Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) Book PDF, ePub eBook

Join our eBook service for unlimited books & audiobooks. Get a free 7 day subscription! ↓↓↓↓↓


Book Descriptions:

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 to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets.

Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) by Darrell Duffie, Kenneth J. Singleton

From reader reviews:

Patrick Adkins:

Inside other case, little individuals like to read book Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance). You can choose the best book if you want reading a book. Given that we know about how is important a new book Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance). You can add know-how and of course you can around the world by the book. Absolutely right, since from book you can realize everything! From your country right up until foreign or abroad you will find yourself known. About simple factor until wonderful thing you may know that. In this era, we are able to open a book or maybe searching by internet gadget. It is called e-book. You should use it when you feel bored to go to the library. Let's learn.

Kathy Fredette:

The book untitled Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) contain a lot of information on that. The writer explains the woman idea with easy way. The language is very clear to see all the people, so do certainly not worry, you can easy to read this. The book was compiled by famous author. The author provides you in the new period of literary works. You can actually read this book because you can read on your smart phone, or program, so you can read the book within anywhere and anytime. In a situation you wish to purchase the e-book, you can start their official web-site and also order it. Have a nice study.

Raul Miller:

Do you like reading a e-book? Confuse to looking for your favorite book? Or your book has been rare? Why so many query for the book? But just about any people feel that they enjoy to get reading. Some people likes studying, not only science book but also novel and Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) or perhaps others sources were given understanding for you. After you know how the fantastic a book, you feel need to read more and more. Science guide was created for teacher or perhaps students especially. Those publications are helping them to increase their knowledge. In other case, beside science guide, any other book likes Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) to make your spare time more colorful. Many types of book like this one.

Richard Chambers:

What is your hobby? Have you heard that will question when you got college students? We believe that that concern was given by teacher to their students. Many kinds of hobby, Every individual has different hobby. And you know that little person such as reading or as examining become their hobby. You must know that reading is very important and book as to be the matter. Book is important thing to add you knowledge, except your teacher or lecturer. You see good news or update with regards to something by book. Different categories of books that can you decide to try be your object. One of them are these claims Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance).