Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)

Book Description

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.

Customer Reviews:

Poor writers.......2003-11-01

The book covers all the relevant topics and provides a slightly different presentation of their own models. However, the book glosses over the mathematics and is written in a very stiff style. The authors have never been known as good writers but in this case they are not presenting anything new. Rather disappointing from two rather strong academics.

Unsatisfying compromise.......2003-03-19

It seems the authors attempted a compromise between theoretical and practical aspects - and failed at both. From a theoretical point of view, this book is missing the rigorous exposition these authors have been known for in their previous work. From a practical point of view, this book will be of no help to someone trying to implement any credit risk models. The numerous figures - probably added by the authors in a attempt to banish their reputation for texts that are extremely hard to read - do not help in this respect. Detailed descriptions or real examples that could be used for practical purposes are completely absent. There are better choices of credit risk books for both the theoretically and practically inclined.

Disappointing - Bits and pieces jotted together.......2003-03-19

This book is obviously a quick shot. It's bits and pieces taken from various articles: not one topic is covered right. If the authors had at least selected the most relevant results and formulas from the respective articles, but no, they chose to spray the text with the occasional formula, often irrelevant and seemingly arbitrarily selected, while formulas representing important results are completely missing. The authors might be famous - this book is not going to be.

Another summary of articles put together.......2003-02-23

Duffie and Singleton are the masters of the reduced-form credit risk modeling approach. Although well-written, their book does not add anything new. It's just another review of the state of the art in credit risk. One can get the original papers and learn much more without having to read a short summary on each work. You will not be able to learn how to model a credit risky instrument by reading this book.I would have liked to see fewer references and more worked-out examples with derivations and detailed numerical applications.

Credit Risk: Pricing, Measurement, and Management.(Book Review): An article from: Journal of Risk and Insurance

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Credit Risk: Pricing, Measurement, and Management.(Book Review): An article from: Journal of Risk and Insurance
Georges Dionne
Manufacturer: American Risk and Insurance Association, Inc.
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

Management | Management & Leadership | Business & Investing | Subjects | Books

Pricing | Management & Leadership | Business & Investing | Subjects | Books

Book Description

This digital document is an article from Journal of Risk and Insurance, published by American Risk and Insurance Association, Inc. on March 1, 2005. The length of the article is 2668 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Credit Risk: Pricing, Measurement, and Management.(Book Review)
Author: Georges Dionne
Publication: Journal of Risk and Insurance (Refereed)
Date: March 1, 2005
Publisher: American Risk and Insurance Association, Inc.
Volume: 72 Issue: 1 Page: 177(6)

Article Type: Book Review

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An integrated pricing model for defaultable loans and bonds [An article from: European Journal of Operational Research]

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An integrated pricing model for defaultable loans and bonds [An article from: European Journal of Operational Research]
M. Onorato , and E.I. Altman
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Management | Management & Leadership | Business & Investing | Subjects | Books

Credit Ratings & Repair | Personal Finance | Business & Investing | Subjects | Books

Book Description

This digital document is a journal article from European Journal of Operational Research, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system. In this paper we present an integrated model, based on a reduced pricing approach, for market and credit risk. Its main features are those of being mark to market and that the spread term structure by rating class is contingent on the seniority of debt within an arbitrage-free framework. We introduce issues such as, the integration of market and credit risk, the use of stochastic recovery rates and recovery by seniority. Moreover, we will characterize default risk by estimating migration risk through a ''mortality rate'', actuarial-based, approach. The resultant probabilities will be the base for determining multi-period risk-neutral transition probability that allow pricing of risky debt in the trading and banking book.

Risk-based pricing in the nonconforming market; models have gotten much better over time at pricing mortgage risk. This study tracks the mortgage coupon ... An article from: Mortgage Banking

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Risk-based pricing in the nonconforming market; models have gotten much better over time at pricing mortgage risk. This study tracks the mortgage coupon ... An article from: Mortgage Banking
Frank L. Raiter , and Francis Parisi
Manufacturer: Mortgage Bankers Association of America
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

Management | Management & Leadership | Business & Investing | Subjects | Books

Pricing | Management & Leadership | Business & Investing | Subjects | Books

General | Personal Finance | Business & Investing | Subjects | Books

Book Description

This digital document is an article from Mortgage Banking, published by Mortgage Bankers Association of America on April 1, 2004. The length of the article is 3299 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Risk-based pricing in the nonconforming market; models have gotten much better over time at pricing mortgage risk. This study tracks the mortgage coupon rates of a large group of loans in prime, nonprime and alt-A categories.
Author: Frank L. Raiter
Publication: Mortgage Banking (Magazine/Journal)
Date: April 1, 2004
Publisher: Mortgage Bankers Association of America
Volume: 64 Issue: 7 Page: 56(6)

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Book Description

The financial crisis that hit a number of economies of Asia in 1997 shocked the world. Financial Liberalization and the Asian Crisis rejects conventional explanations of the crisis as the outcome primarily of inefficient and corrupt economic systems in the countries concerned. It argues that the crisis was the result of premature and overly rapid financial liberalization in a world of increasing liquidity and volatility, and calls for a more cautious approach to financial liberalization, and reform of the international financial architecture.

