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1、CreditRiskCreditRisk:Pricing,Measurement,andManagementisapartofthePrincetonSeriesinFinanceSeriesEditorsDarrellDuffieStephenSchaeferStanfordUniversityLondonBusinessSchoolFinanceasadisciplinehasbeengrowingrapidly.Thenumberofresearchersinacademyandindustry,ofstudents,ofmethodsandmodelshaveallprol
2、if-eratedinthepastdecadeorso.Thisgrowthanddiversitymanifestsitselfintheemergingcross-disciplinaryaswellascross-nationalmixofscholarshipnowdrivingthefieldoffinanceforward.Theintellectualrootsofmodernfinance,aswellasthebranches,willberepresentedinthePrincetonSeriesinFinance.Titlesintheserieswillbes
3、cholarlyandprofessionalbooks,intendedtobereadbyamixedaudienceofeconomists,mathematicians,operationsresearchscientists,financialengineers,andotherinvestmentprofessionals.Thegoalistoprovidethefinestcross-disciplinarywork,inallareasoffinance,bywidelyrecognizedresearchersintheprimeoftheircreativecare
4、ers.OtherBooksinThisSeriesFinancialEconometrics:Problems,Models,andMethodsbyChristianGourierouxandJoannJasiakCreditRiskPricing,Measurement,andManagementDarrellDuffieandKennethJ.SingletonPrincetonUniversityPressPrincetonandOxfordCopyright©2003byPrincetonUniversityPressPublishedbyPrincetonUnivers
5、ityPress,41WilliamStreet,Princeton,NewJersey08540IntheUnitedKingdom:PrincetonUniversityPress,3MarketPlace,Woodstock,OxfordshireOX201SYAllrightsreservedLibraryofCongressCataloging-in-PublicationDataDuffie,Darrell.Creditrisk:pricing,measurement,andmanagement/DarrellDuffieandKennethJ.Singleton.p.cm
6、.—(Princetonseriesinfinance)Includesbibliographicalreferencesandindex.ISBN0-691-09046-7(alk.paper)1.Credit—Management.2.Riskmanagement.I.Singleton,KennethJ.II.Title.III.Series.HG3751.D842003332.7'42—dc212002030256BritishLibraryCataloging-in-PublicationDataisavailableThisbookhasbeencomposedinNew
7、BaskervillebyPrincetonEditorialAssociates,Inc.,Scottsdale,ArizonaPrintedonacid-freepaperwww.pupress.princeton.eduPrintedintheUnitedStatesofAmerica10987654321ToAnnaJDDToFumikoKJSContentsPrefacexiAcknowledgmentsxiii1Introduction11.1.ABr
