Credit risk : pricing, measurement, and management / Darrell Duffie and Kenneth J. Singleton.
"In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrel Duffie and Kenneth Singleton model credit risk for...
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| Main Authors: | , |
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| Format: | Book |
| Language: | English |
| Published: |
Princeton, N.J. :
Princeton University Press,
[2003]
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| Series: | Princeton series in finance.
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| Subjects: | |
| Online Access: | Sample text Contributor biographical information |
| Summary: | "In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrel Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies."--BOOK JACKET. |
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| Physical Description: | xvi, 396 pages : illustrations ; 24 cm. |
| Bibliography: | Includes bibliographical references (pages 371-384) and index. |
| ISBN: | 0691090467 9780691090467 |