Customer Reviews

Credit Derivatives: Application, Pricing, and Risk Management

5 star:		(4)
4 star:		(0)
3 star:		(0)
2 star:		(0)
1 star:		(1)

 

 

The book is an easy read on credit risk and credit derivatives. It is more informative than the Tavakoli or Nelken book and less theoretical than Schoenbucher or Duffie/Singleton. The many examples and problems, and the pricing models provided on the Internet make this book an excellent choice for an MBA program.

Nice piece of work. Very informative. Highlight is chapter 4 with tons (almost too much) of practical credit derivatives applications. The pricing chapter 5 starts well with explaining structural and reduced form models in a straightforward, simple way, but the first time passage models could have used more discussion. Risk management chapter 6, which also covers the impact of credit derivatives on OP risk, should be helpful for practitioners. The free pricing models on the Internet, especially the trinomial Hull-White and LMM model, are valuable from an educational and practical point of view.

This book explains the difficult field of credit derivatives
with ease and grace. Haven't found a so easy read.
Liked mostly the applicaton chapter 4. The pricing chapter 5 is also easy to follow. The Merton extensions could have used more meat (too much math).

As a beginner for credit derivatives, I like this book so much! It gives a very clear introduction for credit derivatives.

this book does not teach you anything beyond the very basics, and advertised web-based modelling support was something anyone can create in few minutes.
I was fooled by positive ratings as so often is the problem in Amazon. This book only to enhance author's nice lifestyle in Honolulu.