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OverviewFull Product DetailsAuthor: Darrell Duffie (Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University)Publisher: Oxford University Press Imprint: Oxford University Press Dimensions: Width: 15.70cm , Height: 0.70cm , Length: 23.30cm Weight: 0.210kg ISBN: 9780199279241ISBN 10: 0199279241 Pages: 128 Publication Date: 22 September 2022 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: In Print This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of ContentsReviewsDarrell Duffie has been a leader in the field of credit risk, both its theory and empirical implementation, for over a decade. This book is a brilliant presentation of the methods, many originated by Darrell himself, for estimating corporate default risk. It is a necessary reference for beginners and professionals alike. Anyone interested in measuring default risk should have this book on their bookshelf. * Robert Jarrow, Susan E. Lynch Professor of Investment Management, Johnson Graduate School of Management, Cornell University * This book provides a brilliant summary of the numerous works on Corporate Default Risk that Darrell Duffie developed, with several co-authors, over the past decade. A striking feature of this monograph is the equal attention paid to theoretical and applied aspects. One the one hand, advanced probabilistic and statistical tools, like doubly stochastic intensity, censoring, frailty models or MCMC algorithms are presented in a very pedagogic way and, on the other hand, applications to North American corporations, based on rich datasets, are reported in great detail and discussed very carefully. It is a genuine tour de force . * Alain Monfort, Professure CNAM, Centre de Recherche en Economie et Statistique * 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. * David Lando, Professor of Finance, Copenhagen Business School * Author InformationDarrell Duffie is the The Adams Distinguished Professor of Management and Professor of Finance at Stanford Graduate School of Business and has been writing about financial markets since 1984. He is a fellow and member of the Council of the Econometric Society, a research fellow of the National Bureau of Economic Research, and a fellow of the American Academy of Arts and Sciences. Duffie was the 2009 president of the American Finance Association. In 2014, he chaired the Market Participants Group, charged by the Financial Stability Board with recommending reforms to Libor, Euribor, and other interest rate benchmarks. Duffie's recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012). Tab Content 6Author Website:Countries AvailableAll regions |