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I need suggestions for some good books on the following topics:

  • Credit Value Adjustment (CVA) / Credit Risk
  • Probability of Default / Loss-Given-Default / Exposure-At-Default modeling

Any pointers on good research papers? I would prefer anything from after the 2008 crisis.

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7 Answers

up vote 4 down vote accepted

http://defaultrisk.com/

Main Authors, Papers & Book links, recommendations. Should be all you need.

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Mind the "side-effects" of CVA: DVA and FVA. Antonio Castagna has some clear introduction to them ("Funding, Liquidity, Credit and Counterparty Risk: Links and Implications" - for DVA, and "Yes, FVA is a Cost for Derivatives Desks")

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There is a new paper presenting a more accurate way to calculate CVA:

An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk

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Take a look at the paper in the Journal of Finance - "On Default Correlation: A Coupula function approach" and also their bibliography.

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I recommend the book The Basel II Risk Parameters. This book is primarily a collection of articles on the development, validation and stress testing of the risk parameters. The good thing about this book is that it provides an overview of the methodologies used which should be easy to follow for an experienced credit risk professional. However, it does not cover each topic in great depth.

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I came to recommend this book. Our group is going through this chapter by chapter. It's not particularly rigorous, and there are some errors (as there would be in any book), but it provides good detail, and discusses interesting aspects of Basel you may otherwise be unfamiliar with. Overall a book worth reading through. –  eykanal Oct 16 '12 at 19:16
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Book:

Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

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Hi guillet, welcome to quant.SE and thanks for your contribution. –  Tal Fishman Sep 6 '11 at 19:52
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