[BOOK][B] Dynamic asset pricing theory

D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

Credit risk: pricing, measurement, and management

D Duffie, KJ Singleton - Credit Risk, 2012 - degruyter.com
In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

Term structures of credit spreads with incomplete accounting information

D Duffie, D Lando - Econometrica, 2001 - Wiley Online Library
We study the implications of imperfect information for term structures of credit spreads on
corporate bonds. We suppose that bond investors cannot observe the issuer's assets …

[BOOK][B] Credit derivatives pricing models: models, pricing and implementation

PJ Schönbucher - 2003 - books.google.com
The credit derivatives market is booming and, for the first time, expanding into the banking
sector which previously has had very little exposure to quantitative modeling. This …

Credit risk modeling

D Lando - Handbook of Financial Time Series, 2009 - Springer
The chapter gives a broad outline of the central themes of credit risk modeling starting with
the modeling of default probabilities, ratings and recovery. We present the two main …

[BOOK][B] An introduction to the mathematics of financial derivatives

A Hirsa, SN Neftci - 2013 - books.google.com
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that
eases the transition between basic summaries of financial engineering to more advanced …

[BOOK][B] Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets

J Gregory - 2012 - books.google.com
A practical guide to counterparty risk management and credit value adjustment from a
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …

[PDF][PDF] Modelling of default risk: an overview

M Jeanblanc, M Rutkowski - Mathematical finance: theory and practice, 2000 - Citeseer
The aim of these notes is to provide a relatively concise-but still self-contained-overview of
mathematical notions and results which underpin the valuation of defaultable claims …

Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings

RB Israel, JS Rosenthal, JZ Wei - Mathematical finance, 2001 - Wiley Online Library
In this paper we identify conditions under which a true generator does or does not exist for
an empirically observed Markov transition matrix. We show how to search for valid …

[BOOK][B] The XVA challenge: Counterparty risk, funding, collateral, capital and initial margin

J Gregory - 2020 - books.google.com
A thoroughly updated and expanded edition of the xVA challenge The period since the
global financial crisis has seen a major re-appraisal of derivatives valuation, generally …