[1] De-Jong F, Driessen J. Liquidity risk premia in corporate bond markets[R]. Working Paper, Sep., 2006.[2] Houweling P, Mentink A, Vorst T. Comparing possible proxies of corporate bond liquidity[J]. Journal of Banking & Finance, 2005, 29: 1331-1358.[3] Duffie D, Singleton K. Modeling term structures of defaultable bonds[J]. Review of Financial Studies, 1999,12: 687-720.[4] Ericsson J, Renault O. Liquidity and credit risk[J]. The Journal of Finance, 2006,61 (5), 2219-2250.[5] Persuad A. Liquidity black holes and why modern financial regulation in developed countries is making short-term capital flows to developing countries even more volatile[R]. Working Paper, 2002.[6] Driessen J. Is default event risk priced in corporate bonds?[J]. The Review of Financial Studies, 2005,18 (1):165-195. [7] Longstaff F, Mithal S, Neis E. Corporate yield spreads: Default risk or liquidity? new evidence from the credit default swap market[J]. The Journal of Finance, 2005,60 (5): 2213-2253. [8] Altman E. Financial ratios, discriminant analysis and prediction of corporate bankruptcy[J]. Journal of Finance, 1968,23(4):589-609.[9] Fisher L. Determinants of the risk premiums on corporate bonds[J]. Journal of Political Economy, 1959, 67: 217-237.[10] Jarrow R, Turnbull M. Pricing derivatives on financial securities subject to credit risk[J]. Journal of Finance, 1995,50 (1): 53-85.[11] Madan D, Unal H. Pricing the risks of default[J] Review of Derivative Research, 1998,2(2): 121-160. [12] Lando D, On cox processes and credit risky securities[J]. Review of Derivatives Research, 1998, 2: 99-120.[13] Jarrow R, Lando D, Turnbull M. A markov model for the term structure of credit risk spreads[J]. The Review of Financial Studies, 1997, 10(2): 481-523.[14] Hand J, Holthausen R, Leftwich R. The effect of bond rating agency announcements on bond and stock prices[J]. Journal of Finance, 1992, 47(2):733-752. [15] Merton R. On the pricing of corporate debt: The risk structure of interest rates[J]. Journal of Finance, 1974, 29(2): 449-470. [16] Geske R. The Valuation of corporate liabilities as the valuation of corporate liabilities as compound options[J]. The Journal of Financial and Quantitative Analysis, 1977,12(4):541-552.[17] Geske R, Johnson H. The valuation of corporate liabilities as compound options: A correction[J]. The Journal of Financial and Quantitative Analysis, 1984,19(2): 231 -232.[18] Black and Cox, Valuing corporate securities: Some effects of bond indenture provisions[J]. Journal of Finance, 1976,31: 351-367. [19] Ho T, Singer R. Bond indenture provisions and the risk of corporate debt[J]. Journal of Finance, 1984,41: 375-406.[20] Longstaff F, Schwartz M. Valuing risky debt: A new approach[J]. Journal of Finance, 1995:789-820,[21] Hull J, White A. Pricing interest rate derivatives securities[J]. Review of Financial Studies, 1990,3(4):573-92.[22] Nielsen L, Saa-Requejo J, Santa-Clara P. Default risk and interest rate risk: The term structure of default spreads[R]. Working Paper, INSEAD, 1993.[23] Brockman P, Turtle H. A barrier option framework for corporate security valuation[J]. Journal of Financial Economics, 2003, 67: 511-529.