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

Format:

Book

Author/Creator:

Duffie, Darrell, author.

Contributor:

Singleton, Kenneth J., editor.

Series:

Princeton series in finance.

Princeton series in finance

Language:

English

Subjects (All):

Credit--Management.

Credit.

Risk management.

Physical Description:

xvi, 396 p. : ill.

Place of Publication:

Princeton ; Oxford : Princeton University Press, [2003]

Language Note:

English

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.

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.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references (pages 371-384) and index.

Description based on print version record.

ISBN:

9786612608001

9781282608009

1282608002

9781400829170

1400829178

OCLC:

659562948