Credit Risk: Pricing, Measurement, and Management

By Darrell Duffie, Kenneth J. Singleton. 2003

395 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c25c6d1332410e2d75ac003be713266d1500a8fe

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Citations in the corpus

Forecasting Default with the Merton Distance to Default Model (2008, background): “1 The model is discussed in Duffie and Singleton (2003) and Saunders and Allen (2002).”
Are Credit Ratings Procyclical (2004, background): “Credit risk measurement has played an increasingly important role in the pricing of credit-risky instruments, asset allocation decisions and the development of integrated risk management systems (see, e.g., Duffie and Singleton, 2003).”
Forecasting Default with the Kmv-Merton Model (2004, methodology): “1The model is discussed in Duffie and Singleton (2003) and Saunders and Allen (2002).”
Walking Hand in Hand: Fiscal Policy and Growth in Advanced Economies (2012, unknown): “…can be bond- or contract specific liquidity effects that create time-varying differences or basis risk between CDS and sovereign bond spreads (see Duffie and Singleton, 2003; Longstaff, Mithal, and Neis, 2005). advanced economies are now among the ten largest single name CDS exposures by net…”
Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “As seen in Figure 8 credit spreads increase during economic recessions (see also Duffie and Singleton 2003).”
Nonparametric estimation of conditional VaR and expected shortfall (2008, background): “On the other hand, as pointed out by Duffie and Singleton (2003) and Engle and Manganelli (2004), not only are the prices of the underlying market indices changing randomly over time, but the portfolio itself is changing, as is the volatility of prices, the credit qualities of counterparties, and…”
CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009, unknown): “For further background on credit risk, see Bielecki and Rutkowski (2002), Das (1995), Duffie and Singleton (2003), Kijima (2002), Lando (2004), Schönbucher (2003).”
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY (2016, background): “Conditional value-at-risk (CVaR) and conditional expected shortfall (CES) are two of the most used synthetic measures of market risk in empirical finance (see Duffie and Singleton (2003), McNeil et al. (2005) and Danielsson (2011)).”
The Credit Spread Puzzle (2003, background): “See Duffie and Singleton (2003) and Amato and Remolona (2003) for further discussion.”