Credit Derivatives

sam · July 13th, 2002, 8:31 am

Does anyone know of a good quantitative book that introduces credit derivatives?? Out of interest, what methods are used for their valuation? Are they generally martingale based or PDE based or do they use some other method?thankssam

Balmung · July 13th, 2002, 1:07 pm

Phillip Schönbucher "The Pricing of Credit Risk and Credit Derivatives"downloadable at www.finasto.uni-bonn.de/schonbucher/.Another great source is www.defaultrisk.com.Regards

Mabadu · July 14th, 2002, 11:31 am

Sam try here Credit Risk modelling There are several threads in this forum

potatochip · July 18th, 2002, 12:21 pm

Try http://www.stanford.edu/~duffie/

sam · July 18th, 2002, 2:04 pm

Thanks everyone for the pointers!Sam

WilmottBookshop · August 2nd, 2002, 11:58 am

If you want to see a list try:list of books on credit derivativesPhilip

Vincent · August 7th, 2002, 9:42 am

Could anyone tell me which book is the best? Please not list a lot of books, nobody can read through all the books!

monlavingia · September 16th, 2004, 2:43 pm

check out www.defaultrisk.comdefnitive website for credit derivs

IronGater · September 20th, 2004, 4:15 pm

for reduced form approach, consider Credit Risk by Duffied & Singleton; for structural modeling approach, get Credit Risk Modeling by Bluhm/Overbeck/Wagner. The aforementioned Schonbucher's Credit Derivatives Pricing Models is good to learn the mathematics of credit risk and derivatives modeling. I would also try to borrow from any library (this book is expensive) Credit by Arvanitis and Gregory for its more practitioner point of view.

spursfan · September 21st, 2004, 6:54 am

i think david lando's new book, credit risk modelling, is an excellent read with broad coverage

WilmottBookshop · September 22nd, 2004, 6:25 am

Links to these books are:Lando, Credit Risk ModelingSchonbucher, Credit Derivatives Pricing ModelsArvanitis, CreditBluhm, An Introduction to Credit Risk ModelingDuffie, Credit RiskSuzanne