hull, J. C.、White, A.(2001)。Valuing Credit Default Swaps II: Modeling Default Correlations。Journal of Derivatives,8(3),12-22。  new window
3.Campbell, John Y.、Taksler, G. B.(2003)。Equity Volatility and Corporate Bond Yields。Journal of Finance,58(6),2321-2350。  new window
4.Kao, D. L.(2000)。Estimating and Pricing Credit Risk: An Overview。Financial Analysts Journal,56(4),50-66。  new window
5.Kusuoka, S.(1999)。A Remark on Default Risk Model。Advanced Mathematical Economics,1(1),69-82。  new window
6.Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance,31(2),351-367。  new window
7.Lando, D.(1998)。On Cox processes and credit risky securities。Review of Derivatives research,2(2),99-120。  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.Jarrow, Robert A.、Yu, Fan(2001)。Counterparty risk and the pricing of defaultable securities。The Journal of Finance,56(5),1765-1799。  new window
10.Hull, John、White, Alan(2000)。Valuing Credit Default Swaps I: No Counterparty Default Risk。Journal of Derivatives,8(1),29-40。  new window
11.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
12.Brigo, D.、Alfonsi, A.(2005)。Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Mode。Finance and Stochastics,9,29-42。  new window
13.Duffee, G. R.(1998)。The Relationship between Treasury Yields and Corporate Bond Yield Spreads。The Journal of Finance,53(6),2225-2241。  new window
14.Heath, D.、Jarrow, R.、Morton, A.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology of Contingent Claims Valuation。Econometrica,60,77-105。  new window
15.Huang, J. Z.、Kong, W.(2003)。Explaining Credit Spread Changes: New Evidence from Option-adjusted Bond Indexes。The Journal of Derivatives,11(1),30-44。  new window
16.Jarrow, R. A.、Yildirim, Y.(2002)。Valuing Default Swaps under Market and Credit Risk Correlation。The Journal of Fixed Income,11(4),7-19。  new window
17.Kijima, M.(2000)。Valuation of Credit Swap of the Basket Type。Review of Derivatives Research,4,81-97。  new window
18.Kijima, M.、Muromachi, Y.(2000)。Evaluation of Credit Risk of a Portfolio with Stochastic Interest Rate and Default Process。Journal of Risk,3(1),5-36。  new window
學位論文
1.Lando, D.(1994)。Three Essays on Contingent Claim Pricing,0。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE