Credit risk : pricing, measurement, and management /
Darrell Duffie and Kenneth J. Singleton.
- New Delhi : New Age International, Princeton University Press, c2007.
- xvi, 396 p. : ill. ; 25 cm.
- Princeton series in finance .
- Princeton series in finance. .
Includes bibliographical references (p. 371-384) and index.
Introduction -- Economic Principles of Risk Management -- Default Arrival: Historical Patterns and Statistical Models -- Ratings Transitions: Historical Patterns and Statistical Models -- Conceptual Approaches to Valuation of Default Risk -- Pricing Corporate and Sovereign Bonds -- Empirical Models of Defaultable Bond Spreads -- Credit Swaps -- Optional Credit Pricing -- Correlated Defaults -- Collateralized Debt Obligations -- Over-the-Counter Default Risk and Valuation -- Integrated Market and Credit Risk Measurement -- Introduction to Affine Processes -- Econometrics of Affine Term-Structure Models -- HJM Spread Curve Models. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. App. A. App. B. App. C.
"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.