Bibliografia

- Artigos científicos a facultar pela equipa docente durante o trimestre. - Textos de apoio teórico/práticos a facultar pela equipa docente durante o trimestre; :

? http://www.bis.org/ - for Basel documents. ? http://www.riskmetrics.com/techdoc.html - for CreditMetrics documents. ? http://www.moodyskmv.com/ - for KMV documents. ? http://www.defaultrisk.com/ - for research papers. - Useful websites: - Schönbucher, P. J. (2003). Credit Derivatives Pricing Models: Models, Pricing and Implementation, Wiley. - Saunders, A. and Cornett, M. M. (2008). Financial Institutions Management: A Risk Management Approach, 6th edition, McGraw-Hill (Chapters 7, 11, and 12). - Saunders, A. and Allen L. (2010). Credit Risk Measurement In and Out of the Financial Crises: New Appraches to Value at Risk and Other Paradigms, 3rd edition, Wiley. - Löffler, G. and Posch, P. N. (2011). Credit Risk Modeling Using Excel and VBA, 2nd edition, Wiley. - Lando, D. (2004). Credit Risk Modeling: Theory and Applications, Princeton University Press. - Hull, J. C. (2008), Options, Futures and Other Derivatives, 7th edition, Prentice Hall (Chapters 22 and 23). :