[1]Anthony,S.Creidt risk measurement[M].Ch.1,1999. [2]CreidtMetrics. Technical Document[R].JP Morgan,1997. [3]Credit Suisse. CreditRisk+:A Credit Risk Management Framework[J]. Credit Suisse Financial Products, 1997. [4]Crouhy,M.,Galai,D.,Mark,R. A comparative analysis of current credit risk models[J].Journal of Banking and Finance, 2000,24(1/2):59-120. [5]Gordy,M.A comparative anatomy of credit risk models[J]. Journal of Banking and Finance, 2000, 24(1/2):119-149. [6]Kealhofer,S. Managing default risk in portfolios of derivatives[J].In:Derivative Credit Risk,Ch.4 Risk Publications,1995,49-66. [7]Kealhofer,S.Portfolios management of default risk[J].Net Exposure1,1998,(2). [8]Kiesel,R.,Perraudin,W.,Taylor,A.The structure of credit risk[J].Birkbeck College,London 1999. [9]Merton,R.On the pricing of corporate debt:The risk structure of interest rates[J].Journal of Finance, 1974, 28:449-470. [10]Nickell,P.,Perraudin,W.,Varotto,S.Ratings-versus equity-based credit risk models:an empirical investigation[R].Bank of England working paper,1998. [11]Patricia,J.,William,P.Regulatory implications of credit risk modeling[J].Journal of Banking and Finance, 2000,24:1-14. [12]Roll,R.,R2.Journal of Finance, 1998, XLⅢ(2),541-566. [13]Wilson,T.Portfolio credit risk I[J].Risk,September,1987,10(9). [14]Wilson,T.Portfolio credit risk Ⅱ[J].Risk, October,1997,10(10). |