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Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, Second Edition By Steven Allen Copyright © 2013 by Steven Allen.

References

A copy of this references list will be maintained on the website for this book, with ongoing updates to the Internet sites referenced. Acharya, Viral, Matthew Richardson, Stijn van Nieuwerburgh, and Lawrence White. 2011. Guaranteed to Fail. Princeton, NJ: Princeton University Press. Agrawal, Deepak, Navneet Arora, and Jeffrey Bohn. 2004. “Parsimony in Practice, and EDF‐Based Model of Credit Spreads.” Moody’s KMV. www.moodysanalytics .com/~/media/Insight/Quantitative‐Research/Credit‐Valuation/04‐29‐04‐Parsimony‐in‐Practice.ashx. Allen, Peter, Stephen Einchcomb, and Nicholas Granger. 2006. “Variance Swaps.” J.P. Morgan Securities European Equity Derivatives Research Investment Strategies no. 28. Allen, Steven, and Otello Padovani. 2002. “Risk Management Using Quasi‐Static Hedging.” Economic Notes 31 (2): 277–336. Almgren, Robert, and Neil Chriss. 2001. “Optimal Execution of Portfolio Transactions.” Journal of Risk 3 (2): 5–39. Altman, Edward, Neil Fargher, and Egon Kalotay. 2010. “A Simple Empirical Model of Equity‐Implied Probabilities of Default.” http://pages.stern.nyu .edu/~ealtman/DefaultModel2010JFI.pdf. Altman, Edward, and Egon Kalotay. 2010. “A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds.” http://pages.stern.nyu .edu/~ealtman/FlexibleRecovery_v1.1.pdf. Altman, Edward, Andrea Resti, and Andrea Sironi. 2001. “Analyzing and Explaining Default Recovery Rates.” www.defaultrisk.com/pp_recov_28.htm. Amato, Jeffery, and Eli Remolona. 2003. “The Credit Spread Puzzle.” BIS Quarterly Review (December). www.bis.org/publ/qtrpdf/r_qt0312e.pdf. Andersen, Leif, and Jesper Andreasen. 2000. “Static Barriers.” Risk 9:120–122. Andersen, Leif, and Jesper Andreasen. 2001. “Factor Dependence of Bermudan Swaptions: Fact or Fiction?” Journal of Financial Economics 62 (1): 3–37. Anderson, Leif, Jakob Sidenius, and Susanta Basu. 2003. “All Your Hedges in One Basket.” Risk 11:67–72. www.risk.net/data/Pay_per_view/risk/technical/ 2003/1103_credit_der.pdf. Araten, Michel, and Michael Jacobs. 2001. “Loan Equivalents for Revolving Credits and Advised Lines.” RMA Journal 5:34–39. http://michaeljacobsjr.com/Jacobs_ Araten_RMA_LEQ_Pub_April_2001.pdf.

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