Credit risk: pricing, measurement, and management
Auteur :
Duffie, Darrell / Singleton, Kenneth J.
Éditeur :
Princeton University Press
ISBN :
9780691090467
Date de publication :
26 janv. 2003
Dimensions :
23,5 x 15,2 cm
Poids :
482 g
Format :
B315
Langue :
Anglais
Pays d'origine :
USA
Offers a treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. This book models credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. It is intended as a resource for researchers and students.