Book: Credit Risk: Pricing, Measurement, and Management
Author: Darrell Duffie, Kenneth J.Singleton
Pages: 414
Format: PDF
Language: English
ISBN10: 0691090467
This book provides an integrated treatment of the conceptual, practical, and empirical foundations for modeling credit risk. Among our main goals are the measurement of portfolio risk and the pricing of defaultable bonds, credit derivatives, and other securities exposed to credit risk. The development of models of credit risk is an ongoing process within the financial community, with few established industry standards. In the light of this state of the art, we discuss a variety of alternative approaches to credit risk modeling and provide our own assessments of their relative strengths and weaknesses.
No comments:
Post a Comment