Page 296 - 次貸風暴下的省思－解開CDS及CDO密碼

註釋

1. 參閱 John C. Hull and Alan White (2000) “ Valuing Credit Default Swaps I: No
Counterparty Default Risk ” ； The Journal of Derivatives,

參閱
Elton, E., M. Gruber, D. Agrawal, & C. Mann (2001)
3. 2. 參閱 Iddo Yekutieli “ Pricing Credit Default Swaps ” , Bloomberg. “ Explaining the Rate
Spread on Corporate Bonds ” ； Journal of Finance 56 .
4. 參閱 Philippe Jorion (2005) “ Financial Risk Manager Handbook ” ； Third
Edition , John Wiley & Sons, Inc.,

5. 參閱 Merton, R. (1974) “ On the Pricing of Corporate Debt: The Risk Structure of
Interest Rates ” ； Journal of Finance 29, 49-470.
6. 參閱 F. Black and M. Scholes (1973) “ The Pricing of Options and Corporate

Liabilities ” ； Journal of Political Economy, 82, 637-659.
7. Cifuentes, A., and G. O’Connor (1996) “The Binomial Expansion Method Applied

to CBO/CLO Analysis, Moody’s Special Report.
8. Ingo Fender and John Kiff （ 2004 ） “CDO Rating Methodology : Some Thouthts
on Model Risk and its Implications ” ； BIS Working Papers No 163

9. Li, D.X. (2000)“On Default Correlation: A Copula Approach” ； Journal of Fixed
Income, Vol.9 (March 2000), pp. 43-54.

10. Andersen, L., J. Sidenius and S. Basu (2003)“All your Hedges in One Basket”,
Risk (November), 67–72.
11. Laurent, J.P. and J. Gregory (2003)“B asket Default Swaps, CDO’s and Factor

Copulas” ； Working Paper, ISFA Actuarial School, University of Lyon.
12. Hull, J. and A. White (2004)“Valuati on of a CDO and an nth to Default CDS

without Monte Carlo Simulation”, Journal of Derivatives, 12.
13. Martin, R. (2004) ； Credit Portfolio Modeling Handbook

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