Measuring Corporate Default Risk (Inbunden)
avDarrell Duffie
ISBN: 9780199279234 - UTGIVEN: 2011-08This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations sin[...]
Credit Risk (Inbunden)
avDarrell Duffie, Kenneth J. Singleton
ISBN: 9780691090467 - UTGIVEN: 2003-01-06Offers a treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. This book models credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. It is inte[...]
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets (Övrig)
avDarrell Duffie
ISBN: 9780691138961 - UTGIVEN: 2011-12-19Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market[...]
How Big Banks Fail, and What to Do About it (Inbunden)
avDarrell Duffie
ISBN: 9780691148854 - UTGIVEN: 2010-10Dealer banks--that is, large banks that deal in securities and derivatives, such as J. P. Morgan and Goldman Sachs--are of a size and complexity that sharply distinguish them from typical commercial banks. When they fail, as we saw in the global financial crisis, they pose significant risks to our f[...]
