ISBN10: 0691090467, ISBN13: 9780691090467, [publisher: Princeton University Press] Hardcover nach der Bestellung gedruckt Neuware - Printed after ordering - 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.Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the 'structura' and 'reduced-form' approaches to pricing defaultable securities are presented, and their comparative fits ...
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ISBN10: 0691090467, ISBN13: 9780691090467, [publisher: Princeton University Press] Hardcover 2003. Hardcover. Offers a treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. This book models credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. It is intended as a resource for researchers and students. Series: Princeton Series in Finance. Num Pages: 416 pages, 137 line illus. 34 tables. BIC Classification: KFFL; KJMD. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 239 x 166 x 33. Weight in Grams: 720. . . . . . Books ship from the US and Ireland.
[Olney, MD, U.S.A.] [Publication Year: 2003]