Credit Risk Books

[Dr. Jayanthi Sankaran]

Hi David,

Can you suggest some good books in the area of Credit Risk? I have:

• Risk Management and Financial Institutions by Hull
• FRM Handook by Jorion
• Derivatives and Risk Management by Stulz

I am currently preparing for a Credit Risk Training course.

Thanks a tonne!
Jayanthi

 

[ShaktiRathore]

Hi jayanti,
As i can suggest books which can be helpful for you:
1)Ong on credit risk
2)Gregory:counterparty risk
3)Malz:financial risk mgmt
Thanks

 

[Dr. Jayanthi Sankaran]

Hi Shakti,

Thanks a lot. Of all the three books above, which one in your opinion is the best? I want a book that has a balance between theory and practice.

I am quite familiar with the Creditmetrics Technical Document of JP Morgan, when I was working for them in NYC.

Jayanthi

 

[ShaktiRathore]

Hi,
I would suggest you to pick any one of the books,these all 3 are excellent books. You can follow anyone.
Thanks

 

[Dr. Jayanthi Sankaran]

Thanks Shakti - appreciate it! I will look up the review on Amazon or Flipkart and decide on which one I should buy.

Jayanthi