Credit risk : pricing, measurement, and management / Darrell Duffie and Kenneth J. Singleton.

Author
Duffie, Darrell [Browse]
Format
Book
Language
English
Published/​Created
Princeton, N.J. : Princeton University Press, ©2003.
Description
xvi, 396 pages : illustrations ; 24 cm

Availability

Copies in the Library

Location Call Number Status Location Service Notes
Firestone Library - Stacks HG3751 .D84 2003 Browse related items Request
    Firestone Library - Stacks HG3751 .D84 2003 Browse related items Request

      Details

      Subject(s)
      Series
      Princeton series in finance [More in this series]
      Summary note
      "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.
      Bibliographic references
      Includes bibliographical references (p. 371-384) and index.
      Contents
      • 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.
      ISBN
      • 0691090467 ((alk. paper))
      • 9780691090467 ((alk. paper))
      LCCN
      2002030256
      OCLC
      50280141
      International Article Number
      • 9780691090467
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