Français
Credit risk : pricing, measurement and management.
Appartenance & droits
DUFFIE Darrell ; SINGLETON Kenneth J.
2003
396
0-691-09046-7
134.06-DUFFI
FINANCING ; RISK ; FINANCIAL STATISTICS ; BOND ; SWAP ; FINANCIAL MARKET ; CREDIT RISK
| No. | Call n° | Bar code | Commentary | |
|---|---|---|---|---|
| 1 | [not for loan] | |||
| 2 | [available] |
Contents : Contents
1. Introduction
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
Language : English
Series : PRINCETON SERIES IN FINANCE
Figure(s) : Graphique(s)
Location : Nice Library
Material : Paper
Statement : Présent
Owner : Bibliothèque