[1]
|
R. C. Merton, “On the pricing of corporate debt: The risk structure of interest rate,” The Journal of Finance, 29 1974.
|
[2]
|
S Henke, H. P. Burghof, and B. Rudolph, “Credit securitization and credit derivatives: Financial instruments and the credit risk management of middle market com-mercial loan portfolios”, CFS Working paper Nr, July 1998.
|
[3]
|
A. Greenspan, “Economic flexibility,” Speech to HM Treasury Enterprise Conference, London, UK, 2004.
|
[4]
|
S. DAS, “Credit derivatives: Trading & Management of Credit & Default Risk,” John Wiley & Sons, Chicago, 1998.
|
[5]
|
J. M. Tavakoli, “Credit derivatives: A guide to instruments and applications,” John Wiley & Sons, Chicago, 1998.
|
[6]
|
G. R. Duffee and C. Zhou, “Credit derivatives in banking: useful tools for managing risk?” Journal of Monetary Economics, No. 48, 2001.
|
[7]
|
R. Stultz, “Risk management and derivatives,” South- Western Publishing, 2003.
|
[8]
|
B. A. Minton, R. Stultz, and R.Williamson, “How much do bank use credit derivatives to reduce risk?” Working Papers, 2005.
|
[9]
|
Bank for international settlement, “International convergence of capital measurement and capital standards,” Basel Committee on Banking Supervision, A Revised Framework, Update November 2005.
|
[10]
|
F. Dolcino, C. Giannini, and Rossi, E, “Reti neurali artificiali per l’analisi e la previsione di serie finanziarie,” Collana studi del Credito Italiano, 1998.
|
[11]
|
D. Floreano and S. Nolfi, “Reti neurali: algoritmi di apprendimento, ambiente di apprendimento, architettura,” in Giornale Italiano di Psicologia, a. XX, pp. 15-50, febbraio 1993.
|
[12]
|
M. Gori, “Introduzione alle reti neurali artificiali,” in Mondo Digitale n. 4, AICA, settembre 2003.
|
[13]
|
C. Wu and C. H.Yu, “Risk aversion and the yield of corporate debt,” in Journal of Banking and Finance, No. 20, 1996.
|
[14]
|
C. Wu, “A certainty equivalent approach to municipal bond default risk estimation,” in Journal of Financial Research, 1991.
|
[15]
|
P. D. Mcnelis, “Neural networks in finance,” Elsevier Academic Press, 2005.
|
[16]
|
A. Beltratti, M. Serio, and P. Terna, “Neural networks for economic and financial modelling,” International Thomson Computer Press, 1996.
|
[17]
|
S. Hykin, “Neural networks: A comprehensive foundation,” Prentice Hall International, 1999.
|
[18]
|
P. Werbos, “Backpropagation, past and future,” in Proceedings of the IEEE International conference on neural networks, IEEE press, 1988.
|
[19]
|
F. Black and J. Cox, “Valuing corporate securities: Some effects of bond indenture provisions,” Journal of Finance, pp. 31, 1976.
|
[20]
|
H. E. Lelan and K. B. Toft, “Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads,” The Journal of Finance, pp. 51, 1996.
|
[21]
|
C. Dufresne and P. R. Goldstein, “Do credit spreads reflect stationary leverage ratios,” Journal of Finance, pp. 52, 2001.
|
[22]
|
R. A. Jarrow and S. M. Turnbull, “Pricing derivatives on financial securities subject to credit risk,” The Journal of Finance, pp. 50, 1995.
|
[23]
|
R. Jarrow, D. Lando, and S. Turnbull, “A markov model for the term structure of credit spreads,” Review of Financial Studies, pp. 10, 1997.
|
[24]
|
D. Duffie and K. J. Singleton, (1998), “Modelling term structures of defaultable bonds,” Review of Financial Studies, pp. 12, 1999.
|
[25]
|
J. C. Hull, “Opzioni, futures e altri derivati,” Il Sole 24Ore S. p. A., 2003.
|