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Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) Hardcover – January 26, 2003
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"This is certainly the best book on credit risk available on the market for academics and practitioners. I recommend the book to academics and professionals, and also for the teaching of credit risk at Masters and PhD levels."--Georges Dionne, Journal of Risk and Insurance
From the Inside Flap
"A clear and comprehensive treatment of credit risk models by two of the leading authorities in the field. It will become the standard reference for both academic researchers and practitioners."--Michael J. Brennan, The Anderson School at UCLA
"Duffie and Singleton provide the first comprehensive, yet readable, treatment of the challenging subject of credit risk. This book will undoubtedly become the ultimate reference for both academics and risk professionals who care to venture beyond the traditional alleys."--Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce
"Duffie and Singleton have written an indispensable guide both to the models and to their implementation. The mathematical workings of the models are conveyed with superb clarity and intuition. Just as importantly, the presentation is well grounded in the economic and institutional features of credit markets. We thereby gain insight into the empirical plausibility of modeling assumptions and guidance on robust model calibration."--Michael Gordy
"Darrell Duffie and Kenneth Singleton have set the standard on credit modeling. Not only is the book appealing to an academic but it also speaks to practitioners. It has the double virtue of being elegant and practical. Further, many if not most of the results are original to the authors."--Larry Eisenberg, President, The Risk Engineering Company
"I like this book very much and shall use it profitably both for my own research and teaching. Duffie and Singleton develop the intellectual basis for understanding, modeling, and measuring credit risk and then develop the issue of risk management. This approach is both intuitive and natural. I can think of no scholars better qualified than they to embark on this ambitious task."--Suresh M. Sundaresan, Graduate School of Business, Columbia University
"Overall, the book succeeds in motivating the reader to consider the alternative approaches to modeling credit risk. . . . Although the book is technically rigorous, the presentation is straightforward so even a casual reader will learn from the authors' insights. Moreover, the seasoned analyst will benefit from the concise summary of many existing techniques."--Amnon Levy,Risk
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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).