| 期刊論文| 1. | Madan, D.、Unal, H.(1998)。Pricing the Risks of Default。Review of Derivatives Research，2，121-160。   | | 2. | Jarrow, R. A.、Lando, D.、Turnbull, S. M.(1997)。A Markov Model for the Term Structure of Credit Risk Spreads。Review of Financial Studies，10(2)，481-523。 | | 3. | Duffee, Gregory R.(1998)。The Relation between Treasury Yields and Corporate Bond Yield Spreads。Journal of Finance，53(6)，2225-2241。 | | 4. | Duffie, D.、Singleton, K.(1999)。Modeling term structures of defaultable bonds。Review of Financial Studies，12(4)，687-720。 | | 5. | Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica，53(2)，385-408。 | | 6. | Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance，52(4)，1287-1321。 | | 7. | Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance，50(1)，53-85。 | | 8. | Singleton, Kenneth J.、Singleton, K. J.(2001)。Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function。Journal of Econometrics，102，111-141。 | | 9. | Lando, D.(1998)。Cox Processes and Credit-risky Securities。Review of Derivatives Research，2，99-120。 | | 10. | Schönbucher, P. J.(1998)。Term Structure Modelling of Defaultable Bonds。Reviews of Derivatives Research，2，161-192。 | | 11. | Janosi, T.、Jarrow, R.、Yildirim, Y.(2002)。Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices。Journal of Risk，5，1-38。 | | 12. | Frühwirth, M.、Sögner, L.(2006)。The Jarrow/Turnbull Default Risk Model: Evidence from the German Market。European Journal of Finance，12，107-135。 | | 13. | Düllmann, K.、Windfuhr, M.(2000)。Credit Spreads between German and Italian Sovereign Bonds - Do Affine Models Work?。Canadian Journal of Administrative Sciences，17(2)，166-179。 | | 14. | Durham, G. B.、Gallant, A. R.(2002)。Numerical Techniques for Maximum Likelihood Estimation of Continuous-time Diffusion Processes。Journal of Business & Economic Statistics，20，297-338。 | | 15. | Pedersen, A. R.(1995)。A New Approach to Maximum Likelihood Estimation for Stochastic Differential Equations Based on Discrete Observations。Scandinavian Journal of Statistics，22，55-71。 | | 16. | Houweling, P.、Vorst, T.(2005)。Pricing Default Swaps: Empirical Evidence。Journal of International Money and Finance，24(8)，1200-1225。 | | 17. | Duffie, D.、Pedersen, L. H.、Singleton, K. J.(2003)。Modeling Sovereign Yield Spreads: A Case Study of Russian Debt。Journal of Finance，58，119-160。 | | 18. | Keswani, A.(2005)。Estimating a Risky Term Structure of Brady Bonds。The Manchester School，73，99-127。 | 研究報告| 1. | Pan, J.、Singleton, K. J.(2005)。Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads。0。 | | 2. | Lee, J. C.、Zhou, S.(2006)。Estimation Bias for Mean Reversion with Simulated Likelihood Approximation under Continuous Time Stochastic Process。0。 | | 3. | Driessen, J.(2001)。The Cross-firm Behavior of Credit Spread Term Structures。0。 | | 4. | Nielsen, S. S.、Ronn, E. I.(1998)。The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps。0。 | | 5. | Bakshi, G.、Madan, D.、Zhang, F.(2001)。Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates。0。 | | 6. | Geyer, A.、Kossmeier, S.、Pichler, S.(2001)。Empirical Analysis of European Government Yield Spreads。0。 | 圖書| 1. | Lando, D.(2004)。Credit Risk Modeling: Theory and Applications。Princeton University Press。 | | 2. | Duffie, D.、Singleton, K.(2003)。Credit Risk: Pricing, Measurement and Management。Princeton, NJ：Princeton University Press。 | | 3. | Das, S.(2004)。Swaps/ Financial Derivatives: Products, Pricing, Applications and Risk Management。Swaps/ Financial Derivatives: Products, Pricing, Applications and Risk Management。0。 | |