Item description for Credit Risk by Tomasz R. Bielecki...
The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades.
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Est. Packaging Dimensions: Length: 9.45" Width: 6.22" Height: 1.26" Weight: 1.94 lbs.
Release Date Mar 5, 2004
ISBN 3540675930 ISBN13 9783540675938
Availability 123 units. Availability accurate as of Mar 24, 2017 10:11.
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Reviews - What do customers think about Credit Risk?
Could have been much better Sep 3, 2002
In summary, this book is a disappointment. It presents a lot of material in an inaccessible way and doesn't provide solid explanations/proofs for a lot of material. It is also largley mathematical as opposed to the far superior 'Martingale methods in finance' by the same author, which takes the time to talk about applications to finance. As a credit derivatives quantitative analyst I was already familiar with the material in the text and that is the only reason why I understood it. It attempts to bridge the gap between theory and practice but in my opnion achieves neither.
Another math book May 9, 2002
This is another typical book written by mathematician, and for mathematician. What can one learn from this book? Basically not much. If you don't really know much about credit risk, you still won't know after much after you read the book. If you are a quant, this book definitely won't help you much.
Who might need this book? If you are a mathemtician with research interest in probablity, AND you like the book "Martingale Methods in Financial Markets" by Musiela and Rotkowski, you might want to buy this book.