Bibliographical references


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Basel Comité on Banking Supervisión (2005): “Studies on the Validation of Internal Rating Systems”, Working Paper nº 14, Bank for International Settlement.

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Bouleau, N. (1998): Martingales et marchés finaciers, Odile Jacob, Paris.

Chen, R. R. y Huang, J. (2002): “Credit Spread Bounds and Their Implications for Credit Risk Modeling”.

Danielsson J., Embrechts P., Goodhart Ch., Keating C., Muennich F., Renault O. y Song S. (2001): “An Academic Response to Basel II”, LSE Market Group, Special Paper nº 130, May.

Engle, R. y Kroner, FK. (1995): “Multivariate simultaneous generalized ARCH”, Econometric Theory 11: 122-150.

Financial Services Authority (2009): “A regulatory response to the global banking crisis" Discussion Paper 09/2 The FSA Turner Review.

Goede, M. de (2001): “Discourses of Scientific Finance and the Failure of Long-Term Capital Management”, New Political Economy, Vol. 6, nº 2.

Jorion, P. (1999): “Risk Management Lessons from Long-Term Capital Management”.

Klebaner, F. (1999): Introduction to Stochastic Calculus with Applications, Imperial College Press, Londres.

Mason, J. y Rosner J. (2007): “Where Did Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions”, May.

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Vilariño, A. (2000): Turbulencias financieras y riesgos de mercado, Prentice-Hall, Madrid.

Vilariño, A. (2008): “La crisis financiera internacional de las hipotecas subprime”, en Claves de la Economía Mundial, 08, ICEX, Madrid.