Диссертация (1138352), страница 17
Текст из файла (страница 17)
Marsh, An empirical analysis ofthe dynamic relationship between investment grade bonds and credit defaultswaps, Bank of England Working paper, 200328. Bringo, D. and Mercurio, F., Interest rate models: theory and practice,Sringer Finance, 2001.29. Chacko, G. Credit Derivatives: A Primer on Credit Risk, Modeling, andInstruments, Wharton School Publishing, 200630. Chaplin,G.CreditDerivatives:Trading,Investing,andRiskManagement, The Willey Finance Series, 201031.
Choudhry, M The Credit Default Swap Basis, Bloomberg Press, 200632. Collin-Dufresne, P., and R. Goldstein, Do Credit Spreads ReflectStationary Leverage Ratios, Journal of Finance, 52 (2001), 1929-1957.33. Cooper I.A., Asset values, interest rate changes, and duration, Journal ofFinancial and Quantitative Analisys, # 12, pp.
701-724, 1977.34. Cossin, D. and Hricko, T., Exploring the determinants of credit risk incredit default swap transaction data, University of Lausanne, Working paper,200135. Cossin, D. and Hricko, T., Exploring the determinants of credit risk incredit default swap transaction data, University of Lausanne, Working paper,200136.
Cox, J. Notes on Option Pricing I: Constant Elasticity of Diffusions.Unpublished draft, Stanford University, 197513837. Cox, J. The valuation of options for alternative stochastic processes,Journal of Financial Economics 3, 145-166, 197638. Cox, J. The constant elasticity of variance option pricing model, TheJournal of Portfolio Management Special Issue, 15-17, 199639. Cox, J., Ross, S. and Rubinstein, M., Option pricing: a simplifiedapproach, Journal of Financial Economics, 7, 229-263, 197940. Cox, J.C., Ingersoll, J.E. and Ross, S.A., A theory of the term structureof interest rates, Econometrice, 53 (2), 385-407, 1985.41.
Crosbie, P., and J. Bohn, 2003, Modeling Default Risk, White Paper,Moody's KMV42. Das, S.R., Credit risk derivatives, Journal of Derivatives, 2, 7-23, 199543. Dubovsky, D. Valuation and Risk Management, Oxford UniversityPress, 200244. Duffie, D. and Singleton, K. (1999). “Modeling Term StructuresofDefaultable Bonds.” Review of Financial Studies,12(4), 197–22645. Duffie, D. and Lando, D., Term structures of credit spreads withincomplete accounting information, Econometrica, 69, 633-664, 200146.
Duffie, D. and Huang, M. Swap rates and credit quality, Journal ofFinance, №51(1996), 921-94947. Duffie, D., Credit swap valuation, Financial Analysis Journal, 73-87,199948. Elizade, A., Credit risk models I: default correlation in intensity models,CEMFI working paper, 200649. Finger, C. CreditGrades Technical Document, www.creditgrades.com,May 2002.50. Finkelstein, V., Ginger., Lardy J.-P., и др. CreditGrades™ TechnicalDocument, 2002.13951. Gemmill, G., Testing Merton’s Model for Credit Spreads on Zerocoupon Bonds, Working paper, City University Business School, London,200252. Geske, R. The Valuation of Corporate Liabilities as Compound Options,Journal of Financial and Quantitative Analysis, Vol. 12, No.
4, pp. 541-552,197753. Hegan, P., Kumar, D., Lesniewski, A., Woodward, D. E. Managingsmile risk, WILMOTT Magazine, Sept. 200354. Hagan, P. and West, G., Interpolation methods for yield curveconstruction, Working paper, 200455. Hamilton, D.T., Varma, P., Ou, S. and Cantor, R., Default and recoveryrates of corporate bonds issues, Moody’s Investor’s Services, 200556.
Heston, S. A Closed-Form Solution for Options with StochasticVolatility with Applications to Bond and Currency Options, The Review ofFinancial Studies, Volume 6, № 2, pp. 327–343, 199357. Hu, H. and Lawrence, L. (2000). Estimating Recovery Rates, Internaldocument, JPMorgan58. Hull, J., Nelken, I., and White. A., “Merton’s Model, Credit Risk, andVolatility Skews”, Working paper, University of Toronto and SuperComputing Consulting Group, Chicago. 199359. Hull, J.
C. Options, futures, and other derivatives. Pearson Education,2006.60. Hull, J., and White, A. Valuing credit default Swaps I: No counterpartyrisk, Working paper, 200061. Hull, J., and White, A., The valuation of credit default swap option,Journal of derivatives, 10 (3), 40-50, 200362. Hull, J., and White, A., Valuing credit default Swaps II: modelingdefault correlation, Journal of Derivatives, 8 (3), 12-22, 200114063. Hull, J., Predescu, M., and White, A., The valuation of correlationdependent credit derivatives using a structural model, Working Paper, 200564.
