Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)

Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)

by Darrell Duffie (Author), Darrell Duffie (Author), Kenneth J. Singleton (Author)

Synopsis

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.

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More Information

Format: Hardcover
Pages: 416
Edition: illustrated edition
Publisher: Princeton University Press
Published: 26 Jan 2003

ISBN 10: 0691090467
ISBN 13: 9780691090467