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

Darrell Duffie , Kenneth J. Singleton
4.0 out of 5 stars  See all reviews (2 customer reviews)
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Book Description

26 Jan 2003 0691090467 978-0691090467

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.


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Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) + Credit Risk Modeling: Theory and Applications (Princeton Series in Finance)
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Product details

  • Hardcover: 416 pages
  • Publisher: Princeton University Press (26 Jan 2003)
  • Language: English
  • ISBN-10: 0691090467
  • ISBN-13: 978-0691090467
  • Product Dimensions: 23.6 x 16.4 x 3.3 cm
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 515,418 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Review

"This is certainly the best book on credit risk available on the market for academics and practitioners. I recommend the book to academics and professionals, and also for the teaching of credit risk at Masters and PhD levels."--Georges Dionne, Journal of Risk and Insurance

From the Inside Flap

"A clear and comprehensive treatment of credit risk models by two of the leading authorities in the field. It will become the standard reference for both academic researchers and practitioners."--Michael J. Brennan, The Anderson School at UCLA

"Duffie and Singleton provide the first comprehensive, yet readable, treatment of the challenging subject of credit risk. This book will undoubtedly become the ultimate reference for both academics and risk professionals who care to venture beyond the traditional alleys."--Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce

"Duffie and Singleton have written an indispensable guide both to the models and to their implementation. The mathematical workings of the models are conveyed with superb clarity and intuition. Just as importantly, the presentation is well grounded in the economic and institutional features of credit markets. We thereby gain insight into the empirical plausibility of modeling assumptions and guidance on robust model calibration."--Michael Gordy

"Darrell Duffie and Kenneth Singleton have set the standard on credit modeling. Not only is the book appealing to an academic but it also speaks to practitioners. It has the double virtue of being elegant and practical. Further, many if not most of the results are original to the authors."--Larry Eisenberg, President, The Risk Engineering Company

"I like this book very much and shall use it profitably both for my own research and teaching. Duffie and Singleton develop the intellectual basis for understanding, modeling, and measuring credit risk and then develop the issue of risk management. This approach is both intuitive and natural. I can think of no scholars better qualified than they to embark on this ambitious task."--Suresh M. Sundaresan, Graduate School of Business, Columbia University

"Overall, the book succeeds in motivating the reader to consider the alternative approaches to modeling credit risk. . . . Although the book is technically rigorous, the presentation is straightforward so even a casual reader will learn from the authors' insights. Moreover, the seasoned analyst will benefit from the concise summary of many existing techniques."--Amnon Levy, Risk


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Customer Reviews

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Most Helpful Customer Reviews
3 of 4 people found the following review helpful
Format:Hardcover
If you are looking for a compentent survey of current developments in credit risk, this is a good book.
however it is not detailed enough in its coverage to be of use to researchers/doctoral students in my opinion - which was the main audience for Dynamic Asset Pricing Theory, a superb book.
This book is in the middle ground, not written for Quants, or for the Credit RIsk Managers, perhaps I would reccommend this for more technical risk managers, but certainly not for quants who will not learn much from this summary.
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5.0 out of 5 stars pragmatic 3 May 2011
By Mohand
Format:Hardcover
I found the book very interesting (in my opinion), there are several examples (concerning default intensity models, transitions matrices ...etc), and the authors focus practice, not lot of mathematical demonstrations (that doesn't serve even quants)...

For those who were interested in advanced mathematical demonstration, the annex presented by Duffie was useful

I recommend the book for Master degree in Finance, Econometrics, and applied mathematics
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 2.3 out of 5 stars  6 reviews
30 of 31 people found the following review helpful
1.0 out of 5 stars Unsatisfying compromise 19 Mar 2003
By "martin_s_spencer" - Published on Amazon.com
Format:Hardcover
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.
19 of 20 people found the following review helpful
3.0 out of 5 stars Another summary of articles put together 22 Feb 2003
By A Customer - Published on Amazon.com
Format:Hardcover
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.
15 of 16 people found the following review helpful
1.0 out of 5 stars Disappointing - Bits and pieces jotted together 19 Mar 2003
By A Customer - Published on Amazon.com
Format:Hardcover
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.
6 of 8 people found the following review helpful
2.0 out of 5 stars Poor writers 31 Oct 2003
By A Customer - Published on Amazon.com
Format:Hardcover
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.
1 of 1 people found the following review helpful
3.0 out of 5 stars Humayun Ali 17 Feb 2008
By Humayun Riyasat - Published on Amazon.com
Format:Hardcover
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.
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