2009年1月～3月にかけて、ゼミ所属の学生さんが取り上げた論文を以下に挙げておきます。
Duffie, D. and N. Gârleanu, "Risk and Valuation of Collateralized Debt Obligations," Financial Analyst Journal, 57 (1), 41-59 (2001).
Hull, J. and A. White, "Valuing Credit Derivatives Using an Implied Copula Approach,"
Journal of Derivatives, Fall (2006).
Gates, S., "Incorporating Strategic Risk into Enterprise Risk Management"
Jounal of Applied Corporate Finance, 18(4), 81-90 (2006).
Nocco, B., "Enterprise Risk Management:Theory and Practice"
Jounal of Applied Corporate Finance, 18(4), 8-20 (2006)
Christensen, B. J., M. Nielsen ,and J. ZhuLong, "Memory in Stock Market Volatility and the Volatility in Mean effect：The FIEGARCH-M Model"
Bollerslev, T. and H. O. Mikkelsen, "Modeling and pricing long memory in stock market volatility,"
Journal of Economics, 73, 151-184 (1996)
Rosenberg, J. V. and R. F. Engle, "Empirical Pricng Kernel,"
Journal of Financial Economics, 64, 341-372 (2002)
Bliss, R. R. and N. Panigirtzoglou, "Option Implied Risk Aversion Estimates,"
The Journal of Finance, 59(1), 407-446 (2004)
Leland, H. E.,
"Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,"
The Journal of Finance, 49(4), 1213-1252 (1994)
Harada, K. and T. Ito, "DID MERGERS HELP JAPANESE MEGA-BANKS AVOID FAILURE?
ANALYSIS OF THE DISTANCE TO DEFAULT OF BANKS,"
NBER WORKING PAPER SERIES 14518
Piazzesi, M., "Bond yield and the Federal Reserve,"
Journal of Political Economy, 113(2), 311-344 (2005)
Liao, S. L. and J. C. Chang, "Economic determinants of default risks and
their impacts on the pricing of the credit derivatives," Working paper
Dyck, A. and L. Zingales, "Private Benefits of Control: An International Comparison,"
Journal of Finance, 59(2), 537-598 (2004)
山田健, 「強制転換条項付き優先株式の2項ツリー法によるプライシング」,
日本銀行金融研究所『金融研究』2006.10 189-213 (2006)
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