Kenneth J. Singleton
C.O.G. Miller Distinguished Professor of Finance and Co-director (with Darrell Duffie) of the Credit Risk Modeling for Financial Institutions Executive Program.
Stanford University -- Department of Finance
C.O.G. Miller Professor of Finance
Graduate School of Business
518 Memorial Way
Stanford, CA. 94305-5015
USA
- University of Wisconsin, Ph. D. (1977)
- Received the Smith-Breeden Prize in 1997.
- Research interests are in econometric methods for estimation and testing of dynamic asset pricing models; modeling of term structures of government and defaultable bond yields; measuring and managing market, credit and liquidity risks; and debt financing in emerging economies
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| Phone | +1 (650) 723-5753 |
| Fax | +1 (650) 725-6150 |
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| Official Home Page | Stanford GBS: Research: Faculty: Singleton, Kenneth | Research interests, research papers, selected publications list, memberships, courses |
| "Personal" Home Page | Kenneth J. Singleton's Personal Home Page | Biography, CV, Positions, Editorships, Awards, Papers (published references and downloadable working papers), Teaching, Links |
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Publications: that are posted on DefaultRisk.com
Credit Pricing
Fixed Income Pricing
by Qiang Dai of New York University, and
Kenneth Singleton of Stanford University
(455K PDF) -- 49 pages -- July 1, 2002
Term Structure Dynamics in Theory and Reality
by Qiang Dai of New York University, and
Kenneth Singleton of Stanford University
(519K PDF) -- 46 pages -- April 2, 2002
Modeling Term Structures of Defaultable Bonds
by Darrell Duffie of Stanford University, and
Kenneth J. Singleton of Stanford University & NBER
(485K PDF) -- 46 pages -- February 4, 1999
Duffie, Darrell and Kenneth J. Singleton, "An Econometric Model of the Term Structure of Interest-Rate Swap Yields", Journal of Finance, Vol. 52, No. 4, (September 1997), pp. 1287-1321. [Abstract]
Credit Correlation
Simulating Correlated Defaults
by Darrell Duffie of Stanford University, and
Kenneth Singleton of Stanford University
(390K PDF) -- 47 pages -- May 21, 1999
Sovereign Risk
How Sovereign is Sovereign Credit Risk?
by Francis A. Longstaff of UCLA & NBER,
Jun Pan of MIT & NBER,
Lasse H. Pedersen of NYU & CEPR & NBER, and
Kenneth J. Singleton of Stanford University & NBER
(335K PDF) -- 49 pages -- April 2008
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
by Jun Pan of the Massachusetts Institute of Technology, and
Kenneth J. Singleton of Stanford University
(565K PDF) -- 37 pages -- November 28, 2006
Duffie, Darrel, Lasse Hefe Pedersen, and Kenneth J. Singleton, "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt", Journal of Finance, Vol. 58, No. 1, (February 2003), pp. 119-159. [Abstract]
Related Topics
Duffie, Darrell, Jun Pan, and Kenneth Singleton, "Transform Analysis And Asset Pricing For Affine Jump-Diffusions", Econometrica, Vol. 68, No. 6, (November 2000), pp. 1343-1376. [Abstract]
Books:
 | Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
by Kenneth J. Singleton,
Princeton University Press, (March 6, 2006), Hardcover, 536 pages |
 | Credit Risk: Pricing, Management, and Measurement (Princeton Series in Finance)
by Darrell Duffie and Kenneth J. Singleton,
Princeton University Press, (February 2003), Hardcover, 464 pages |
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