Credit risk measurement: Developments over the last 20 years
Tóm tắt
Từ khóa
Tài liệu tham khảo
Altman, E.I., 1968. Financial ratios discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 589-609
Altman, E.I., 1988. Default Risk, Mortality Rates, and the Performance of Corporate Bonds. Research Foundation, Institute of Chartered Financial Analysts, Charlottesville, VA
Altman, E.I., 1989. Measuring corporate bond mortality and performance. Journal of Finance September, 909–922
Altman, E.I., 1993. Corporate Financial Distress and Bankruptcy, 2nd ed. Wiley, New York
Altman, E.I., Haldeman, R., Narayanan, P., 1977. Zeta analysis: A new model to identify bankruptcy risk of corporations. Journal of Banking and Finance 29–54
Altman, E.I., Hartzell, J., Peck, M., 1995. A Scoring System for Emerging Market Corporate Debt. Salomon Brothers, 15 May
Altman, E.I., Kao, D.L., 1992. The implications of corporate bond rating drift. Financial Analysts Journal June, 64–75
Altman, E.I., Kishore, V., 1995. Default and returns in the high yield debt market, 1991–1995, NYU Salomon Center Special Report
Altman, E.I., Kishore, V., 1997. Default and returns in the high yield debt market, 1991–1996, NYU Salomon Center Special Report
Altman, E.I., Marco, G., Varetto, F., 1994. Corporate distress diagnosis: Comparisons using linear discriminant analysis and neural networks (The Italian Experience), Journal of Banking and Finance 505–529
Altman, E.I., Narayanan, P., 1997. Business Failure Classification Models: An International Survey. In: Choi, F. (Ed.), International Accounting, 2nd ed. Wiley, New York
Asquith, P., Mullins Jr., D.W., Wolff, E.D., 1989. Original issue high yield bonds: Aging analysis of defaults, exchanges and calls. Journal of Finance 923–953
Bennett, P., 1984. Applying portfolio theory to global bank lending. Journal of Banking and Finance 153–169
Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 637–659
Brewer, E., Koppenhaver, G.D., 1992. The impact of standby letters of credit on bank risk: A note. Journal of Banking and Finance 1037–1046
Chirinko, R.S., Guill, G.D., 1991. A framework for assessing credit risk in depository institutions: Toward regulatory reform. Journal of Banking and Finance 785–804
Coats, P., Fant, L., 1993. Recognizing financial distress patterns using a neural network tool. Financial Management 142–155
Credit Metrics®, 1997. J.P. Morgan & Co., New York (April 3)
Elton, E., Gruber, M., 1995. Modern Portfolio Theory and Investment Analysis, 5th ed. Wiley, New York
Hull, J., White, A., 1995. The impact of default risk on the prices of options and other derivative securities. Journal of Banking and Finance 299–322
Iben, T., Litterman, R., 1989. Corporate bond valuation and the term structure of credit spreads. Journal of Portfolio Management 52–64
Jagtiani, J., Saunders, A., Udell, G., 1995. The effect of bank capital requirements on bank off-balance sheet financing. Journal of Banking and Finance 647–658
Jonkhart, M., 1979. On the term structure of interest rates and the risk of default. Journal of Banking and Finance 253–262
Journal of Banking and Finance, 1988. Supplement Studies in Banking and Finance, “International Business Failure Prediction Models”
Kealhofer, S., 1996. Measuring Default Risk in Portfolios of Derivatives. Mimeo KMV Corporation, San Francisco, CA
KMV Corporation, 1993. Credit Monitor Overview, San Francisco, Ca, USA
Lawrence, E.L., Smith, S., Rhoades, M., 1992. An analysis of default risk in mobile home credit. Journal of Banking and Finance 299–312
McAllister, P., Mingo, J.J., 1994. Commercial loan risk management, credit-scoring and pricing: The need for a new shared data base. Journal of Commercial Bank Lending 6–20
McElravey, J.N., Shah, V., 1996. Rating Cash Flow Collateralized Bond Obligations. Special Report, Asset Backed Securities, Duff and Phelps Credit Rating Co., Chicago, IL, USA
McKinsey, 1993. Special report on “The new world of financial services” The McKinsey Quarterly, Number 2
McQuown, J., 1994. All that counts is diversification: In bank asset portfolio management. IMI Bank Loan Portfolio Management Conference, May 11
Markowitz, H., 1959. Portfolio Selection: Efficient Diversification of Investments, Wiley, New York
Martin, D., 1977. Early warning of bank failure: A logit regression approach. Journal of Banking and Finance 249–276
Moody's Special Report, 1990. Corporate Bond Defaults and Default Rates, 1970–1989, April
Morningstar Mutual Funds User's Guide, 1993. Chicago, Morningstar, Inc
Platt, H.D., Platt, M.B., 1991a. A note on the use of industry-relative ratios in bankruptcy prediction. Journal of Banking and Finance 1183–1194
Platt, H.D., Platt, M.B., 1991b. A linear programming approach to bond portfolio selection. Economic Financial Computing, Spring 71–84
Santomero, A., Vinso, J., 1977. Estimating the probability of failure for firms in the banking system. Journal of Banking and Finance 185–206
Saunders, A., 1997. Financial Institutions Management: A Modern Perspective, 2nd ed. Irwin, Homewood, IL
Scott, J., 1981. The probability of bankruptcy: A comparison of empirical predictions and theoretical models. Journal of Banking and Finance. September, 317–344
Smith, L.D., Lawrence, E., 1995. Forecasting losses on a liquidating long-term loan portfolio. Journal of Banking and Finance 959–985
Sommerville, R.A., Taffler, R.J., 1995. Banker judgement versus formal forecasting models: The case of country risk assessment. Journal of Banking and Finance 281–297
Standard and Poor's, 1991. Corporate Bond Default Study. Credit Week, September 16
Trippi, R., Turban, E., 1996. Neural Networks in Finance and Investing, revised ed. Irwin, Homewood, IL
West, R.C., 1985. A factor-analytic approach to bank condition. Journal of Banking and Finance 253–266