A clear approach to credit
Credit Risk: Pricing, Measurement and Management by Darrell Duffie and Kenneth Singleton Princeton Series in Finance, 2003 396 pages, £35 (hardback) ISBN 0-691-09046-7
Credit risk analysis has become increasingly technical and specialised. This book provides a comprehensive overview of the empirical and analytic approaches used in modelling and analysing credit risk. The authors provide a concise summary of the techniques used by academics and practitioners, with topics ranging from modelling default risk to assessing portfolio risk. Moreover, the presentation is conducted within the context of the available data as well as the institutional and
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