by Darrell Duffie (Author), Darrell Duffie (Author), Kenneth J. Singleton (Author)
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.
Format: Hardcover
Pages: 416
Edition: illustrated edition
Publisher: Princeton University Press
Published: 26 Jan 2003
ISBN 10: 0691090467
ISBN 13: 9780691090467