Credit Risk
Pricing, Measurement, and Management (Princeton Series in Finance)
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Publication
2003-01-06 - Princeton University Press
Language
English
Word Count
116,000 words, Guess
Page Count
464 pages
Physical Format
Hardcover
Identifiers
- Open LibraryOL7758126M
- ISBN-139780691090467
- ISBN-100691090467
- OCLC Control Number50280141
- OCLC Control Numbercreditriskpricin00duff_550
and 3 more
- Library of Congress Control Number2002030256
- Goodreads404065
- LibraryThing7123893
Classifications
- LCCHG3751 .D84 2003
Description
"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."--BOOK JACKET.
Subjects
Other Editions
- Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)
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