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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
Available Online
De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Firestone Library - Stacks
HG3751 .D84 2003
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Firestone Library - Stacks
HG3751 .D84 2003
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Details
Subject(s)
Credit
—
Management
[Browse]
Risk management
[Browse]
Related name
Singleton, Kenneth J.
[Browse]
Series
Princeton series in finance
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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.
Show 13 more Contents items
ISBN
0691090467 ((alk. paper))
9780691090467 ((alk. paper))
LCCN
2002030256
OCLC
50280141
International Article Number
9780691090467
Statement on language in description
Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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Credit risk : pricing, measurement, and management / Darrell Duffie and Kenneth J. Singleton.
id
99129013283006421
Credit risk : pricing, measurement, and management / Darrell Duffie and Kenneth J. Singleton.
id
SCSB-8718657