TY  - BOOK
AU  - Duffie,Darrell
AU  - Singleton,Kenneth J.
TI  - Credit Risk: Pricing, Measurement, and Management 
T2  - Princeton Series in Finance
SN  - 9781400829170
AV  - HG3751 .D84 2009 
U1  - 332.7/42 
PY  - 2012///]
CY  - Princeton, NJ : 
PB  - Princeton University Press, 
KW  - BUSINESS & ECONOMICS / Economics / General
KW  - bisacsh
KW  - Approximation
KW  - Asset
KW  - Balance sheet
KW  - Bankruptcy
KW  - Basis Point
KW  - Bond (finance)
KW  - Bond Yield
KW  - Bond market
KW  - Bond valuation
KW  - Broker-dealer
KW  - Business cycle
KW  - Calculation
KW  - Call option
KW  - Capital market
KW  - Capital requirement
KW  - Cash flow
KW  - Characteristic function (probability theory)
KW  - Coefficient
KW  - Collateralized debt obligation
KW  - Conditional probability distribution
KW  - Counterparty
KW  - Coupon (bond)
KW  - Coupon
KW  - Covariance matrix
KW  - Credit (finance)
KW  - Credit derivative
KW  - Credit event
KW  - Credit rating
KW  - Credit risk
KW  - Credit spread (options)
KW  - Currency
KW  - Debt
KW  - Default Rate
KW  - Discounts and allowances
KW  - Diversification (finance)
KW  - Economics
KW  - Estimation
KW  - Event of default
KW  - Face value
KW  - Financial institution
KW  - Forward rate
KW  - Government bond
KW  - Government debt
KW  - Hedge (finance)
KW  - High-yield debt
KW  - Interest rate swap
KW  - Interest rate
KW  - Interest-Rate Derivative
KW  - Investment
KW  - Investor
KW  - Issuer
KW  - Lehman Brothers
KW  - Leverage (finance)
KW  - Liability (financial accounting)
KW  - Libor
KW  - Likelihood function
KW  - Long run and short run
KW  - Market Value Of Equity
KW  - Market liquidity
KW  - Market price
KW  - Market value
KW  - Markov chain
KW  - Markov process
KW  - Moneyness
KW  - Parameter
KW  - Payment
KW  - Payout
KW  - Present value
KW  - Price Change
KW  - Pricing
KW  - Probability distribution
KW  - Probability of default
KW  - Probability
KW  - Random variable
KW  - Rate of return
KW  - Repurchase agreement
KW  - Risk management
KW  - Risk premium
KW  - Risk-neutral measure
KW  - Securitization
KW  - Short rate
KW  - Short-rate model
KW  - Skewness
KW  - Special case
KW  - Spread option
KW  - Standard deviation
KW  - Stochastic volatility
KW  - Swap (finance)
KW  - Swap rate
KW  - Tax
KW  - Time horizon
KW  - Time series
KW  - Trader (finance)
KW  - Tranche
KW  - Valuation (finance)
KW  - Value (economics)
KW  - Variance
KW  - Yield curve
KW  - Yield spread
KW  - Zero-coupon bond
N1  - Frontmatter --; Contents --; Preface --; Acknowledgments --; 1 Introduction --; 2 Economic Principles of Risk Management --; 3 Default Arrival: Historical Patterns and Statistical Models --; 4 Ratings Transitions: Historical Patterns and Statistical Models --; 5 Conceptual Approaches to Valuation of Default Risk --; 6 Pricing Corporate and Sovereign Bonds --; 7 Empirical Models of Defaultable Bond Spreads --; 8 Credit Swaps --; 9 Optional Credit Pricing --; 10 Correlated Defaults --; 11 Collateralized Debt Obligations --; 12 Over-the-Counter Default Risk and Valuation --; 13 Integrated Market and Credit Risk Measurement --; A Introduction to Affine Processes --; B Econometrics of Affine Term-Structure Models --; C HJM Spread Curve Models --; References --; Index; restricted access
N2  - 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
UR  - https://doi.org/10.1515/9781400829170?locatt=mode:legacy
UR  - https://www.degruyter.com/isbn/9781400829170
UR  - https://www.degruyter.com/document/cover/isbn/9781400829170/original
ER  -