Credit Risk: Pricing, Measurement, and Management

by Darrell Duffie and Kenneth J. Singleton

Book Overview

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,...

• Format: Hardcover
• Language: English
• ISBN: 0691090467
• ISBN13: 9780691090467
• Release Date: January 2003
• Publisher: Princeton University Press
• Length: 416 Pages
• Weight: 1.65 lbs.
• Dimensions: 1.3" x 6.4" x 9.3"