Measuring Corporate Default Risk

Zusatztext Darrel Duffie provides a lucid account of default risk modeling using dynamic intensity models and survival analysis. He covers both the case where the explanatory variables (covariates) are fully observed, and where they are unobserved, dynamic 'frailty' effects. The book will sharpen your modeling and risk management tools and help you selecting relevant covariates. You will also benefit from the author's brilliant sense of how these tools enhance our understanding of credit markets. Informationen zum Autor Darrell Duffie has been writing about financial markets since 1984. He is a Fellow of the American Academy of Arts and Sciences, a Fellow and member of the Council of the Econometric Society, and a Research Associate of the National Bureau of Economic Research. He is a member of the Financial Advisory Roundtable of the New York Federal Reserve Bank, and a member of the board of directors of Moody's Corporation. Prof. Duffie was the President of the American Finance Association until January, 2010. In 2003, he was awarded the SunGard/IAFE Financial Engineer of the Year Award from the International Association of Financial Engineers. Klappentext Based on the author's Clarendon Lectures in Finance, this book develops and implements statistical methods for modelling corporate credit risk. Zusammenfassung Based on the author's Clarendon Lectures in Finance, this book develops and implements statistical methods for modelling corporate credit risk.

Produktdetails

• Autoren: Darrell Duffie, Darrell (Dean Witter Distinguished Professor of Finance Duffie, Duffie Darrell
• Verlag: Oxford University Press
• Sprache: Englisch
• Produktform: Fester Einband
• Erschienen: 15.08.2011
• EAN: 9780199279234
• ISBN: 978-0-19-927923-4
• Seiten: 109
• Abmessung: 152 mm x 229 mm x 13 mm
• Serien: Clarendon Lectures in Finance; Clarendon Lectures in Finance
• Themen: Sozialwissenschaften, Recht,Wirtschaft > Wirtschaft > Betriebswirtschaft; BUSINESS & ECONOMICS / Corporate Finance / General, MATHEMATICS / Game Theory, BUSINESS & ECONOMICS / Budgeting, Corporate Finance, Budgeting & financial management, Budgeting and financial management, Risk assessment