|
1.江厚德 (2016),「不同計算風險值的方法的實例比較」,國立中央大學統計研究所碩士論文。 2.江美艷、陳欣怡 (2016),「金融工具大變革-談 IFRS 9」, 《證券暨期貨月刊》,34,30-44。 3.李明達 (2014) 《金融計算 : Excel VBA基礎實作》,臺北: 全華圖書。 4.林妍如 (2018),「零息可贖回債(ZCB)評價模型之比較與分析」, 《貨幣觀測與信用評等》,133,95-104。 5.林家璋、李岳霖 (2016),「我國國際債券市場十年發展歷程與展望」, 《證券暨期貨月刊》,34,16-30。 6.林楚雄、張簡彰程、謝景成 (2005),「三種修正歷史模擬法估計風險值模型之比較」, 《風險管理學報》,第7卷第2期,183-201。 7.宣葳、張士傑 (2019),「美金計價可贖回零息債券評價系統-理論與實作」, 《保險專刊》,35,245-278。 8.許素綾 (2017),「我國採用 IFRS 9 之政策評估介紹」, 《證券暨期貨月刊》,35,18-25。 9.陳子謙、黎致平 (2017),「以LSM評價國外可贖回零息債券(ZCB)」,《貨幣觀測與信用評等》,126,69-78。 10.陳松男 (2006) 《利率金融工程學 : 理論模型及實務應用》,臺北: 新陸書局。 11.陳達新、周恆志 (2018) 《財務風險管理:工具、衡量與未來發展》,臺北: 雙葉書廊。 12.趙育祥、黎致平 (2014),「不同利率模型下附可贖回(賣回)公司債評價與風險值計算」,《貨幣觀測與信用評等》,106,120-129。 13.劉美纓 (2006),「銀行投資組合風險值模型之測試與應用-個案分析」, 《金融風險管理季刊》,第2卷第1期,1-27。 14.戴天時、王釧茹、劉亮志、蘇立人、黃一峰 (2017),「建立美元零息可贖回國際債券公平價格評價模型」,台灣櫃檯買賣中心。 15.謝明華、蔡政憲、邱于芬、李宜熹、郭昭廷 (2018),「保險業的外幣投資的行為分析(寶島債/國際債)」,財團法人台北外匯市場發展基金會委託研究計劃。 16.鍾經樊 (2018),「Basel III市場風險內部模型之建立」, 《中央銀行季刊》,40,5-32。 17.鍾經樊 《金融商品價格與風險管理講義》。 18.蘇立人 (2017),「美元零息可贖回債券在Hull-White Model下之評價模型」,國立交通大學財務金融研究所碩士論文。 19.Black, F. (1976), “The pricing of commodity contracts,” Journal of Financial Economics, 3(1-2), 167-179. 20.Boudoukh, J., Richardson, M., and Whitelaw, R. (1998), “The best of both worlds,” Risk, 11(5), 64-67. 21.Brigo, D., and Mercurio, F. (2007), Interest rate models-theory and practice: with smile, inflation and credit, Springer Science & Business Media. 22.Christoffersen, P. F. (1998), “Evaluating interval forecasts,” International Economic Review, 841-862. 23.Christoffersen, P., and Pelletier, D. (2004), “Backtesting value-at-risk: A duration-based approach,” Journal of Financial Econometrics, 2(1), 84-108. 24.Dowd, K. (2005), Measuring Market Risk, Wiley Finance Series, John Wiley & Sons Ltd, 2 Edition. 25.Gurrieri, S., Nakabayashi, M., and Wong, T. (2009), “Calibration methods of Hull-White model,” Available at SSRN 1514192. 26.Henrard, M. (2003), “Explicit Bond Option Formula In Heath–Jarrow-Morton One Factor Model,” International Journal of Theoretical and Applied Finance, 6(01), 57-72. 27.Henrard, M. (2009), “Efficient swaptions price in Hull-White one factor model,” arXiv preprint arXiv:0901.1776. 28.Hull, J., and White, A. (1990), “Pricing interest-rate-derivative securities,” The review of financial studies, 3(4), 573-592. 29.Hull, J., and White, A. (1994a), “Numerical procedures for implementing term structure models I: Single-factor models,” Journal of derivatives, 2(1), 7-16. 30.Hull, J. (1996), “Using Hull-White interest rate trees,” Journal of Derivatives, 3(3), 26-36. 31.Hull, J., and White, A. (2001), “The general Hull-White model and supercalibration,” Financial Analysts Journal, 57(6), 34-43. 32.Hull, J. C., (2012), Options, Futures, and Other Derivatives, 8th Edition, Pearson. 33.Hull, J. C., (2018), Risk Management and Financial Institutions, 5th Edition, Wiley & Sons, Inc. 34.Jamshidian, F. (1989), “An exact bond option formula,” The journal of Finance, 44(1), 205-209. 35.Jorion Philippe. (2006), Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition, McGraw-Hill Education. 36.Kupiec, P. (1995), “Techniques for verifying the accuracy of risk measurement models,” The J. of Derivatives, 3(2). 37.The Basel Committee on Banking Supervision (2011), “Messages from the academic literature on risk measurement for the trading book,” Working Paper. |