Credit Risk: Pricing, Measurement, and Management

📦 Product Details

• Authors: Darrell Duffie, Kenneth J. Singleton
• Publisher: New Age International Private Limited
• Publication Date: 1 January 2007
• Language: English
• Print Length: 416 pages
• ISBN-10: 8122421687
• ISBN-13: 978-8122421682
• Item Weight: 700 g

📖 About the Book

Credit Risk: Pricing, Measurement, and Management is a comprehensive work on the theory and practical management of credit risk in modern financial markets. The book examines how credit risk can be identified, measured, priced, and managed across different financial instruments and market environments.

Darrell Duffie and Kenneth J. Singleton bring together financial theory and practical approaches to topics such as credit-risk modelling, default probabilities, credit spreads, valuation, risk measurement, and credit derivatives. The book is particularly useful for understanding the quantitative foundations behind credit-risk management and financial decision-making.

With its detailed treatment of credit-risk concepts, the book is a valuable reference for students and professionals in finance, banking, risk management, financial economics, and quantitative finance.

✍️ About the Authors

Darrell Duffie is a prominent financial economist and scholar whose research and teaching have focused on financial markets, asset pricing, derivatives, and credit risk.

Kenneth J. Singleton is a financial economist known for his work in asset pricing, fixed-income markets, and financial econometrics, with particular expertise in credit-risk modelling and financial-market applications.