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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Bibliographic Details
Main Author: Duffie, Darrell
Other Authors: Singleton, Kenneth J.
Format: Electronic eBook
Language:Inglés
Published: Princeton, N.J. : Princeton University Press, 2003.
Series:Book collections on Project MUSE.
Subjects:
Krediet.
Risk management.
Wertpapier
Derivat > Wertpapier
Kreditrisiko
Credit > Management.
BUSINESS & ECONOMICS > Finance.
risk management.
Gestion du risque.
Credit > Gestion.
Risk Management
Electronic books.
Online Access:Texto completo
Description
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."--Jacket.
Physical Description:1 online resource: illustrations.
ISBN:9781400829170

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