Credit Risk by Darrell Duffie

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.