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Literaturverzeichnis Acharya, V.V./Das, S.R./Sundaram, R.K. (2000): Pricing Credit Derivatives with Rating Transitions, Working Paper, November 2000. Altman, E.I.lKao, D.L. (1991): Corporate Bond Rating Drift: An Examination of Credit Quality Rating Changes over Time, ed. by The Research Foundation ofthe Institute of Chartered Financial Analysts, Charlottesville 1991. Altman, E.I.lKao, D.L. (1992a): Rating Drift in High-Yield Bonds, in: Journal of Fixed In- come, Vol. 1, No. 4, S. 15-20. Altman, E.I.lKao, D.L. (1992b): The Implications of Corporate Bond Ratings Drift, in: Financial Analysts Journal, Vol. 48, No. 3, S. 64-75. Altman, E.I.lKishore, V.M. (1996): Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds, in: Financial Analysts Journal, Vol. 52, No. 6, S. 57- 64. Amin, K.J./Bodurtha Jr., J.N. (1995): Discrete-Time Valuation of American Options with Stochastic Interest Rates, in: The Review of Financial Studies, Vol. 8, No. 1, S. 193- 234. Ammann, M. (2001): Credit Risk Valuation, Methods, Models, and Applications, 2 nd ed., Berlin 2001. Andersen, P.K./Borgan, O./GilI, R.D.lKeiding, N. (1993): Statistical Models Based on Counting Processes, New York 1993. Anderson, W.J. (1991): Continuous-Time Markov Chains, An Applications-Oriented Ap- proach, New York 1991. Anderson, T.W./Goodman, L.A. (1957): Statistical Inference About Markov Chains, in: Annals ofMathematical Statistics, Vol. 28, No. 1,1957, S. 89-109. Anderson, R./Sundaresan, S. (1996): Design and Valuation of Debt Contracts, in: Review ofFinancial Studies, Vol. 9, No. 1, 1996, S. 37-68. Anderson, R./Sundaresan, S.rrychon, P. (1996): Strategie analysis of contingent claims, in: European Economic Review, Vol. 40, Nos. 3-5,1996, S. 871-881. Anderson, R./Sundaresan, S. (2000): A comparative study of structural models of corporate bond yields: An exploratory investigation, in: Journal of Banking and Finance, Vol. 24, Nos. 1-2, S. 255-269. Artzner, P./Delbaen, F./Eber, J.-M./Heath, D. (1997): Thinking Coherently, in: Risk, Vol. 10, No. 11, S. 68-71. Artzner, P./DeIbaen, F./Eber, J.-M./Heath, D. (1999): Coherent Measures of Risk, in: Mathematical Finance, Vol. 9, No. 3, S. 203-228.

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Literaturverzeichnis

Acharya, V.V./Das, S.R./Sundaram, R.K. (2000): Pricing Credit Derivatives with Rating Transitions, Working Paper, November 2000.

Altman, E.I.lKao, D.L. (1991): Corporate Bond Rating Drift: An Examination of Credit Quality Rating Changes over Time, ed. by The Research Foundation ofthe Institute of Chartered Financial Analysts, Charlottesville 1991.

Altman, E.I.lKao, D.L. (1992a): Rating Drift in High-Yield Bonds, in: Journal of Fixed In­come, Vol. 1, No. 4, S. 15-20.

Altman, E.I.lKao, D.L. (1992b): The Implications of Corporate Bond Ratings Drift, in: Financial Analysts Journal, Vol. 48, No. 3, S. 64-75.

Altman, E.I.lKishore, V.M. (1996): Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds, in: Financial Analysts Journal, Vol. 52, No. 6, S. 57-64.

Amin, K.J./Bodurtha Jr., J.N. (1995): Discrete-Time Valuation of American Options with Stochastic Interest Rates, in: The Review of Financial Studies, Vol. 8, No. 1, S. 193-234.

Ammann, M. (2001): Credit Risk Valuation, Methods, Models, and Applications, 2nd ed., Berlin 2001.

Andersen, P.K./Borgan, O./GilI, R.D.lKeiding, N. (1993): Statistical Models Based on Counting Processes, N ew Y ork 1993.

Anderson, W.J. (1991): Continuous-Time Markov Chains, An Applications-Oriented Ap­proach, New York 1991.

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Anderson, R./Sundaresan, S. (1996): Design and Valuation of Debt Contracts, in: Review ofFinancial Studies, Vol. 9, No. 1, 1996, S. 37-68.

Anderson, R./Sundaresan, S.rrychon, P. (1996): Strategie analysis of contingent claims, in: European Economic Review, Vol. 40, Nos. 3-5,1996, S. 871-881.

Anderson, R./Sundaresan, S. (2000): A comparative study of structural models of corporate bond yields: An exploratory investigation, in: Journal of Banking and Finance, Vol. 24, Nos. 1-2, S. 255-269.

Artzner, P./Delbaen, F./Eber, J.-M./Heath, D. (1997): Thinking Coherently, in: Risk, Vol. 10, No. 11, S. 68-71.

Artzner, P./DeIbaen, F./Eber, J.-M./Heath, D. (1999): Coherent Measures of Risk, in: Mathematical Finance, Vol. 9, No. 3, S. 203-228.

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