An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) Review

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(More customer reviews)This is an excellent treatise on the near state-of-the-art in credit risk management. Although the focus is on sell-side risk management, many (if not all) of the techniques described can be used on the buy-side also.
This is the first book that really focusses on the portfolio problem of credit risk - many books have touched on vendor-provided models and their shortcomings but Bluhm et al. take it further into the practitioner's world.
The reader does not need a very strong background in math or physics but some understanding of finance and stochastic calculus would help to get the most out of it.
I recommend to everyone who is either in or thinking of getting into credit risk as a career - enjoy....

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In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise.Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

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Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments Review

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(More customer reviews)This is easy to understand and more academic oriented book. For any body who wants to become master in the field of credit risk and credit derivatives, this book will act as a gateway. Modeling Credit risk using structural approach is explained in about 60 pages and it is very clear.CDO pricing is detailed with examples and shows how to price CDO with correlation using Monte Carlo simulation and Cholesky decomposition.
However this book does not talk about ISDA documentation and from the trading point of view. The book "Credit Derivatives: Risk Management, Trading and Investing by Geoff Chaplin" focuses more from the point of view of trading and ISDA documentation. Reading Chaplin's book after Chacko's book will take the reader into next step.
For the professional who want to become expert in modeling, the must read is "Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J.Schönbucher". This requires lot of mathematical especially calculus and probability background and prior knowledge of Credit Risk and Credit Derivatives.
I would recommend Chacko's, Chaplin's and Phillip's books in the order in order to become proficient in Credit Derivatives.Credit Derivatives: Risk Management, Trading and Investing (The Wiley Finance Series)
Credit Derivatives Pricing Models: Model, Pricing and Implementation


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The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.

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