[24] Barbedo C, Lemgruber E. A down-and-out exchange option model with jumps to evaluate firm's default probabilities in Brazil[J]. Emerging Markets Review, 2009(10): 179-190.[25] Zhou C. The term structure of credit spreads with jump risk[J]. Journal of Financial & Economics, 2001, 25, 2015-2040.[26] Chen N, Kou S. Credit spreads, optimal structures, and implied volatility with endogenous default and jump risk[J]. Mathematical Finance, 2009, 19 (3): 343-378.[27] Zhang B, Zhou H, Zhu H. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms[J]. The Review of Financial Studies, 2009, 22: 5099-5131.[28] 程功,张维,熊熊.信息噪音、结构化模型与银行违约概率度量[J]. 管理科学学报,2007,10(4):38-48.[29] 程功,张维.信息噪音、结构化模型与银行客户风险限额管理[J].中国管理科学,2008,16(2):30-36.[30] 刘海龙.仲黎明.证券市场流动性风险管理[M]. 上海:上海交通大学出版社,2006.[31] Amihud Y. Illiquidity and stock returns: Cross-section and time‐series effects[J]. Journal of Financial Markets, 2002(5): 31-56. [32] 时文朝,张强. 基于结构突变理论的中国银行间债券市场流动性的长期趋势分析[J].世界经济,2009(1):78-87.[33] 吕素香,周宁东. 我国银行间债券市场流动性分析[J].中南财经政法大学学报,2009(1):78-83.[34] Sarig O, Warga A. Bond price data and bond market liquidity[J]. Journal of Financial and Quantitative Analysis, 1989,24 (3):367-378.[35] Houweling P, Vorst T. An empirical comparison of default swap pricing models[J]. ERIM Report Series Research in Management, ERS, 2002.[36] Amihud Y, Mendelson H. Liquidity, maturity, and the yields on US treasury securities[J]. Journal of Finance, 1991, 46 (4): 1411-1425.[37] Alexander G, Edwards A, Ferri M. The determinants of trading volume of high-yield corporate bonds[J]. Journal of Financial Markets, 2000(3): 177-204.[38] McGinty L. Issue size versus liquidity in credit[J]. J.P. Morgan Fixed Income Research, 2001.[39] Schultz P. Corporate bond trading costs and practices: A peek behind the curtain[J]. Journal of Finance, 2001, 56 (2):677-698.[40] Mahanti S, Nashikkar A, Subrahmanyam M, et al. Latent liquidity: A new measure of liquidity, with an application to corporate bonds[J]. Journal of Financial Economics, 2008, 88:272-298.[41] Perraudin W, Taylor A. Liquidity and bond market spreads[R]. Working Paper, 2003.[42] Delianedis G, Geske R. The components of corporate credit spreads: Default, recovery, tax, jumps, liquidity, and market factors[R]. Working Paper, 2001.[43] Amato J, Remolona E. The credit spread puzzle[J]. BIS Quarterly Review, December 2003.[44] Janosi T, Jarrow R, Yildirim Y. Estimating expected losses and liquidity discounts implicit in debt prices[J]. Journal of Risk, 2002(5): 1-38.[45] 李鹏,任兆璋.考虑流动性风险的信用债券定价模型[J]. 统计与决策,2006(1):25-26.[46] 李鹏,任兆璋.流动性风险对信用债券信用利差期限结构的影响[J]. 系统工程理论方法应用,2006,15(3):251-255.[47] Bussiere M, Fratzscher M. Towards a new early warning system of financial crises[J]. Journal of International Money and Finance, 2006, 25: 953-973.[48] Ciarlone A, Trebeschi G. Designing an early warning system for debt crises[J]. Emerging Markets Review, 2005(6): 376-395.[49] Fuertes A, Kalotychou E. Optimal design of early warning systems for sovereign debt crises[J]. International Journal of Forecasting, 2007, 23: 85-100.[50] Berg J, Candelon B, Urbain J. A cautious note on the use of panel models to predict financial crises[J]. Economics Letters, 2008, 101: 80-83.[51] Chamon M, Manasse P, Prati A. Can we predict the next capital account crisis?