Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk (Wiley Series in Financial Engineering)

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Product Description

Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.
The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.

Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk (Wiley Series in Financial Engineering) Review

The book does a good job in presenting some credit risk models, although it is far from being exhaustive. However, if you are looking for technical details, you best bets are still the original published papers, given the numerous typos. My suggestion: wait for the revised edition!

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