Financial Liberalization and the Economic Crisis in Asia (European Institute of Japanese Studies, East Asian Economics and Business)

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Financial Liberalization and the Economic Crisis in Asia (European Institute of Japanese Studies, East Asian Economics and Business)
Chung H. Lee
Manufacturer: RoutledgeCurzon
ProductGroup: Book
Binding: Hardcover

Economic History | Economics | Business & Investing | Subjects | Books

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Japan | Asia | History | Subjects | Books

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General | Social Sciences | Nonfiction | Subjects | Books

Book Description

What brought about a financial crisis in the "miracle" economies of Asia? What went wrong with financial reform in Asia? What can the developing countries of the world learn from the reform experiences in Asia?
Financial Liberalization and the Economic Crisis in Asia analyses how financial liberalization was undertaken in eight Asian countries and how it might be linked to the subsequent crises. The country studies focus on China, India, Indonesia, Japan, Malaysia, the Philippines, South Korea and Thailand.

Liberalization, Growth and the Asian Financial Crisis: Lessons for Developing and Transitional Economies in Asia (Elgar Monographs)

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Liberalization, Growth and the Asian Financial Crisis: Lessons for Developing and Transitional Economies in Asia (Elgar Monographs)
Mohamed Ariff , and Ahmed M. Khalid
Manufacturer: Edward Elgar Publishing
ProductGroup: Book
Binding: Hardcover

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Financial Liberalization and the Economic Crisis in Asia.(Book Review): An article from: ASEAN Economic Bulletin

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Financial Liberalization and the Economic Crisis in Asia.(Book Review): An article from: ASEAN Economic Bulletin
Sakulrat Montreevat
Manufacturer: Institute of Southeast Asian Studies (ISEAS)
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

Book Description

This digital document is an article from ASEAN Economic Bulletin, published by Institute of Southeast Asian Studies (ISEAS) on December 1, 2003. The length of the article is 1199 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Financial Liberalization and the Economic Crisis in Asia.(Book Review)
Author: Sakulrat Montreevat
Publication: ASEAN Economic Bulletin (Refereed)
Date: December 1, 2003
Publisher: Institute of Southeast Asian Studies (ISEAS)
Volume: 20 Issue: 3 Page: 297(3)

Article Type: Book Review

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Financial Liberalization and the Economic Crisis in Asia

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Financial Liberalization and the Economic Crisis in Asia
CHUNG H. LEE
Manufacturer: NY
ProductGroup: Book
Binding: Hardcover
ASIN: B000MU6T58

Book Description

This digital document is an article from The Journal of the American Oriental Society, published by American Oriental Society on April 1, 1996. The length of the article is 1603 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: The Decline of Iranshahr: Irrigation and Environments in the History of the Middle East, 500 B.C. to A.D. 1500. (book reviews)
Author: Elton L. Daniel
Publication: The Journal of the American Oriental Society (Refereed)
Date: April 1, 1996
Publisher: American Oriental Society
Volume: v116 Issue: n2 Page: p336(3)

Article Type: Book Review

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Book Description

There is an increasing trend in the Earth sciences towards the integration of many subdisciplines. The sedimentary basin, is a fundamental focal point of many studies, which as a consequence often neglects the complimentary drainage basin or catchment. Sedimentary basins provide a record of Earth history, reflecting the geographical, lithological, oceanographic and ecological development through the rock record. Drainage basins in comparison record ephemeral landscape evolution, where topography is eroded and provides the flux of sediment to the basin. The basin fill reflects the sediment flux from the hinterland and provides evidence of the dynamic geomorphic processes. In context the drainage system and sedimentary basin can be regarded as a `production line' with the sedimentary record giving valuable insight into long-term landscape evolution and geomorphological processes illuminating the evolution of sedimentary basins.

This volume assesses the current position of understanding sediment supply to basins with the integration of the many sub-disciplines in the Earth sciences. It documents a mix of hinterland and sedimentary basin studies with a gradation from orogenic belts to the deep marine. The authors represent a wide spectrum of Earth scientists, with leaders in the science providing review papers and new-directive papers in their field of specialization.

Book Description

The plasmasphere is the vast "doughnut-shaped" region of the magnetosphere that forms a cold thermal plasma cloud encircling the Earth, terminating abruptly at a radial distance of 30,000 km over a sharp discontinuity known as the plasmapause. This is the first monograph to describe the historical development of ideas concerning the plasmasphere by the pioneering researchers themselves. The monograph brings our picture of the plasmasphere up to date by presenting experimental and observational results of the past three decades, and mathematical and physical theories proposed to explain its formation. The volume will be invaluable for researchers in space physics and will also appeal to those interested in the history of science.

