Details

Autor(en) / Beteiligte

• Duffie, Darrell
• Singleton, Kenneth J

Titel

Credit risk: Pricing, measurement, and management (Princeton series in finance).

Auflage

1

Ort / Verlag

Princeton: Princeton University Press

Erscheinungsjahr

2003

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• 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, Darrell 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.