Credit Risk : Pricing, Measurement, and Management /

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"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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Detalles Bibliográficos
Autor principal: Duffie, Darrell
Otros Autores: Singleton, Kenneth J.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton, N.J. : Princeton University Press, 2003.
Colección:Book collections on Project MUSE.
Temas:
Krediet.
Risk management.
Wertpapier
Derivat > Wertpapier
Kreditrisiko
Credit > Management.
BUSINESS & ECONOMICS > Finance.
risk management.
Gestion du risque.
Credit > Gestion.
Risk Management
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 1. Introduction
  • 2. Economic Principles of Risk Management
  • 3. Default Arrival: Historical Patterns and Statistical Models
  • 4. Ratings Transitions: Historical Patterns and Statistical Models
  • 5. Conceptual Approaches to Valuation of Default Risk
  • 6. Pricing Corporate and Sovereign Bonds
  • 7. Empirical Models of Defaultable Bond Spreads
  • 8. Credit Swaps
  • 9. Optional Credit Pricing
  • 10. Correlated Defaults
  • 11. Collateralized Debt Obligations
  • 12. Over-the-Counter Default Risk and Valuation
  • 13. Integrated Market and Credit Risk Measurement
  • App. A. Introduction to Affine Processes
  • App. B. Econometrics of Affine Term-Structure Models
  • App. C. HJM Spread Curve Models.

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