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Credit Risk Modeling
The following sources are recommended by a professor whose research specialty is credit risk modeling.

Six Superlative Sources

· Duffie, D., and K. Singleton, 1997, "An Econometric Model of the Term Structure of Interest Rate Swap Yields," Journal of Finance, 52: 1287-321.

· Duffie D., and K. Singleton, 1999, "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12 (4): 197-226.

· Hughston, L., and S. Turnbull, 2000, "Credit Derivatives Made Simple," Risk Magazine, Credit Risk Special Report, October: S36-S43.

· Jarrow, R., and S. Turnbull, 1995, "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, 50 (1): 53-85.

· Jarrow, R., D. Lando, and S. Turnbull, 1997, "A Markov Model for the Term Structure of Credit Risk Spreads," The Review of Financial Studies, 10 (2): 481-523.

· Lando, D., 1998, "On Cox Processes and Credit Risky Securities," The Review of Derivatives Research, 2: 99-120.

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