Credit Risk: Pricing, Measurement, and Management
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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton University Press
[2012]
|
| Schriftenreihe: | Princeton Series in Finance
|
| Schlagworte: | |
| Online-Zugang: | DE-1046 DE-1043 DE-858 DE-859 DE-860 DE-739 DE-473 Volltext |
| Zusammenfassung: | 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. 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. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk 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 |
| Beschreibung: | Description based on online resource; title from PDF title page (publisher's Web site, viewed 01. Dez 2022) |
| Beschreibung: | 1 Online-Ressource (416 Seiten) 137 line illus. 34 tables |
| ISBN: | 9781400829170 |
| DOI: | 10.1515/9781400829170 |
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Datensatz im Suchindex
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| isbn | 9781400829170 |
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| spelling | Duffie, Darrell Verfasser aut Credit Risk Pricing, Measurement, and Management Darrell Duffie, Kenneth J. Singleton Princeton, NJ Princeton University Press [2012] © 2003 1 Online-Ressource (416 Seiten) 137 line illus. 34 tables txt rdacontent c rdamedia cr rdacarrier Princeton Series in Finance Description based on online resource; title from PDF title page (publisher's Web site, viewed 01. Dez 2022) 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. 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. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk 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 In English BUSINESS & ECONOMICS / Economics / General bisacsh Singleton, Kenneth J. Sonstige oth https://doi.org/10.1515/9781400829170?locatt=mode:legacy Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Duffie, Darrell Credit Risk Pricing, Measurement, and Management BUSINESS & ECONOMICS / Economics / General bisacsh |
| title | Credit Risk Pricing, Measurement, and Management |
| title_auth | Credit Risk Pricing, Measurement, and Management |
| title_exact_search | Credit Risk Pricing, Measurement, and Management |
| title_exact_search_txtP | Credit Risk Pricing, Measurement, and Management |
| title_full | Credit Risk Pricing, Measurement, and Management Darrell Duffie, Kenneth J. Singleton |
| title_fullStr | Credit Risk Pricing, Measurement, and Management Darrell Duffie, Kenneth J. Singleton |
| title_full_unstemmed | Credit Risk Pricing, Measurement, and Management Darrell Duffie, Kenneth J. Singleton |
| title_short | Credit Risk |
| title_sort | credit risk pricing measurement and management |
| title_sub | Pricing, Measurement, and Management |
| topic | BUSINESS & ECONOMICS / Economics / General bisacsh |
| topic_facet | BUSINESS & ECONOMICS / Economics / General |
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