Darrell Duffie has been writing about financial markets since 1984. He is a Fellow of the American Academy of Arts and Sciences, a Fellow and member of the Council of the Econometric Society, and a Research Associate of the National Bureau of Economic Research. He is a member of the Financial Advisory Roundtable of the New York Federal Reserve Bank, and a member of the board of directors of Moody's Corporation. Prof. Duffie was the President of the American Finance Association until January, 2010. In 2003, he was awarded the SunGard/IAFE Financial Engineer of the Year Award from the International Association of Financial Engineers.

Darrell Duffie has been a leader in the field of credit risk, both its theory and empirical implementation, for over a decade. This book is a brilliant presentation of the methods, many originated by Darrell himself, for estimating corporate default risk. It is a necessary reference for beginners and professionals alike. Anyone interested in measuring default risk should have this book on their bookshelf.

• 1. Objectives and Scope ; 2. Survival Modeling ; 3. How to Estimate Default Intensity Processes ; 4. The Default Intensities of Public Corporations ; 5. Default Correlation ; 6. Frailty-Induced Correlation ; 7. Empirical Evidence of Frailty ; A. Time-Series Parameter Estimates ; B. Residual Gaussian Copula Correlation ; C. Additional Tests for Mis-Specified Intensities ; D. Applying the Gibbs Sampler with Frailty ; E. Testing for Frailty ; F. Unobserved Heterogeneity ; G. Non-Linearity Check ; H. Bayesian Frailty Dynamics ; I. Risk-Neutral Default Probabilities

Darrell Duffie has been writing about financial markets since 1984. He is a Fellow of the American Academy of Arts and Sciences, a Fellow and member of the Council of the Econometric Society, and a Research Associate of the National Bureau of Economic Research. He is a member of the Financial Advisory Roundtable of the New York Federal Reserve Bank, and a member of the board of directors of Moody's Corporation. Prof. Duffie was the President of the American Finance Association until January, 2010. In 2003, he was awarded the SunGard/IAFE Financial Engineer of the Year Award from the International Association of Financial Engineers.

Darrell Duffie has been a leader in the field of credit risk, both its theory and empirical implementation, for over a decade. This book is a brilliant presentation of the methods, many originated by Darrell himself, for estimating corporate default risk. It is a necessary reference for beginners and professionals alike. Anyone interested in measuring default risk should have this book on their bookshelf.

• 1. Objectives and Scope ; 2. Survival Modeling ; 3. How to Estimate Default Intensity Processes ; 4. The Default Intensities of Public Corporations ; 5. Default Correlation ; 6. Frailty-Induced Correlation ; 7. Empirical Evidence of Frailty ; A. Time-Series Parameter Estimates ; B. Residual Gaussian Copula Correlation ; C. Additional Tests for Mis-Specified Intensities ; D. Applying the Gibbs Sampler with Frailty ; E. Testing for Frailty ; F. Unobserved Heterogeneity ; G. Non-Linearity Check ; H. Bayesian Frailty Dynamics ; I. Risk-Neutral Default Probabilities