Credit risk : pricing measurement and management
"Duffie, Darrell"
Credit risk : pricing measurement and management - 0 - New Delhi "New Age International Pvt. Ltd.," c2007 - "xvi,396p. : ill. ;24cm." - Princeton series in finance .
includes bibliographical references and index
Contents: Economic principles of risk management -- Default arrival: historical patterns and statistical models -- Ratings transitions: historical patterns and statistical models -- Conceptual approaches to valuation of default risk -- Pricing corporate and sovereign bonds -- Empirical models of defaultable bond spreads -- Credit swaps -- Optional credit pricing -- Correlated defaults -- Collateralized debt obligations -- Over-the-counter default risk and valuation -- Integrated market and credit risk measurement.
8122421687
Credit --Management
Risk management
Credit risk : pricing measurement and management - 0 - New Delhi "New Age International Pvt. Ltd.," c2007 - "xvi,396p. : ill. ;24cm." - Princeton series in finance .
includes bibliographical references and index
Contents: Economic principles of risk management -- Default arrival: historical patterns and statistical models -- Ratings transitions: historical patterns and statistical models -- Conceptual approaches to valuation of default risk -- Pricing corporate and sovereign bonds -- Empirical models of defaultable bond spreads -- Credit swaps -- Optional credit pricing -- Correlated defaults -- Collateralized debt obligations -- Over-the-counter default risk and valuation -- Integrated market and credit risk measurement.
8122421687
Credit --Management
Risk management