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Product Description
Product Description
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real–world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue.
Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
From the Inside Flap
In this book, Philipp Schönbucher covers all the important modelling approaches from hedge–based pricing to stochastic–intensity models, credit rating models and firm′s value based models, concluding with a large chapter on portfolio credit risk models. The author builds the models starting from simple basic models, introducing complexity only where it is needed, and explaining implementation, data collection and calibration on the way. The advantages and disadvantages of the different pricing approaches are clearly confronted, and the effects of hidden assumptions on the output of the models are identified.
The book is an indispensable tool for credit derivatives traders, quantitative analysts, software developers, risk managers, regulators, auditors, and anybody interested in how credit derivatives are priced.
Inside This Book
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First Sentence
The market for credit derivatives is young, and the traded risks vary a lot in size, quality and structure. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
The market for credit derivatives is young, and the traded risks vary a lot in size, quality and structure. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
2 of 4 people found the following review helpful
Format:Hardcover
This may be the definitive work on credit derivatives modelling. The comprehensive treatment covers all the bases.
Some aspects of credit derivitives risk do not lend themselves well to modelling, and clear understanding of the products is important for traders and risk managers. For clear product explanations with an explanation of the limitations of the models, I highly recommend Tavakoli's "Credit Derivatives & Synthetic Structures."
3 of 8 people found the following review helpful
Format:Hardcover
This book is set to become the reference in Credit Derivatives pricing. Beyond his technical ability and familiarity with the math, it is the author's clarity and his ability step back and look at the broader picture that distinguishes him, and makes this book a tour de force.
That should put this book in the same class as "the" Hull.
1 of 12 people found the following review helpful
Format:Hardcover
I've just receive this awaited book on Credit Derivatives, I red the first two chapters, and went through quickly on the rest of the book, and there's just one word which comes to my mind : MASSIVE ! It's the book I waited for on credit derivatives modelling, and it's about to become almost surely THE reference on that field. Everything is in this book, theory, examples, implementation issues and I have to congratulate the author for this amazing piece of work !
Chapeau bas Mister Schonbucher !!!
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