Credit Risk Pricing, Measurement, and Management |
|
| Author:
| Duffie, Darrell
Singleton, Kenneth J. |
| Series title: | Princeton Series in Finance Ser. |
| ISBN: | 978-0-691-09046-7 |
| Publication Date: | Apr 2003 |
| Publisher: | Princeton University Press
|
| Book Format: | Hardback |
| List Price: | AUD $250.00 |
Book Description:
|
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.
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.