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CREDIT RISK
DUFFIE D., SINGLETON K. wydawnictwo: PRINCETON, 2003, wydanie I cena netto: 290.00 Twoja cena 275,50 zł + 5% vat - dodaj do koszyka 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.
Review:
"This is certainly the best book on credit risk available on the market for academics
and practitioners. 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
Endorsements:
"A clear and comprehensive treatment of credit risk models by two of the leading
authorities in the field. It will become the standard reference for both academic
researchers and practitioners."Michael J. Brennan, The Anderson School at UCLA
"Duffie and Singleton provide the first comprehensive, yet readable, treatment of the
challenging subject of credit risk. This book will undoubtedly become the ultimate
reference for both academics and risk professionals who care to venture beyond the
traditional alleys."Michel Crouhy, Head of Business Analytic Solutions, Canadian
Imperial Bank of Commerce
"Duffie and Singleton have written an indispensable guide both to the models and to
their implementation. The mathematical workings of the models are conveyed with superb
clarity and intuition. Just as importantly, the presentation is well grounded in the
economic and institutional features of credit markets. We thereby gain insight into the
empirical plausibility of modeling assumptions and guidance on robust model
calibration." Michael Gordy
"Darrell Duffie and Kenneth Singleton have set the standard on credit modeling. Not
only is the book appealing to an academic but it also speaks to practitioners. It has the
double virtue of being elegant and practical. Further, many if not most of the results are
original to the authors." Larry Eisenberg, President, The Risk Engineering Company
Hardcover
396 pages
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