Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)
| Author | : | |
| Rating | : | 4.15 (536 Votes) |
| Asin | : | 0691090467 |
| Format Type | : | paperback |
| Number of Pages | : | 416 Pages |
| Publish Date | : | 2015-02-14 |
| Language | : | English |
DESCRIPTION:
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. 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. Not least, they describe certain enhancements to curren
I recommend the book to academics and professionals, and also for the teaching of credit risk at Masters and PhD levels."--Georges Dionne, Journal of Risk and Insurance. "This is certainly the best book on credit risk available on the market for academics and practitioners
Decent, though not excellent jushu "Credit Risk" by Duffie/Singleton, two of the most distinguished scholars in the field, appears trying to be lots of things at the same time: (graduate) textbook, bridge between academia and finance practice, and more digestable review of their own work. Although it does not live up entirely to these pro. Unsatisfying compromise A Customer It seems the authors attempted a compromise between theoretical and practical aspects - and failed at both. From a theoretical point of view, this book is missing the rigorous exposition these authors have been known for in their previous work. From a practical point of view, this book will be of no help. Another summary of articles put together A Customer Duffie and Singleton are the masters of the reduced-form credit risk modeling approach. Although well-written, their book does not add anything new. It's just another review of the state of the art in credit risk. One can get the original papers and learn much more without having to read a short summary