Credit Risk : Pricing, Measurement, and Management

Rating:
Summary: Another summary of articles put together
Review: Duffie and Singleton are the masters of the reduced-form credit risk modeling approach. Although well-written, their book does not add anything new. It's just another review of the state of the art in credit risk. One can get the original papers and learn much more without having to read a short summary on each work. You will not be able to learn how to model a credit risky instrument by reading this book.I would have liked to see fewer references and more worked-out examples with derivations and detailed numerical applications.

Rating:
Summary: Gold Standard for Credit Risk Pricing and Management
Review: Duffie and Singleton may be the best thinkers in the world on this subject. While one might try other approaches, this is the starting point, the reference, and the benchmark for understanding any approach to credit risk pricing, measurement, and management. Duffie and Singleton are the gold standard referred to in any other work on this subject.

This book is well supplemented with more on the various new products. The gold standard for those products is Tavakoli's book "Credit Derivatives".

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Rating:
Summary: Unsatisfying compromise
Review: It seems the authors attempted a compromise between theoretical and practical aspects - and failed at both. From a theoretical point of view, this book is missing the rigorous exposition these authors have been known for in their previous work. From a practical point of view, this book will be of no help to someone trying to implement any credit risk models. The numerous figures - probably added by the authors in a attempt to banish their reputation for texts that are extremely hard to read - do not help in this respect. Detailed descriptions or real examples that could be used for practical purposes are completely absent. There are better choices of credit risk books for both the theoretically and practically inclined.

Rating:
Summary: Poor writers
Review: The book covers all the relevant topics and provides a slightly different presentation of their own models. However, the book glosses over the mathematics and is written in a very stiff style. The authors have never been known as good writers but in this case they are not presenting anything new. Rather disappointing from two rather strong academics.

Rating:
Summary: Disappointing - Bits and pieces jotted together
Review: This book is obviously a quick shot. It's bits and pieces taken from various articles: not one topic is covered right. If the authors had at least selected the most relevant results and formulas from the respective articles, but no, they chose to spray the text with the occasional formula, often irrelevant and seemingly arbitrarily selected, while formulas representing important results are completely missing. The authors might be famous - this book is not going to be.