Title
Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)
Sold by Ergodebooks, an authorized reseller.
Returns accepted within 30 days | support@ergodebooks.com
Shipping Information
- Free Standard Shipping — United States only
- Processing Time: 1–3 business days
- Estimated Delivery: 3–5 business days after dispatch
- Double-boxed, fully insured & discreetly packaged
- Tracking number sent via email once dispatched
- Orders over $250 require signature upon delivery. Taxes calculated at checkout.
Returns & Refund
Returns accepted within 30 days of delivery.
Damaged or Defective Item
Free return shipping + replacement or full refund
Wrong Item Received
Free return shipping + replacement or full refund
Change of Mind
Return shipping at customer's expense · 25% restocking fee applies
Payment Option
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 stateoftheart account is unparalleled, and its singularly indepth 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 creditrisk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends indepth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such creditrelated time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the structura and reducedform 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.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.
For more information, please visit www.P65Warnings.ca.gov.