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  • 學位論文

公司債價差風險要素分析

Corporate Bond Yield Analysis

指導教授 : 李培齊 林景春
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參考文獻


Altman, E.I. and Saunders, A, 1998, Credit risk measurement: development over the last 20 years’, Journal of Banking and Finance 21: 1721-1742.
Anson, Fabozzi, Choudhry, Chen, 2004, Instruments, applications, and Pricing, John Wiley & Sons, Inc.
Benkert, Christoph, 2004, Explaining Credit Default Swap Premia, The Journal of Futures Markets 24: 71-92
Bernt, A., R.Douglas, D. Duffie, M. Ferguson, and D. Schranz, 2004, Measuring Default Risk premia from Default Swap Rates and EDFs, Working paper, Stanford Univeristy.
Black, Fischer, and Myron Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81: 637-654.

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