Product Description

This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Product Details

• Amazon Sales Rank: #1241717 in Books
• Published on: 2002-09-18
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 500 pages

Book Info
An advanced introduction to methods and models of credit risk valuation. Focuses on firm-value and reduced-form approaches, with emphasis on options and forward contracts subject to counterparty default risk. Also covers options on credit derivatives and credit-risky bonds. Originally volume 470 in the series Lecture Notes in Economics and Mathematical Systems.

Customer Reviews

A revised version is needed
The book looks neat at first sight and I like its style and organization, suitable for an elementary course in credit risk. But there are so many mistakes in the book, say, pages 28, 49, etc... Those mistakes can be easily avoided by a more careful reading through. In addition, there are few real life examples in the book.

A 3rd edition is definitely needed.

Best book on credit risk valuation
This is probably still the best book on the valuation of credit risk. It is concise, rigorous, yet with many examples and a good treatment of implementation issues.

Very valuable resource
This book discusses credit risk valuation in detail and quantitatively. The book is very strong on counterparty credit risk of derivatives. That is really the focus, though it also has stuff on general credit risk and credit derivatives (I wish it had more on credit derivatives). It also offers a chapter on general option pricing and risk-neutral valuation principles (brief but very good). What I also liked was the appendix with a short description of the more important and more advanced mathematical concepts used in the book. Although (or perhaps because) not an easy read but rather terse and demanding, I found it to be an extremely valuable resource. It really helped me understand the subject matter and gave me a good idea of how to model such risks.