This is a sophisticated survey of topics in credit risk modeling, including structural models; intensity models; credit scoring; rating-based term structure models; the subtle role of credit in pricing interest rate swaps; credit derivatives and CDOs. More than an introduction, it takes readers to the frontier of current research in a number of these topics. The book primarily targets a scholarly audience, but practitioners will find it an valuable theoretical supplement to Bluhm, Overbeck and Wagner (2003) or Schonbucher (2003) ...