Credit Risk for Beginners...

Sid101 · January 7th, 2005, 12:39 pm

Can anyone recommend a credit risk book for someone new to the area? Specifically, managing credit risk.Sid

chentail · January 7th, 2005, 12:46 pm

I don't know a specific book, but you might try defaultrisk.com/top10.htm, click on most viewed books. It provide you some informatioin.

cheater · January 9th, 2005, 9:29 am

I would recommend to start with Credit Risk by Dufffie & Singleton (generals), Introduction to Credit Risk Modelling by Bluhum, Overbeck, Wagner (math basics) and papers from defaultrisk.com as mentioned. For holiday readngs try Tavakolis books on credit derivatives.My two cents.

WilmottBookshop · January 10th, 2005, 8:03 am

- An Introduction to Credit Risk Modeling by Christian Bluhm, Ludger Overbeck and Christoph Wagner- Collateralized Debt Obligations and Structured Finance by Janet Tavakoli- Credit Derivatives and Synthetic Structures by Janet Tavakoli- Credit Risk by Darrell Duffie and Kenneth J. Singleton

unkpath · January 11th, 2005, 1:58 am

why don't you try the paper by N. Vaillant on Credit Risk at www.probability.net/credit.pdf ?

Sid101 · January 13th, 2005, 10:26 am

Thank you for all your help

monlavingia · January 19th, 2005, 12:15 am

The tavakolis books are pretty boring though (although I have only read the credit derivatives one properly and have dipped into the CDO one)