1. Jorion, P. (2007). Value at Risk (3rd ed., pp. 139–230). New York: Mc Graw-Hill.
2. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327.
3. Ricardo, A. (2006). The estimation of market VaR using Garch models and a heavy tail distributions. Working Paper Series.
4. Chen, C., & Panjer, H. (2003). Unifying discrete structural models and reduced-form models in credit risk using jump-diffusion process. Insurance: Mathematics and Economics, 33, 357–380.
5. Gu, X. J. (2007). Financial risk management: the variance and development of theory and technology. Economic Survey, 1, 140–143.