Corpus ID: 153987680

Credit Risk: Pricing, Measurement, and Management

@article{Dionne2005CreditRP,
  title={Credit Risk: Pricing, Measurement, and Management},
  author={G. Dionne},
  journal={Journal of Risk and Insurance},
  year={2005},
  volume={72},
  pages={177}
}
  • G. Dionne
  • Published 2005
  • Economics
  • Journal of Risk and Insurance
Credit Risk: Pricing, Measurement, and Management, by Darrell Duffie and Kenneth J. Singleton, 2003, Princeton, NJ: Princeton University Press Credit risk is the major challenge for risk managers and market regulators. International regulation of banks' credit risk was put in place in 1988 and since that time there has been no consensus on how to improve that regulatory framework. Part of the explanation resides in the complexity of this risk. Banks, regulators, and central banks do not agree… Expand
263 Citations
An Empirical Analysis of the Pricing of Collateralized Debt Obligations
  • 293
  • PDF
Asset Correlations and Credit Portfolio Risk: An Empirical Analysis
  • 41
  • Highly Influenced
  • PDF
Inflation Uncertainty , Asset Valuations , and Five Credit Risk Puzzles ∗
  • Alexander David Haskayne
  • 2005
The pricing of conditional performance guarantees with risky collateral
  • 8
  • Highly Influenced
Decomposing CDS Spreads and Their Variation∗
  • 3
  • Highly Influenced
  • PDF
...
1
2
3
4
5
...