Credit Risk

Lingua: inglese

Editore: Princeton University Press, US, 2003

0691090467 / 9780691090467

Serie: Libro 4 di 5 - Princeton Series in Finance

Da: Rarewaves USA United, HEBRON, KY, U.S.A.Rarewaves USA United

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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.

Codice articolo LU-9780691090467

Titolo
Credit Risk
Autore
Kenneth J. Singleton, Darrell Duffie
Editore
Princeton University Press, US
Anno di pubblicazione
2003
Condizione
New
Rilegatura
Hardback
Lingua
inglese
ISBN 10
0691090467
ISBN 13
9780691090467
Peso dell'articolo
482 grammi
Serie
Libro 4 di 5: Princeton Series in Finance

Rarewaves USA United

HEBRON, KY, U.S.A.

Venditore con 5 stelle

Venditore AbeBooks dal 20 giugno 2025

Tariffe di spedizione nazionale per U.S.A.

ArticoloDa 30 a 30 giorni lavorativiDa 14 a 14 giorni lavorativi
Primo articoloEUR 43,93EUR 58,87
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