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題名:建構臺灣投資等級信用組合與其基礎相關性之研究
書刊名:財務金融學刊
作者:李賢源 引用關係鍾懿芳 引用關係陶亞蘭
作者(外文):Lee, Shyan YuanChung, Yi FangTao, Ya Lan
出版日期:2011
卷期:19:3
頁次:頁121-159
主題關鍵詞:擔保債權憑證批次證券基礎相關性指數信用價差違約回復率首次支付費用Collateralized debt obligationTrancheBase correlationIndex spreadRecovery rateUpfront fee
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:1
  • 點閱點閱:59
期刊論文
1.Sklar, M.(1959)。Fonctions de ŕepartition à n dimensions et leurs marges。Publ. Inst. Statist. Univ. Paris,8,229-231。  new window
2.Collin-Dufresne, P.、Goldstein, R. S.(2001)。Do Credit Spreads Reflect Stationary Leverage Ratios?。Journal of Finance,56(5),1929-1957。  new window
3.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
4.Duffie, D.、Singleton, K.(1999)。Modeling term structures of defaultable bonds。Review of Financial Studies,12(4),687-720。  new window
5.江彌修、岳夢蘭、林恩平(20090300)。條件獨立假設下合成型擔保債權憑證之評價與避險。財務金融學刊,17(1),1-40。new window  延伸查詢new window
6.江彌修、岳夢蘭、李蕙君(20080900)。雙層保護合成型擔保債權憑證之評價與風險特徵研究。經濟論文,36(3),277-316。new window  延伸查詢new window
7.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
8.Das, S. R.、Duffie, D.、Kapadia, N.、Saita, L.(2007)。Common failings, How corporate defaults are correlated?。Journal of Finance,62(1),93-117。  new window
9.Geske, R.(1977)。The Valuation of Corporate Liabilities as Compound Options。Journal of Financial and Quantitative Analysis,12(4),541-552。  new window
10.Laurent, J. P.、Gregory, J.(2005)。Basket default swaps, CDOs and Factor Copulas。Journal of Risk,7(4),103-122。  new window
11.Li, David X.(2000)。On Default Correlation: A Copula Function Approach。Journal of Fixed Income,9(4),43-54。  new window
12.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
13.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
14.Ding, X.、Gieseke, K.、Tomeecek, P. I.(2009)。Time-changed Birth Processes and Muti-name Credit Derivatives。Operation Research,57,990-1005。  new window
15.Giesecke, Kay、Weber, Stefan(2003)。Cyclical Correlations, Credit Contagion and Portfolio Loss。Journal of Banking and Finance。  new window
16.Huang, Y. L.(2007)。On the Pricing of Collateralized Debt Obligation: A Copula Function Approach。Academia Economic Papers,35(1),21-52。  new window
17.Liao, S. L.,、Lee, F. C.(2005)。Valuation of Collateralized Debt Obligations - Copula Method。Taiwan Banking & Finance Quarterly,6(2),53-84。  new window
18.Vasicek, Oldrich(2002)。Loan Portfolio Value。Risk,15,160-162。  new window
研究報告
1.Duan, J. C.、Gauthier, G.、Simonato, J. G.(2004)。On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models。University of Toronto。  new window
2.Albanese, Chen、Dalessandro、Vidler,(2005)。Dynamic Credit Correlation Modeling。  new window
3.Baxter, M.(2006)。Levy Process Dynamic Modeling of Single Name Credits and CDO Tranches。  new window
4.Hull, J.、Predescu, M.、White, A.(2005)。The Valuation of Correlation-dependent Credit Derivatives Using a Structural Model。  new window
圖書
1.Vasicek, Oldrich(1987)。Probability of Loss on Loan Portfolio。  new window
2.Vasicek, Oldrich(1991)。Limiting Loan Loss Distribution。  new window
 
 
 
 
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