Measuring Corporate Default Risk [Audiobook] download free by Darrell Duffie

Measuring Corporate Default Risk Audiobook download free by Darrell Duffie
  • Listen audiobook: Measuring Corporate Default Risk
  • Author: Darrell Duffie
  • Release date: 2011/8/15
  • Language: English
  • Genre or Collection: Reference
  • ISBN: 9780199279234
  • Rating: 7.3 of 10
  • Votes: 384
  • Review by: Adan Fries
  • Review rating: 7.75 of 10
  • Review Date: 2018/9/19
  • Duration: 1H34M34S in 256 kbps (25.6 MB)
  • Date of creation of the audiobook: 2018-09-05
  • You can listen to this audiobook in formats: WMA, WAV, Musepack, FLAC, WMA Lossless, Shorten, MPEG4, MP3 (compression ISO, DEB, DMG, TAR.Z, RAR, ZIP)
  • Total pages original book: 128
  • Includes a PDF summary of 13 pages
  • Duration of the summary (audio): 9M36S (2.6 MB)
  • Description or summary of the audiobook: This book, based on the author's Clarendon Lectures in Finance, examines the empirical behaviour of corporate default risk. A new and unified statistical methodology for default prediction, based on stochastic intensity modeling, is explained and implemented with data on U.S. public corporations since 1980. Special attention is given to the measurement of correlation of default risk across firms. The underlying work was developed in a series of collaborations overroughly the past decade with Sanjiv Das, Andreas Eckner, Guillaume Horel, Nikunj Kapadia, Leandro Saita, and Ke Wang. Where possible, the content based on methodology has been separated from the substantive empirical findings, in order to provide access to the latter for those less focused on themathematical foundations.A key finding is that corporate defaults are more clustered in time than would be suggested by their exposure to observable common or correlated risk factors. The methodology allows for hidden sources of default correlation, which are particularly important to include when estimating the likelihood that a portfolio of corporate loans will suffer large default losses. The data also reveal that a substantial amount of power for predicting the default of a corporation can be obtained from thefirm's 'distance to default,' a volatility-adjusted measure of leverage that is the basis of the theoretical models of corporate debt pricing of Black, Scholes, and Merton. The findings are particularly relevant in the aftermath of the financial crisis, which revealed a lack of attention to the propermodelling of correlation of default risk across firms.
  • Other categories, genre or collection: Econometrics, Corporate Finance, Investment & Securities, Budgeting & Financial Management, Risk Assessment
  • Download servers: Microsoft OneDrive, MEGA, Google Drive, Torrent, JumpShare. Compressed in ISO, DEB, DMG, TAR.Z, RAR, ZIP
  • Format: Hardback
  • Approximate value: 80.24 USD
  • Dimensions: 156x234x16mm
  • Weight: 340.19g
  • Printed by: Not Available
  • Published in: Oxford, United Kingdom

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