Product Description

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades.

Product Details

• Amazon Sales Rank: #742344 in Books
• Published on: 2004-03-05
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 540 pages

Review
From the reviews: T.R. Bielecki and M. Rutkowski Credit Risk Modeling, Valuation and Hedging "A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come." —MATHEMATICAL REVIEWS "The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... ." (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)

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Customer Reviews

Could have been much better
In summary, this book is a disappointment. It presents a lot of material in an inaccessible way and doesn't provide solid explanations/proofs for a lot of material. It is also largley mathematical as opposed to the far superior 'Martingale methods in finance' by the same author, which takes the time to talk about applications to finance. As a credit derivatives quantitative analyst I was already familiar with the material in the text and that is the only reason why I understood it. It attempts to bridge the gap between theory and practice but in my opnion achieves neither.

Another math book
This is another typical book written by mathematician, and for mathematician. What can one learn from this book? Basically not much. If you don't really know much about credit risk, you still won't know after much after you read the book. If you are a quant, this book definitely won't help you much.

Who might need this book? If you are a mathemtician with research interest in probablity, AND you like the book "Martingale Methods in Financial Markets" by Musiela and Rotkowski, you might want to buy this book.

Dissapointed
Having studied stochastic calculus and stochastic finance from undergraduate (stats and actuarial science), master (banking and finance) and now phd (finance) i have never came accross such a horrible treatment of the subject. In general in quant fin there are three kinds of books

1)General audience like Hull
2)Specialized with mathematical rigor, which do not waste time on technicalities like spending hours trying to tell you how to augment the sigma algebra to define the stochastic integral.
3)Books that are written by mathematicians for mathematicians for the sake of mathematics as nice mental exercises. This is where this book fits it, also this is where the book Martingale methods fits in, also this is where the books by Karatzas-Shreve fit in. These are books for you only if you want to do a phd in mathematics of finance and you find either the mathematics more important (since a lot of impractical stuff shows up under the guise of mathematics) or if you want to work to the forefront of current mathematical finance research. If you do a phd in plain finance then this book is not for you, if you are a practitioner neither, if you are general audience forget it. You will not learn anything for instruments, such as practical implementation. One further opinion of mine is that this overmathematicization of finance is more or less useless, it really distructs the real usefull stuff. To give an example i have seen derivation of CAPM using Hilbert spaces, insteas of the classic utility optimization scheme. Useless!