Darrell Duffie, Kenneth J. Singleton, "Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance)"
Princeton University Press (January 6, 2003) | ISBN:0691090467 | 464 pages | PDF | 8,2 Mb
Princeton University Press (January 6, 2003) | ISBN:0691090467 | 464 pages | PDF | 8,2 Mb
Review
Amnon Levy Risk : Overall, the book succeeds in motivating the reader to consider the alternative approaches to modeling credit risk.
Georges Dionne Journal of Risk and Insurance : This is certainly the best book on credit risk available on the market for academics and practitioners.