- Hardcover: 396 pages
- Publisher: Wiley; 1 edition (June 13, 2003)
- Language: English
- ISBN-10: 0470842911
- ISBN-13: 978-0470842911
- Product Dimensions: 7 x 1.1 x 10 inches
- Shipping Weight: 2 pounds (View shipping rates and policies)
- Average Customer Review: 6 customer reviews
- Amazon Best Sellers Rank: #1,289,463 in Books (See Top 100 in Books)
Enter your mobile number or email address below and we'll send you a link to download the free Kindle App. Then you can start reading Kindle books on your smartphone, tablet, or computer - no Kindle device required.
To get the free app, enter your mobile phone number.
Other Sellers on Amazon
Credit Derivatives Pricing Models: Models, Pricing and Implementation Hardcover – June 13, 2003
The Amazon Book Review
Author interviews, book reviews, editors picks, and more. Read it now
Customers who bought this item also bought
Customers who viewed this item also viewed
From the Inside Flap
In this book, Philipp Schönbucher covers all the importantmodelling approaches from hedge-based pricing tostochastic-intensity models, credit rating models and firm's valuebased models, concluding with a large chapter on portfolio creditrisk models. The author builds the models starting from simplebasic models, introducing complexity only where it is needed, andexplaining implementation, data collection and calibration on theway. The advantages and disadvantages of the different pricingapproaches are clearly confronted, and the effects of hiddenassumptions on the output of the models are identified.
The book is an indispensable tool for credit derivativestraders, quantitative analysts, software developers, risk managers,regulators, auditors, and anybody interested in how creditderivatives are priced.
From the Back Cover
Since its inception, the market for credit derivatives has shownimpressive growth and is expected to hit a volume of more than $4.8trillion by 2004. Credit derivatives have begun to transform modernbanking; they have become a standard instrument for the managementof default risk; they are being used for risk management andhedging as well as for speculation, balance-sheet management andregulatory capital purposes.
Despite their great usefulness, even established professionalsoften feel insecure when it comes to the quantitative analysis ofthe prices and risks of credit derivatives. Confronted with abewildering variety of fundamentally different pricing approaches,it can be very challenging to understand their relative advantagesand disadvantages and to choose the "correct" one for the problemat hand.
In this book, the author carefully explains the differentpricing models for credit derivatives in a veryapplication-oriented way. Based on his wide experience inprofessional training for credit derivatives analysis, the modelsare developed with a view to their application to real pricingproblems rather than just presenting the theory.
Philipp Schönbucher is one of the most talented researchersof his generation. He has taken the Credit Derivatives world bystorm. In this book he carefully explains the concepts and themathematics behind all of the most important and popular creditrisk models. Professor Schönbucher has filled an important gapon the quantitative finance bookshelf. –Paul Wilmott
The reader is presented with a clear, concise and readabletreatment of credit pricing models that will appeal topractitioners and academics. It provides a useful roadmap to themany daily challenges that face practitioners. It will become astandard reference.
–Stuart M. Turnbull, Senior Vice President, Fixed IncomeResearch, Lehman Brothers, NY
"This is the most comprehensive, and also the clearest, book onthe details of constructing credit risk models that I have read.Throughout, it is directly useful for general value-at-risk creditmodelling as well as its stated focus of credit derivatives.Readability is greatly enhanced by its step-by-step organizationacross what has grown to be a large topic area and the focus of itssingle author, as opposed to a collection of disjointed papers.Alternative modelling frameworks are written in a common notationand the reader is given all the details needed for directimplementation. The author, Philipp Schönbucher, is clearlyone of the top researchers in this area, even before the writing ofthis book." –Greg M Gupton, DefaultRisk.com
"Philipp addresses a wide range of modelling issues in the fastgrowing market of credit derivatives. He covers a broad spectrum oftopics starting with the simple everyday trading tools whilegradually building up to the more complex mathematical models. Itsuccessfully bridges the gap between academia and practice in anelegant and easy style, making it a valuable book for a wideaudience" –Ebbe Rogge, Product Development Group,Financial Markets, ABN AMRO
Top customer reviews
There was a problem filtering reviews right now. Please try again later.
Note, the text does not make any detailed mention of products actually trading on the street. On the other hand, one only needs to understand concepts for classes of similar products.
My real criticism is that the coverage of correlation and correlation products is lacking. Credit markets and correlation products in particular, have evolved quite a bit since this book was published A second volume or additional chapters on these topics are needed.
Would definitely not recommend it.
Grab any papers wrote by the market-practitioners, you will find they are much easier for you to understand the concepts of various credit derivatives models than the book could.
BTW, I wrote a negative review in amazon.co.uk, but was deleted twice.