Credit derivatives pricing models : models, pricing, and implementation / Philipp J. Schönbucher

Author : Schönbucher, Philipp J
Rating :
Credit derivatives pricing models : models, pricin...

This is the most comprehensive, and also the clearest, book on the details of constructing credit risk models that I have read. Throughout, it is directly useful for general value-at-risk credit modelling as well as its stated focus of credit derivatives. Readability is greatly enhanced by its step-by-step organization across what has grown to be a large topic area and the focus of its single author, as opposed to a collection of disjointed papers. Alternative modelling frameworks are written in a common notation and the reader is given all the details needed for direct implementation. The author, Philipp Schönbucher, is clearly one of the top researchers in this area, even before the writing of this book." –Greg M Gupton,

Publisher : Chichester
Publish Year :
Page : xxi, 375 p
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