Darrell Duffie – Credit Risk

Darrell Duffie – Credit Risk

Darrell Duffie – Credit Risk

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Description

Darrell Duffie – Credit Risk

Darrell Duffie – Credit Risk

The first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement is provided in this book by two of America’s leading economists. 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 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. Credit derivatives include credit swaps, credit guarantees, lines of credit, and spread options. Enhancements to current pricing and management practices will better position financial institutions for future changes in the financial markets, they argue. It’s not like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it’s like it Credit risk. It is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

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