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Credit Risk. Pricing, Measurement, and Management. Princeton University Press, 2003, Darrell Duffie and Kenneth J. Singleton

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Credit Risk. Pricing, Measurement, and Management. Princeton University Press, 2003, Darrell Duffie and Kenneth J. Singleton

Published online by Cambridge University Press:  17 April 2015

Paul Embrechts
Paul Embrechts*
Affiliation:
ETH Zürich
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Abstract

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Type
Book Review
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 264 - 265
Copyright
Copyright © ASTIN Bulletin 2004

References

[1] Blum, C., Overbeck, L. and Wagner, C. (2003) An Introduction to Credit Risk Modeling. Chapman & Hall/CRC, Boca Raton.Google Scholar
[2] Crouhy, M., Galai, D. and Mark, R. (2000) Risk Management. McGraw-Hill, New York.Google Scholar
[3] Schönbucher, P.J. (2003) Credit Derivatives Pricing Models. Wiley, Chichester.Google Scholar