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cprasad
Topic Author
Posts: 6
Joined: September 9th, 2016, 3:47 am

Credit Derivatives

September 10th, 2016, 3:10 pm

I am looking for a book that would complement to O'Kane. O'Kane only has
modeling related details. I am looking for some good text which would complement this book by
giving the mechanics, structure and analytics of various credit derivatives.
I have also looked through Lando and Duffie & Singleton but didn't find them helpful.
I looked up Schonbucher as well as Tavakoli but didn't find them
very helpful. Basically, I am looking for an advanced level of Bomfim's book.

I would greatly appreciate it if someone could suggest me some good reading in this area.
 
User avatar
list1
Posts: 827
Joined: July 22nd, 2015, 2:12 pm

Re: Credit Derivatives

September 11th, 2016, 1:37 am

O'Kane stile of interpreting credit risk was a little bit different than others. I do not think that you will find a book that looks compliment to his papers. Subjectively his papers seemed be one of the best for credit risk constructions.