Book description
The book reveals to traders how to consistently outperform credit benchmarks, how to hedge the credit risk premium, and how to overcome pension liability deficits. In addition, several successful trading strategies are presented including debt versus equities, Co-Co bond trading and a quantitative analysis of the municipal bond market. Chapters…
Why read it?
1 author picked Credit Risk Modelling as one of their favorite books. Why do they recommend it?
In the vast array of quantitative finance relative to financial markets instruments and related risks, the case of credit or counterparty risk remains by far the most complex one, and thus, unsurprisingly, the least mastered by financial markets professionals.
A lot has been done, but a lot remains to be done: covering this is precisely the goal of this book. In a nutshell, the main obstacle to succeed in developing grounded and useful models of default prediction is due to the fact that a default is (fortunately) a rare event, in other words, with a (very) low probability of occurrence,…
From Alain's list on quantitative finance applied to financial markets.
If you love Credit Risk Modelling...
These Blue Mountains
A moving story of love, betrayal, and the enduring power of hope in the face of darkness.
German pianist Hedda Schlagel's world collapsed when her fiancé, Fritz, vanished after being sent to an enemy alien camp in the United States during the Great War. Fifteen years later, in 1932, Hedda…
Want books like Credit Risk Modelling?
Our community of 13,000+ authors has personally recommended 41 books like Credit Risk Modelling.
Share your top 3 reads of 2025!
And get a beautiful page showing off your 3 favorite reads.
1,395
readers submitted
so far, will you?
📚 If you like Credit Risk Modelling, you might also like...
Need to Know
The authoritative but accessible history of the birth of modern American intelligence in World War II that treats not just one but all of the various disciplines: spies, codebreakers, saboteurs.
Told in a relatable style that focuses on actual people, it was a New Yorker "Best of 2022" selection and…
Tsunami
On the morning of December 26, 2004, an undersea earthquake struck off the coast of Sumatra in the Indian Ocean. The resulting tsunami killed an estimated 230,000 people across fourteen countries, from Indonesia to Sri Lanka to Thailand to the Maldives to India and all the way to East Africa.…
