Buy New
$23.67
  • List Price: $125.95
  • Save: $102.28 (81%)
FREE Shipping on orders over $35.
Only 2 left in stock (more on the way).
Ships from and sold by Amazon.com.
Gift-wrap available.
Have one to sell? Sell on Amazon
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more
See this image

Credit Risk: Models, Derivatives, and Management (Chapman and Hall/CRC Financial Mathematics Series) Hardcover – May 28, 2008

ISBN-13: 978-1584889946 ISBN-10: 1584889942

Buy New
Price: $23.67
14 New from $23.67 11 Used from $25.19
Rent from Amazon Price New from Used from
eTextbook
"Please retry"
$41.98
Hardcover
"Please retry"
$23.67
$23.67 $25.19
Free Two-Day Shipping for College Students with Amazon Student Free%20Two-Day%20Shipping%20for%20College%20Students%20with%20Amazon%20Student


Best Books of the Year
See the Best Books of 2014
Looking for something great to read? Browse our editors' picks for 2014's Best Books of the Year in fiction, nonfiction, mysteries, children's books, and much more.
NO_CONTENT_IN_FEATURE
Best Books of the Year
Best Books of 2014
Looking for something great to read? Browse our editors' picks for 2014's Best Books of the Year in fiction, nonfiction, mysteries, children's books, and much more.

Product Details

  • Series: Chapman and Hall/CRC Financial Mathematics Series
  • Hardcover: 600 pages
  • Publisher: Chapman and Hall/CRC (May 28, 2008)
  • Language: English
  • ISBN-10: 1584889942
  • ISBN-13: 978-1584889946
  • Product Dimensions: 1.5 x 7.2 x 10.2 inches
  • Shipping Weight: 2.6 pounds (View shipping rates and policies)
  • Average Customer Review: 4.0 out of 5 stars  See all reviews (4 customer reviews)
  • Amazon Best Sellers Rank: #3,348,395 in Books (See Top 100 in Books)

Customer Reviews

4.0 out of 5 stars
5 star
3
4 star
0
3 star
0
2 star
0
1 star
1
See all 4 customer reviews
Share your thoughts with other customers

Most Helpful Customer Reviews

Format: Hardcover
This book is an edited volume, which offers a rich collection on articles on credit risk. As a user I do and did not expect that each of the contributed articles would be of perfect use to me. However, having the book sent to me and after screening the volume with its 26 contributed chapters, I was very positively surprised.

As a quant you will find many of the approaches very useful in the development of new model approaches and will be happy to rely on them and the given literature therein as helpful starting points. For example, we did some modelling in credit spreads and credit risk dependence and found the book very helpful in our own developments. Also, I did not see many critical results on the performance of CDS pricing models, while I found very interesting results in the book. The same applies to analyses of changes in default probabilities. Of course, we by now all know that CDO pricing has its obvious difficulties, but the book contains a series of excellent articles on the issue which can help us to understand why it is in fact a serious problem. In all, this is an excellent book for people who know where to go without following the crowd, but not a good one for people who look for a quick guide to standard industry solutions.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
Format: Hardcover
This book is an excellent volume, which offers a rich collection on articles on credit risk. The methodology behind credit risk management is very sophisticated. Consequently, I really learned a lot about credit models and current issues like e.g. CDO and CDS pricing. All in all, I can absolutely recommend this book for all people who look for a good book on credit risk.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
0 of 1 people found the following review helpful By Paul Thurston on September 4, 2009
Format: Hardcover Verified Purchase
This text is a compilation of independent articles compiled and edited by Niklas Wagner. It is common to find repeated material, misprints and other errors in this type of monograph; all of these issues arise in the work by Wagner.

More problematic to this reviewer is that it really isn't clear precisely to whom the text is targeted.

In Part I of the text, the first chapter is a rather elementary overview of the credit default swap contract, an explanation of the reference credit and reference asset, a listing of qualifying credit events, and a detailed explanation of the credit spread. Simplistic replication strategies for estimating the credit spread from the observable prices of traded securities are discussed. Clearly, this first chapter is aimed at the novice interested in learning the mechanics of credit derivatives.

However, in Chapter 2, we find a discussion of counterparty risk. The authors of that article consider this from the point-of-view of the Hull-White credit model, and the celebrated Merton Model. The extension of these models to incorporate default correlation is carefully considered, and the article assumes the reader is familiar with the standard credit models given a riskless counterparty. The extended models explored in this chapter are far too simplistic to offer any new insight to the expert, while being just complicated enough to make for tough (and possibly confusing) going for the novice.

At least the first two chapters seems to oriented to the quantitative analyst interested in credit derivatives. In Chapter 3, the text takes another twist and discusses portfolio risk management, along with discussions on CAPM and portfolio optimization.
Read more ›
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
0 of 2 people found the following review helpful By G. Gregoriou on August 5, 2008
Format: Hardcover
"The present credit crisis shows that credit risk modeling is a complex as well as serious task. Good to know that several excellent surveys of the topic exist including this one. A must for academics and money managers as well many excellent new articles in the area of credit risk"
Greg N. Gregoriou, PhD
Professor of Finance
State University of New York (Plattsburgh)
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again