[J]. IMF Staff Papers, 2007, 54(2): 270-305.[52] Fioramanti M. Predicting sovereign debt crises using artificial neural networks: A comparative approach[J]. Journal of Financial Stability, 2008: 149-164.[53] Ucal M, Oksay S. The solvency ratio of external debt (SRED) as an indicator of eebt crisis: The case of turkey[J]. Int. J. Eco. Res., 2011, 2(1):166-172.[54] 刘志强.金融危机预警指标体系研究[J].世界经济,1999(4):17-23.[55] 张元萍,孙刚.金融危机预警系统的理论透析与实证分析[J].国际经济研究,2003(10):32-38.[56] 杨荣海.对我国政府建立债务危机预警体系的探讨[J].经济问题探索,2007(2):16-21.[57] Galai D, Landskroner Y, Raviv A, et al. A balance sheet approach for sovereign debt[R]. Working Paper, 2011.[58] Duyvesteyn J, Martens M. Explaining and predicting sovereign credit risk with exchange rate volatility[R]. Working Paper, 2011.[59] Missale A, Giavazzi F, Henigno P. Managing the public debt in fiscal stabilization: The evidence[R]. NBER Working Paper, 1997.[60] Cassard M, Marcel K, Folkerts-Landau D. Risk management of sovereign assets and liabilities[R]. IMF Working Paper, 1997.[61] 王晓光,高淑东.地方政府债务风险的预警评价与控制[J].当代经济研究,2005(4):53-55.[62] 吴冲,曹道胜.外债风险指标体系分析[J].哈尔滨工业大学学报:社会科学版,2006,8(6):109-112.[63] Beber A, Brandt M, Kavajecz K. Flight-to-quality or flight-to-liquidity? evidence from the euro-area bond market[J]. Review of Financial Studies, 2009 (22): 3, 925-957.[64] Hagen J, Schhuknecht L, Wolswijk G. Government bond risk premiums in the EU revisited: the impact of financial crisis[J]. European Journal of Political Economy, 2011, 27 (1): 36-43.[65] Dick-Nielsen J, Feldhutter P, Lando D. Corporate bond liquidity before and after the onset of the subprime crisis[J]. Journal of Financial Economics, 2012, 103 (2): 471-492.[66] Almeida H, Campello M, Laranjeira B, et al. Corporate debt maturity and the real effect of the 2007 credit crisis[R]. NBER Working Paper, No. 14990, 2009.[67] Krishnamurthy A. How debt markets have malfunctioned in the crisis[R]. NBER Working Paper, No. 15542, 2009.[68] Longstaff F. The subprime credit crisis and contagion in financial markets[J]. Journal of Financial Economics, 2010, 97 (3): 436-450.[69] 方毅,桂鹏.亚太地区股票市场的联动程度:基于次贷冲击的研究[J]. 世界经济研究,2010(8):22-32.[70] 李巍.中国、美国与俄罗斯证券市场的联动效应:来自次贷危机爆发后三阶段的证据[J].世界经济研究,2009(1):32-39.[71] Reinhart C, Rogoff K. From financial crash to debt crisis[R]. NBER Working Paper, 15795, 2010.[72] Ivashina V, Scharfstein D. Bank lending during the financial crisis of 2008[J]. Journal of Financial Economics, 2010, 97: 319-338.[73] Barth J, Angkinand-Prabha A, Yun G. The euro-zone financial crisis: Role of interdependencies between bank and sovereign risk[R]. Working Paper, 2011.[74] Chang R, Velasco A. Banks, debt maturity and financial crises[J]. Journal of International Economics, 2000, 51: 169-194.[75] Kumhof M, Tanner E. Government debt: A key role in financial intermediation[J]. Money, Crises and Transition Essays in Honor of Guillermo A. Calvo, 2008.[76] Demsetz H. The cost of transacting[J]. The Quarterly Journal of Economics, 1968,82(1):33-53.[77] Kyle S. Continous auctions and insider trading[J]. Econometrica, 1985,53, 1315-1336. [78] 刘海龙,仲黎明,吴冲锋. 股票流动性的度量方法[J].系统工程理论与实践,2003,23(1):16-21.[79] 许睿,刘海龙,吴冲锋. 中国A股市场流动性统计特征与变化趋势[J]. 系统工程理论与实践,2004,24(3): 26-32. |