This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implicati

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitativ

It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit expo

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I

This book is a practical guide to the latest risk management tools and techniques applied in the market to assess and manage credit risks at bank, sovereign, co