HEC MONTRÉAL

[10] Duffie, D. et K. J. Singleton (1999). Modelling Term Structure Of Defaultable
Bond, The Review Of Financial Studies Special, vol. 12, no.4, p. 687-720.
[11] Duffie, D. (1999). Credit Swap Valuation, Financial Analysts Journal, p. 73-87.
[12] Duffie, D. et N. Garleanu (2001)., Risk and Valuation of Collaterized Debt Obli-
gations, Working Paper, Graduate School of Business, Stanford University.
[13] Duffie, D., A. Eckner, G. Horel et L. Saita (2008). Frailty Correlated Default.
[14] Durrleman, V., A. Nikeghbali et T. Roncalli (2000). Which copula is the right
one ?, Working paper, Groupe de Recherche Opérationnelle, Crédit Lyonnais,
France.
[15] Embrechts, P., A. McNeil et D. Straumann (1999). Correlation and dependance in
risk management : Properties and pitfalls, Working Paper, Risklab, ETH Zurich.
[16] Embrechts, P., F. Lindskog et A. McNeil (2001). Modelling Dependance with
Copulas and Applications to Risk Management, Working Paper, Risklab, ETH
Zurich.
[17] Frees, E.W. et E. A. Valdez (1997). Understanding Relationships Using Copulas,
Actuarial Reserch Conférence, Alberta.
[18] Frey, R. et A. McNeil (2001). Modelling Dependent Defaults, Working Paper,
University of Zurich, Federal Institute of Technology, Zurich.
[19] Friend, A. et E. Rogge (2004). Correlation at first sight, Working paper, ABN
AMRO, Financial Markets, London.
[20] Galiani, S.S. (2003). Copula Functions and their Application in Pricing and Risk
Managing Multiame Credit Derivative Products, M.Sc. report, Kings College Lon-
don, 68 p.
[21] Glasserman, P. et J. Li (2003). Importance Sampling for Portfolio Credit Risk,
Working paper, Colombia Business School, New-York.
[22] Houweling, P. et A. Vorst (2004). Pricing Default Swaps : Empirical Evidence,
Journal of International Money and Finance.
96