REFERENCES

S. R. Das, L. Freed, G. Geng, and N. Kapadia (2006). Correlated default risk. Journal of Fixed Income 16, 2: 1–26.

M. Evans, N. Hastings, and B. Peacock (2000). Statistical Distributions. Hoboken, NJ: Wiley Interscience.

G. M. Gupton, C. Finger, and R. Bhatia (1977).CreditMetrics—Technical Document. RiskMetrics Group.

D. T. Hamilton, R. Cantor, and S. Ou (2002). Default and Recovery Rates of Corporate Issuers. Moody'sInvestors Service.

S. Kealhofer, and J. R. Bohn (2001). Portfolio Management of Default Risk. KMV Corporation.

H. M. Markowitz (1952). Portfolio selection. Journal of Finance 7, 1: 77–91.

H. M. Markowitz (1959). Portfolio Selection: Efficient Diversification of Investments. Cowles Foundation Monograph 16. New York: John Wiley & Sons.

R. C. Merton (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance 29: 449–470.

M. Ong (1999). Internal Credit Risk Models: Capital Allocation and Performance Measurement. London: Risk Books.

S. Ramaswamy (2003). Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide. Hoboken, NJ: John Wiley & Sons.

K. VanderCastle, and D. Keisman (1999). Recovering Your Money: Insights into Losses from Defaults. Standard & Poor's Corporation.

B. Zeng, and J. Zhang (2002). Measuring Credit Correlations: Equity Correlations Are Not Enough.KMV Corporation.

Get Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.