Iacono, F. Derivatives Handbook: Risk Management and Control, TheWilley Finance Series, 199765. Ilmanen, A., Market rate Expectation and Forward Rates, Journal ofFixed Income, pp. 8-22., 199666. Jamshidan, F., Valuation of credit default swap and swaption, NibCapital, Working Paper, 200267. Jumshidan, F., LIBOR and market model and measures, Finance andStochastic, 1 (4), 293-330, 199768. Jarrow, R., Lando, D., and Turnbull, S. (1997). A Markov Model for theTerm Structure of Credit Risk Spreads. Review of Financial Studies 10,481–523.69.
Jarrow, R. and Turnbull, S. (1992). “Credit Risk: Drawing the Analogy.”Risk Magazine 5(9).70. Jarrow, R. and Turnbull, S., Pricing options on derivative securitiessubject to credit risk, Journal of Finance, 1, 53-85, 199571. Jarrow, R. and Yu., Counterparty risk and the pricing of defaultablesecurities, Journal of Finance, 61, 1765-1799, 200172. Jones P., Mason S. and Rosenfeld E., Contingent Claims Analysis ofCorporate Capital Structure: An Empirical Investigation, pp 611-625,Journal of Finance, American Finance Association, 1984.73. Lando, D., On Cox processes and credit risky securities.
Review ofDerivatives Research, № 2(2/3), 99–120, 1998.74. Litterman, R. and T. Iben, Corporate Bond Valuation and the TermStructure of Credit Spreads, Journal of Portfolio Management, 17 (1991),52-64.75. Longstaff, F., and Rajan, A. An empirical analysis of the pricing ofcollateralized debt obligations. Journal of Finance 63, 529–563. 200814176. Longstaff, F.A., Schwartz, E.S., A simple approach to valuing riskyfixed and floating rate debt, Journal of Finance, 50 (3), 1995.77.
Kealhofer, S. Quantifying Credit Risk I: Default Prediction, FinancialAnalysts Journal, January/February. 2003a78. Kealhofer, S., Quantifying Credit Risk II: Debt Valuation, FinancialAnalysts Journal, March/April. 2003b79. Madan, D.B. and Unal, H., Pricing the risk of default, Review ofDerivative Research, 2 (2/3), 121-160, 1998.80. McCulloch J.H., Measuring the Term structure of interest Rates, Journalof Business, pp. 19-31, 1971.81. Merrick, J.J. Crisis dynamics of implied default recovery ratios:evidence from Russia and Argentina, Journal of Banking and Finance, 20(10), 1921-1939, 2001.82.
Merton, R. On the pricing of corporate debt: the risk structure of interestrates, Journal of Finance, 29, 449-470, 197483. Mortensen, A. Semi-analytical valuation of basket credit derivatives inintensity-based models. Journal of Derivatives 13, 8–26. 200684. Musiela, M. and Rutkowski, M. Martingale Methods in FinancialModelling, 2nd edn, Springer-Verlag, Berlin. 1998.85.
Myhre, H., Ree, A., Westbye, A., An Empirical Analysis of StructuralCredit RiskModels and Capital Structure Arbitrage, Маster Thesis, NorwegianUniversity of Science and Technology, 200486. Neftci, S.N. An Introduction of the Mathematics of FinancialDerivatives, Academic Press, New York, 1996.87. Nielsen. L.T., Pricing and Hedgind of Derivative Securities, OxfordUniversity Press, Oxford, 1999.88. O’Kane, D. and Schloeg, L., A counterparty risk framework forprotection buyers, Lehman Brothers Quantitative Credit Research, 200114289.
O’Kane, D. and Turnbull, S., Valuation of credit default swaps, LehmanBrothers Quantitative Credit Research Quarterly, 200390. Pan, J., and Singleton, K. (2008). Default and recovery implicit in theterm structure of sovereign CDS spreads. Journal of Finance 63, 2345–2384.91. Papageorgiou, E., and Sircar, R. (2008). Multiscale intensity models andname grouping for valuation of multi-name credit derivatives. AppliedMathematical Finance 15, 73–105.92. Rubinstein, M. and Reiner, E. Breaking Down the Barriers, Risk pp. 28–35. 199193.
Schonbucher, P. J., Credit derivatives pricing models, John Wiley &Sons, - 375 с., 2003.94. Schonbucher, P.J., A Libor market model with default risk, BonnUniversity, Working Paper, 200095. Schonbucher, P.J., Credit risk modeling and credit derivatives, PhDthesis, Faculty of Economics, Bonn University, 200096. Schonbucher, P.J., Factor models for portfolio credit risk, Department ofStatistics, Bonn University, 200097. Schonbucher, P.J., Pricing credit risk derivatives, London School ofEconomics, Financial Marked Group, Working Paper, 199798. Smithson, G.
Credit Portfolio Management, Wiley Finance Series, 200399. Vasicek, O. “An Equilibrium Characterization of the Term Structure”,Journal of Financial Economics 5, 177–188. 1977.100. Vasicek O. Gong G., Term structure Modeling Using ExponentialSplines, Journal of Finance, 1982101. Vasicek, O. Credit Valuation, KMV Corporation, 1984102. Zhou, C., An analysis of default correlation and multiple defaults,Review of Financial Studies, 14 (2), 555-576, 2001143.
![](https://s.studizba.com/z.php?f=/templates/si/i/noavatar.png&w=100&h=100&t=1"){kind=avatar}
