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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 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 ...
A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.
Growing up in Chicago during the 1930s, `40s and `50s was a life rich in tradition, family and memories. Nick Thomopoulos in 100 Years chronicles the vibrant life of the neighborhood surrounding the St. George Greek Orthodox Church. He tells of the tragic death of his father and the difficulties and joys his immigrant mother faced in raising five young children in an emerging metropolis unlike Zakynthos, Greece. Because of the Great Depression, World War II, the Greek Civil War and the hardships in Greece, Marie received only an occasional letter from her siblings. In 1962, Marie, with Nick, returned to Greece 42 years after she left. Three of her five siblings did not know she was coming, and her husbands lone sister did not know the family was even alive. The story describes the excitement of reuniting with the family.
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A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.
Provides a consistent firm-wide platform for pricing, hedging and risk management of credit across a broad range of product classes.