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Published: 23 June 2011

128 Pages | 22 Figures, 13 Tables


ISBN: 9780199279234

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Bookseller Code (AJ)

Measuring Corporate Default Risk

Darrell Duffie

Clarendon Lectures in Finance

  • Written by one of the most influential financial economists of our time
  • Tight focus on default risk of public corporations
  • A highly rigorous approach that provides a reliable framework for new applications and extensions
  • Unified and self-contained description of the underlying mathematical methodology
  • Application of Markov Chain Monte Carlo methods