Customer Reviews

Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)

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

 

 

It seems the authors attempted a compromise between theoretical and practical aspects - and failed at both. From a theoretical point of view, this book is missing the rigorous exposition these authors have been known for in their previous work. From a practical point of view, this book will be of no help to someone trying to implement any credit risk models. The numerous figures - probably added by the authors in a attempt to banish their reputation for texts that are extremely hard to read - do not help in this respect. Detailed descriptions or real examples that could be used for practical purposes are completely absent. There are better choices of credit risk books for both the theoretically and practically inclined.

Duffie and Singleton are the masters of the reduced-form credit risk modeling approach. Although well-written, their book does not add anything new. It's just another review of the state of the art in credit risk. One can get the original papers and learn much more without having to read a short summary on each work. You will not be able to learn how to model a credit risky instrument by reading this book.I would have liked to see fewer references and more worked-out examples with derivations and detailed numerical applications.

This book is obviously a quick shot. It's bits and pieces taken from various articles: not one topic is covered right. If the authors had at least selected the most relevant results and formulas from the respective articles, but no, they chose to spray the text with the occasional formula, often irrelevant and seemingly arbitrarily selected, while formulas representing important results are completely missing. The authors might be famous - this book is not going to be.

The book covers all the relevant topics and provides a slightly different presentation of their own models. However, the book glosses over the mathematics and is written in a very stiff style. The authors have never been known as good writers but in this case they are not presenting anything new. Rather disappointing from two rather strong academics.

Although well-written, their book does not add anything new. It's just another review of the state of the art in credit risk. One can get the original papers and learn much more without having to read a short summary on each work. You will not be able to learn how to model a credit risky instrument by reading this book.I would have liked to see fewer references and more worked-out examples with derivations and detailed numerical applications.

"Credit Risk" by Duffie/Singleton, two of the most distinguished scholars in the field, appears trying to be lots of things at the same time: (graduate) textbook, bridge between academia and finance practice, and more digestable review of their own work. Although it does not live up entirely to these promises, it is still a decent buy for its partially successful attempt at doing so.

People familiar with journal articles by Duffie and/or Singleton will presumably agree that their research has contributed a lot to recent progress in the understanding and pricing of credit risk. However, much of this work requires a good amount of effort to process due to the sometimes confusing verbal bits in between the usually rigorous formal approach. This book clearly does a better job at this. It is not a comprehensive review nor textbook of the field, but it does provide a good overview of those avenues that the authors are particularly interested in. Therefore, particularly for graduate students and researchers working on similar topics, I would highly recommend having a look at it.

However, how "Credit Risk" could be of any value to "risk managers, traders, or regulators", as indicated in the introduction, remains a mistery to me. If you are working in risk management, you should not need an somewhat advanced but still introductory text into the topic. If you do nevertheless, you are a) in the wrong job or b) probably won't grasp too much of this anyway (it does require advanced training in formal economic and econometric modeling to understand most of the chapters).

Final point: 80 USD is (as usually with Princeton Press) way too much. You are mostly selling to young researchers, spending a week's rent on a single book seems a little excessive, doesn't it?

All in all 4 stars if you have an academic interest in the topic (and if you can get your hands on it second hand or something).