Credit Risk: Pricing, Measurement, and Management Hardcover - 2003
by Darrell Duffie; Kenneth J. Singleton
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.
From the rear cover
"A clear and comprehensive treatment of credit risk models by two of the leading authorities in the field. It will become the standard reference for both academic researchers and practitioners."--Michael J. Brennan, The Anderson School at UCLA
"Duffie and Singleton provide the first comprehensive, yet readable, treatment of the challenging subject of credit risk. This book will undoubtedly become the ultimate reference for both academics and risk professionals who care to venture beyond the traditional alleys."--Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce
"Duffie and Singleton have written an indispensable guide both to the models and to their implementation. The mathematical workings of the models are conveyed with superb clarity and intuition. Just as importantly, the presentation is well grounded in the economic and institutional features of credit markets. We thereby gain insight into the empirical plausibility of modeling assumptions and guidance on robust model calibration."--Michael Gordy
"Darrell Duffie and Kenneth Singleton have set the standard on credit modeling. Not only is the book appealing to an academic but it also speaks to practitioners. It has the double virtue of being elegant and practical. Further, many if not most of the results are original to the authors."--Larry Eisenberg, President, The Risk Engineering Company
"I like this book very much and shall use it profitably both for my own research and teaching. Duffie and Singleton develop the intellectual basis for understanding, modeling, and measuring credit risk and then develop the issue of risk management. This approach is both intuitive and natural. I can think of no scholars better qualified than they to embark on this ambitious task."--Suresh M. Sundaresan, Graduate School of Business, Columbia University
"Overall, the book succeeds in motivating the reader to consider the alternative approaches to modeling credit risk. . . . Although the book is technically rigorous, the presentation is straightforward so even a casual reader will learn from the authors' insights. Moreover, the seasoned analyst will benefit from the concise summary of many existing techniques."--Amnon Levy, Risk
Details
- Title Credit Risk: Pricing, Measurement, and Management
- Author Darrell Duffie; Kenneth J. Singleton
- Binding Hardcover
- Edition 1st Edition
- Pages 416
- Volumes 1
- Language ENG
- Publisher Princeton University Press, Princeton
- Date 2003-01-26
- Features Bibliography, Dust Cover, Index, Table of Contents
- ISBN 9780691090467 / 0691090467
- Weight 1.63 lbs (0.74 kg)
- Dimensions 9.28 x 6.44 x 1.28 in (23.57 x 16.36 x 3.25 cm)
- Library of Congress subjects Risk management, Credit - Management
- Library of Congress Catalog Number 2002030256
- Dewey Decimal Code 332.742
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