Books

Books

The featured books include more than fifty books in all areas of fixed income including basic fixed income, interest rate modeling, credit risk modeling, and fixed income structured products. The books are rated on quantitative sophistication, categorized using a user-friendly classification system, and have forums for online discussions. Some books also have online resources such as sample chapters, slides, and Excel/VBA software files.

T1. Basic Fixed Income

Interest Rate Risk Modeling: The Fixed Income Valuation Course - Nawalkha, Soto, Beliaeva

  • Level: Basic+
  • Major Topics: T11, T15
  • Minor Topics: T12, T23, T26, T32

Fixed Income Securities: Tools for Today’s Markets - Tuckman

  • Level: Basic+
  • Major Topics: T11
  • Minor Topics: T12, T22, T42

The Handbook of Fixed Income Securities - Fabozzi

  • Level: Basic+
  • Major Topics: T12, T15
  • Minor Topics: T11, T14, T22, T26, T31, T34, T41, T42, T43

[12 books]

T2. Models of Interest Rates

Dynamic Term Structure Modeling: The Fixed Income Valuation Course - Nawalkha, Beliaeva, Soto

  • Level: Intermediate
  • Major Topics: T22, T21, T23
  • Minor Topics: T11, T12, T32, T33

Interest Rate Models - Theory and Practice, with Smile, Inflation, and Credit - Brigo, Mercurio

  • Level: Advanced
  • Major Topics: T23, T21, T22, T24, T32
  • Minor Topics: T11, T12, T31, T33

Modern Pricing of Interest Rate Derivatives - Rebonato

  • Level: Intermediate
  • Major Topics: T23, T21
  • Minor Topics: T24

[10 books]

T3. Models of Credit Risk and Other Risks

Fundamentals of Corporate Credit Analysis - Ganguin, Bilardello

  • Level: Basic
  • Major Topics: T31
  • Minor Topics: T34, T35, T38

Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms - Saunders, Allen

  • Level: Basic+
  • Major Topics: T32, T37
  • Minor Topics: T31, T33, T38

Credit Risk Modeling using Excel and VBA - Loeffler, Posch

  • Level: Intermediate+
  • Major Topics: T31, T32, T36, T37
  • Minor Topics: T33, T38, T44

Credit Risk and Return Modeling: The Fixed Income Valuation Course - Nawalkha, Beliaeva, Soto

  • Level: Intermediate
  • Major Topics: T32, T31, T33
  • Minor Topics: T34, T37, T38, T44

An Introduction to Credit Risk Modeling - Bluhm, Overbeck, Wagner

  • Level: Intermediate+
  • Major Topics: T31, T32, T33
  • Minor Topics: T36, T37, T38, T44

The Credit Default Swap Basis - Choudhry

  • Level: Basic+
  • Major Topics: T33
  • Minor Topics:

Credit Risk: Pricing, Measurement, and Management - Duffie, Singleton

  • Level: Intermediate+
  • Major Topics: T31, T32, T33, T36
  • Minor Topics: T34, T37, T44

CreditRisk+ in the Banking Industry - Gundlach, Lehrbass

  • Level: Advanced
  • Major Topics: T31, T36, T37
  • Minor Topics: T33, T43, T44

Credit Ratings, Methodologies, Rationale and Default Risk - Ong

  • Level: Basic+
  • Major Topics: T31, T38
  • Minor Topics: T32, T37, T44

Managing Bank Risk: An Introduction to Broad-Base Credit Engineering - Glantz

  • Level: Basic+
  • Major Topics: T31, T32, T37
  • Minor Topics: T33, T38

Credit: The Complete Guide to Pricing, Hedging and Risk Management - Arvanitis, Gregory

  • Level: Intermediate+
  • Major Topics: T31, T32, T33, T37
  • Minor Topics: T22, T35, T36, T44

The Handbook of Loan Syndications and Trading - Lsta, Sansone

  • Level: Basic
  • Major Topics: T31
  • Minor Topics: T37, T44

Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings - Andritzky

  • Level: Intermediate
  • Major Topics: T34
  • Minor Topics: T11, T31, T32, T33, T35, T36

Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices - Matz, Neu

  • Level: Basic+
  • Major Topics: T35
  • Minor Topics: T12

Credit Risk Models and the Basel Accords - Deventer, Imai

  • Level: Intermediate
  • Major Topics: T38
  • Minor Topics: T31, T32, T33, T36, T44

The Basel II Risk Parameters: Estimation, Validation, and Stress Testing - Engelmann, Rauhmeier

  • Level: Intermediate
  • Major Topics: T36, T38
  • Minor Topics: T27, T31, T32, T35, T41, T46

Understanding Credit Derivatives and Related Instruments - Bomfim

  • Level: Intermediate
  • Major Topics: T33
  • Minor Topics: T31, T32, T36, T37, T38, T41, T43, T44, T45

Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments - Chacko, Sjöman, Motohashi, Dessain

  • Level: Intermediate
  • Major Topics: T32, T33
  • Minor Topics: T44

Credit Derivatives and Structured Credit: A Guide for Investors - Bruyere, Cont, Copinot, Fery

  • Level: Intermediate
  • Major Topics: T33, T38, T44
  • Minor Topics: T31, T32, T41

T4. Fixed Income Structured Products

Securitization: The Financial Instrument of the Future - Kothari

  • Level: Basic
  • Major Topics: T41, T42, T43, T44
  • Minor Topics: T33, T45, T46

The Handbook of Structured Finance –Servigny, Jobst

  • Level: Intermediate
  • Major Topics: T44
  • Minor Topics: T31, T32, T33, T41, T42, T43, T45, T46

Structured Finance Modeling With Object-oriented VBA – Tick

  • Level: Intermediate
  • Major Topics: T41
  • Minor Topics: T42, T43, T44, T45, T49

[12 books]