Measuring Corporate Default Risk
This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations overroughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separa…
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Produktdetails
- ISBN: 978-0-19-150047-3
- EAN: 9780191500473
- Produktnummer: 14479552
- Verlag: Oxford University Press
- Sprache: Englisch
- Erscheinungsjahr: 2011
- Plattform: EPUB
- Masse: 19'271 KB
- Abbildungen: 22 Figures, 13 Tables
Über den 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 FinanceAssociation until January, 2010. In 2003, he was awarded the SunGard/IAFE Financial Engineer of the Year Award from the International Association of Financial Engineers.
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