Credit Risk by Darrell Duffie
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.
"This is certainly the best book on credit risk available on the market for academics and practitionersI recommend the book to academics and professionals, and also for the teaching of credit risk at Masters and PhD levels."--Georges Dionne, Journal of Risk and Insurance
Darrell Duffie is the James Irvin Miller Professor of Finance at the Graduate School of Business, Stanford University. His books include "Dynamic Asset Pricing Theory" (Princeton) and "Futures Markets" (Prentice-Hall). Kenneth J. Singleton is the C.O.G. Miller Distinguished Professor of Finance at the Graduate School of Business, Stanford University. He is the author of numerous articles in professional journals and an editor of the "Review of Financial Studies".
| SKU | Unavailable |
| ISBN 13 | 9780691090467 |
| ISBN 10 | 0691090467 |
| Title | Credit Risk |
| Author | Darrell Duffie |
| Series | Princeton Series In Finance |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Princeton University Press |
| Year published | 2003-01-26 |
| Number of pages | 416 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |