Credit Risk: Pricing, Measurement, and Management
Dionne, Georges, 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 on how to measure credit risk and, more particularly, on how to compute the optimal capital that is necessary for protecting the different partners that share this risk. For example, what …
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Publication information:
Article title: Credit Risk: Pricing, Measurement, and Management.
Contributors: Dionne, Georges - Author.
Journal title: Journal of Risk and Insurance.
Volume: 72.
Issue: 1
Publication date: March 2005.
Page number: 177+.
© 2009 American Risk and Insurance Association, Inc.
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