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Credit Risk: Pricing, Measurement, and Management

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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 deriva ...more
Hardcover, 416 pages
Published January 26th 2003 by Princeton University Press (first published January 6th 2003)
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