Darrell 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
About the Author
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.