Credit risk : pricing measurement and management

By:

"Duffie, Darrell"

Contributor(s):

"Singleton, Kenneth J"

Material type: Text

TextSeries: Princeton series in financePublication details: New Delhi; "New Age International Pvt. Ltd.,"; c2007Edition: 0Description: "xvi,396p. : ill. ;24cm."ISBN:

8122421687

Subject(s):

Summary: 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.

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Holdings
Item type	Home library	Call number	Status	Barcode
BOOKS	AMRITA SCHOOL OF BUSINESS	332.7 P7 (Browse shelf(Opens below))	Available	M12641

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.

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Central Library - Coimbatore

Credit risk : pricing measurement and management