by Philipp J. Schönbucher, P.J. Schonbucher
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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.
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Average Customer Review:
2 of 3 people found the following review helpful:
 read this before going for it, 2007-04-25
The book covers the basics of credit risk modeling and derivative pricing (both structural and intensity type of models), explained in a clear style with enough detail to enable implementation (a rarity in financial literature!). Basics of the theory of stochastic processes and risk-neutral pricing are also covered. Calibration methods for the models are clearly explained. Due to the limited scope, some topics are given only cursory coverage (Copula function methods, role of interest-rates models etc.), but even then, enough references are provided. A very useful, concisely written tome!
3 of 5 people found the following review helpful:
 Very bad presentation. I was bored to death before I finished the first 20 pages, 2007-04-16
The author should rewrite this book. The presentation and organisation are terrible. Often you will see formulas come out without an explanation.
Would definitely not recommend it.
Grab any papers wrote by the market-practitioners, you will find they are much easier for you to understand the concepts of various credit derivatives models than the book could.
BTW, I wrote a negative review in amazon.co.uk, but was deleted twice.
1 of 4 people found the following review helpful:
excellent book but hard to understand, 2006-11-11
The book is written by a Professor in a insightful way.
The reader needs to be well prepared in knowledge, and be ready for frustration.
3 of 4 people found the following review helpful:
Excellent intermediate book, 2005-10-20
The book is a look at credit risk through the glasses of mathematics, and is not a beginner's book. It is a bit dry in the beginning, yet after that I discovered lots of valuable intuitive explanations. While it does require a certain level of probability knowledge, the author walks you through most necessary steps for the presented models. The book covers almost everything needed for an intermediate course on credit modelling. The lack of numerical implementation menthods took the last star.
9 of 12 people found the following review helpful:
Amongst the best of a bad lot, 2004-06-09
The state of theory is in such tremendous flux at present with a majority of research unpublished and a growing consensus that the state of the art is entirely inadequate. No book could possibly please industry researchers at this point, but Philipp contributes some ideas and clarification here and there and some leads which are valuable. He is perhaps a little dismissive and pessimistic when the theory wanders into hard mathematical problems, and to to a large extent his book ends where the fun stuff begins. Nontheless I would recommend, especially to those entering the field.
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