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Based on the author's Clarendon Lectures in Finance, this book develops and implements statistical methods for modelling corporate credit risk.

Post-crisis capital regulations and new failure-resolution rules increase the funding costs that are borne by bank shareholders, and thus the cost to buy-side firms for access to space on the balance sheets of large banks. A policy implication is the encouragement of market infrastructure and trading methods that reduce the amount of space on bank balance sheets that is needed to conduct a given amount of trade. Using models and evidence, this...

This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work.This w...

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Excerpt from Multiperiod Securities Markets, With Differential Information: Martingales and Resolution TimesWe model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expec tations. We introduce a concept called resolution time and show that a better informed agent and a worse informed agent must agree on the resolution times of commonly ...

Based on the author's Clarendon Lectures in Finance, this book develops and implements statistical methods for modelling corporate credit risk.

In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement.

This is an introduction to the theory of security markets, dealing principally with the allocational role and valuation of financial securities in a competitive setting.

Excerpt from Multiperiod Securities Markets, With Differential Information: Martingales and Resolution Times We model multiperiod securities markets with differential information. A price system that admits no free lunches is related to martingales when agents have rational expectations. We introduce a concept called resolution time and show that a better informed agent and a worse informed agent must agree on the resolution times of commonly...

This is a thoroughly updated edition of "Dynamic Asset Pricing Theory, " the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. Each chapter provides extensive problem exercises and notes to the literature.