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Credit Risk: Pricing, Measurement, and Management
Darrell Duffie
€ 77.23
€ 60.10
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Description for Credit Risk: Pricing, Measurement, and Management
Hardback. Offers a treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. This book models credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. It is intended as a resource for researchers and students. Series: Princeton Series in Finance. Num Pages: 416 pages, 137 line illus. 34 tables. BIC Classification: KFFL; KJMD. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 239 x 166 x 33. Weight in Grams: 720.
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, Darrell 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 ... Read more
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, Darrell 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 ... Read more
Product Details
Publisher
Princeton University Press
Number of pages
416
Format
Hardback
Publication date
2003
Series
Princeton Series in Finance
Condition
New
Weight
720g
Number of Pages
416
Place of Publication
New Jersey, United States
ISBN
9780691090467
SKU
V9780691090467
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1
About Darrell Duffie
Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business, Stanford University. His books include "Dynamic Asset Pricing Theory" (Princeton) and "Futures Markets" (Prentice-Hall). Kenneth J. Singleton is the C.O.G. Miller Distinguished Professor of Finance at the Graduate School of Business, Stanford University. He is the author of numerous articles in professional journals and ... Read more
Reviews for Credit Risk: Pricing, Measurement, and Management
"This is certainly the best book on credit risk available on the market for academics and practitioners. I recommend the book to academics and professionals, and also for the teaching of credit risk at Masters and PhD levels."
Georges Dionne, Journal of Risk and Insurance
Georges Dionne, Journal of Risk and Insurance