Product Description

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk.

David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Product Details

• Amazon Sales Rank: #478780 in Books
• Published on: 2004-06-01
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 320 pages

Review
Credit Risk Modeling provides the broadest coverage of topics I have seen in a book on credit risk. Lando successfully guides the reader through the maze of a very active field of research by clearly identifying the leading problems and the attempts that have been made to solve these problems. At the same time, never does he neglect the statistical estimation of the models he presents. This is a very valuable book to any practitioner, student, or researcher in credit risk, written by one of the leading experts in the field.
(Philipp Schonbucher, Swiss Federal Institute of Technology Zurich (ETH), author of "Credit Derivatives Pricing Models" )

From the Inside Flap
"Credit Risk Modeling provides the broadest coverage of topics I have seen in a book on credit risk. Lando successfully guides the reader through the maze of a very active field of research by clearly identifying the leading problems and the attempts that have been made to solve these problems. At the same time, never does he neglect the statistical estimation of the models he presents. This is a very valuable book to any practitioner, student, or researcher in credit risk, written by one of the leading experts in the field."--Philipp Schönbucher, Swiss Federal Institute of Technology Zurich (ETH), author of Credit Derivatives Pricing Models

"This very well written book represents a superb presentation of both credit risk theory and its empirical evidence. It is a complete introduction to the topic, enabling the reader to access and understand current research."--Robert Jarrow, Cornell University

"This is an excellent book for researchers, financial engineers, and advanced practitioners in the field of credit risk. It is a remarkable contribution to our field."--Didier Cossin, Ecole des Hautes Etudes Commerciales, University of Lausanne

About the Author
David Lando is Professor of Finance at the Copenhagen Business School. He is an associate editor of three finance journals and a member of Moody's Academic Advisory and Research Committee.

Customer Reviews

A casual collection of models without sound understanding
The author briefly touched many models without quite understanding them himself (or checking their validity). Most of the text were collected (and rewritten) from reading the abstract or conclusion of the original papers. There is not enough insight or new info. It is absolutely not a book for someone who wants to learn because it is like a undergraduate's study report. If a book reviews many models, it should provide some insights, pros and cons of them, and at least some framework for other researchers to follow. It loses value if it merely rephrases some obvious and straghtforward assumptions of the original models.

I admire the author and the editor (Duffie) as researchers. However, the author is not ready yet to write a book of this kind and the editor has been a super star in finance, hence should not lower himself to this level for the sake of publication. This book does not provide useful info at all. Not good for a researcher or a practitioner (at all). Why not read the original papers' abstracts? That would be more informative.

Not bad at all...
Contrary to other people, I have found the book very interesting and readable...The author is also referring to practical issues such as asset volatility estimation and CDO pricing..I think this book is more comparable to Bielecki-Rutkowsky kind of book, than to Schonbucher. It gives a good foundation of the theory, even if sometime I would have preferred to have more proofs of theorems.
Compact, readable and fairly complete.

A book for those who think Robert Jarrow is a lightweight!
Robert Jarrow praises this book! I think that tells you the level of this text. It's Ivy League Ph.D.-school material with inadequate background provided. I guess if you are already a director of research in an investment bank, this book provides a lucid and compact survey of the current state-of-the-art techniques of credit risk modeling. In short, this is a book written for people who already are comfortable with the subject at a very high level.

If you are a regular Schmoe like myself (someone comfortable at the Hull or Cuthbertson and Nitzche level) much of this book may zoom over your head. But if you regulary snicker at folks like me as derivatives dilatants and poseurs, I'd say check it out.

The book may be great. But for me it was a waste of money.

Did I mention that Robert Jarrow likes it?