1
$\begingroup$

Can anybody refer me to a good corporate credit risk modeling book? I'm looking for something more advanced than what's in Hull's very good risk management book. There seems to be many excellent credit risk modeling books out there, but most of them appear to be for sell-side quants. I'm particularly interested in measuring default risk, CDS spreads, and letter ratings, but would like to learn more about the topic generally.

$\endgroup$
4
  • $\begingroup$ Take a look at Terry Benzschawel. Credit Risk Modelling: Facts, Theory, and Applications Risk Books (2012) amazon.com/dp/B00HS45W8Q and amazon.com/dp/B078SY21XZ $\endgroup$ Commented Mar 14 at 10:56
  • $\begingroup$ @DimitriVulis Thanks! $\endgroup$ Commented Mar 14 at 14:49
  • $\begingroup$ You may also like his Machine Learning: Origins, Developments and Implications amazon.com/dp/B0CT48FPZF $\endgroup$ Commented Mar 14 at 17:08
  • $\begingroup$ @DimitriVulis Thanks! I'll check that one out too. $\endgroup$ Commented Mar 15 at 19:02

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.