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EARTHS PLASMASPHERE
J. Lemaire
Manufacturer: NY
ProductGroup: Book
Binding: Paperback
ASIN: B000N6BY8I

The inner magnetosphere imager mission (SuDoc NAS 1.15:111336)

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The inner magnetosphere imager mission (SuDoc NAS 1.15:111336)
D. L. Gallagher
Manufacturer: National Aeronautics and Space Administration National Technical Information Service, distributor
ProductGroup: Book
Binding: Unknown Binding
ASIN: B00010RK7U

Instrument technology for magnetosphere plasma imaging from high earth orbit design of a radio plasma sounder (SuDoc NAS 1.26:200009)

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Instrument technology for magnetosphere plasma imaging from high earth orbit design of a radio plasma sounder (SuDoc NAS 1.26:200009)
D. Mark Haines
Manufacturer: National Aeronautics and Space Administration National Technical Information Service, distributor
ProductGroup: Book
Binding: Unknown Binding

Magnetosphere imager science definition team executive summary (SuDoc NAS 1.61:1379)

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Magnetosphere imager science definition team executive summary (SuDoc NAS 1.61:1379)
T. P. Armstrong
Manufacturer: National Aeronalutics and SPace Administration, Marshall Space Flight Center National Technical Information Service, distributor
ProductGroup: Book
Binding: Unknown Binding
ASIN: B00010ROU8

Magnetospheric space plasma investigations final report, grant NAG8-239, July 10, 1992-November 9, 1996 (SuDoc NAS 1.26:201022)

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Magnetospheric space plasma investigations final report, grant NAG8-239, July 10, 1992-November 9, 1996 (SuDoc NAS 1.26:201022)
Richard H. Comfort
Manufacturer: National Aeronautics and Space Administration National Technical Information Service, distributor
ProductGroup: Book
Binding: Unknown Binding
ASIN: B00010XXRQ

Plasmasphere and magnetosphere structure from ISEE-1 and DE-1 (SuDoc NAS 1.26:180111)

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Plasmasphere and magnetosphere structure from ISEE-1 and DE-1 (SuDoc NAS 1.26:180111)
R. C. Olsen
Manufacturer: National Aeronautics and Space Administration National Technical Information Service, distributor
ProductGroup: Book
Binding: Unknown Binding
ASIN: B00010PI10

The streaming-trapped ion interface in the equatorial inner magnetosphere (SuDoc NAS 1.26:199531)

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The streaming-trapped ion interface in the equatorial inner magnetosphere (SuDoc NAS 1.26:199531)
NASA
Manufacturer: University of Alabama in Huntsville National Aeronautics and Space Administration National Technical Information Service, distributor
ProductGroup: Book
Binding: Unknown Binding
ASIN: B00010QM3S

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A Fun Fast Read

Gulp. Ahhh.

Fun, fast read

Fun from Start to Finish

I Was a Vacuum Cleaner Salesman
Shelly Rivoli
Manufacturer: iUniverse
ProductGroup: Book
Binding: Hardcover

Contemporary | General | Literature & Fiction | Subjects | Books
ASIN: 0595657222

Book Description

"Wouldn't it be nice if we could make the air inside our homes as clean and fresh as it is in the Irish countryside?"

For college-student-turned-summer-sales-associate Diana Jensen, this bizarre question and the demonstration that follows prompt a surprising number of people to invest in "the world's first motorized dust-free cleaning device."

Flying high on her instant success as a salesman, Diana soon finds herself a major player in the commission-based world of Chin's StormBurst, where it seems she really can "make as little, or as much money" as she wants to.

Follow the plucky heroine in and out of the homes of strangers as she discovers for herself the secrets of good (and sometimes disastrous) salesmanship in this engaging primer on the delicate art of making a sale.

Customer Reviews:

A Fun Fast Read.......2003-10-10

This is the perfect book to read on a flight. The characters are engaging, and once I picked it up, I didn't want to put it down. After reading this book, you will never look at a salesman the same way again!

Gulp. Ahhh........2003-10-06

This book was so funny! I agree, I couldn't put it down (and I had a lot of other things I should have been doing!). I think the special strength of this book is how Rivoli makes Diana grow almost imperceptibly through her interactions with all these characters she does her demos for. As zany as this book is, the storytelling is firmly realistic.

Fun, fast read.......2003-09-16

Bridget Jones meets the Avon lady!! Diana's adventures selling vacuums are sometimes funny, sometimes heartwarming... always entertaining.
The crazy cast of characters and Diana's many predicaments make this book easy to get through. Though when you're done you'll wonder what Diana is up to next.

Fun from Start to Finish.......2003-08-27

When I say I couldn't put this book down, I mean I literally read until my book light battery went dead.

Rarely do I stumble onto a book I enjoy to this extent. It is an intriguing story delivered by a gifted storyteller, with characters I could immediately see and conversations I could clearly hear as I read along.

I highly recommended this book to anyone who enjoys a fast-paced, funny read.

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