CREDIT RISK DUFFIE SINGLETON PDF

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. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed.

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Many of our ebooks are available through library electronic resources including these platforms:. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice.

Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options.

It will become the standard reference for both academic researchers and practitioners. This book will undoubtedly become the ultimate reference for both academics and risk professionals who care to venture beyond the traditional alleys. 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.

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. 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.

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. Darrell Duffie and Kenneth J. Singleton Series: Princeton Series in Finance.

Illus: line illus. Overview Author s Reviews 6. Kenneth J. Singleton is the C. He is the author of numerous articles in professional journals and an editor of the Review of Financial Studies.

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