Page 297 - 次貸風暴下的省思－解開CDS及CDO密碼
P. 297
14. Taras,D., C. Cloke-Browne and E. Ka limtgis (2005), “Analytical Improvment of
the Saddle-Point Approximation and Spread Risk Attribution in a Portfolio of
Tranches” ； Working Paper, Portfolio Manageme nt Group in Capital Market at
Dresdner Kleinwort Wasserstein. nt Approximations in Statistics” ； The Annals of
15. Daniels, H.E. (1954)“Saddlepoi
Mathematical Statisti cs, 25(4), 631–650.
289
