Measuring Corporate Default Risk and over one million other books are available for Amazon Kindle. Learn more
Qty:1
  • List Price: $51.00
  • Save: $12.80 (25%)
Only 7 left in stock (more on the way).
Ships from and sold by Amazon.com.
Gift-wrap available.
Measuring Corporate Defau... has been added to your Cart
+ $3.99 shipping
Used: Like New | Details
Condition: :
Comment: Over 2 Million items sold. Fast dispatch and delivery. Excellent Customer Feedback. Most items shipped same or next working day from the UK.
Sell yours for a Gift Card
We'll buy it for $0.69
Learn More
Trade in now
Have one to sell? Sell on Amazon
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more
See this image

Measuring Corporate Default Risk (Clarendon Lectures in Finance) Hardcover – August 15, 2011


See all 2 formats and editions Hide other formats and editions
Amazon Price New from Used from
Kindle
"Please retry"
Hardcover
"Please retry"
$38.20
$8.98 $6.39

Best Books of the Year
See the Best Books of 2014
Looking for something great to read? Browse our editors' picks for 2014's Best Books of the Year in fiction, nonfiction, mysteries, children's books, and much more.
$38.20 FREE Shipping. Only 7 left in stock (more on the way). Ships from and sold by Amazon.com. Gift-wrap available.


Frequently Bought Together

Measuring Corporate Default Risk (Clarendon Lectures in Finance) + Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) + How Big Banks Fail and What to Do about It
Price for all three: $162.58

Buy the selected items together
NO_CONTENT_IN_FEATURE

Image
Looking for the Audiobook Edition?
Tell us that you'd like this title to be produced as an audiobook, and we'll alert our colleagues at Audible.com. If you are the author or rights holder, let Audible help you produce the audiobook: Learn more at ACX.com.

Product Details


Editorial Reviews

Review

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.


Customer Reviews

There are no customer reviews yet.
5 star
4 star
3 star
2 star
1 star
Share your thoughts with other customers

More About the Author

Discover books, learn about writers, read author blogs, and more.

Set up an Amazon Giveaway

Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Learn more
Measuring Corporate Default Risk (Clarendon Lectures in Finance)
This item: Measuring Corporate Default Risk (Clarendon Lectures in Finance)
Price: $51.00 $38.20
Ships from and sold by Amazon.com