1. Credit Risk Modeling: An Overview

Part I. Mathematical Tools

2. An Introduction to Continuous-Time Stochastic Processes

3. Risk-Neutral Valuation

Part II. Structural Models

Simple Capital Structure

4. Credit Risk Analysis with Constant Interest Rates

5. Estimation of the Term Structure of Interest Rates

6. Credit Risk Analysis with Stochastic Interest Rates

7. Credit Risk Analysis with Stochastic Volatility

8. Credit Risk Analysis with Jumps and Stochastic Volatility

Complex Capital Structure

9. KMV and Credit Grades Models For Estimating Default Probabilities

10. First Passage Models with Stochastic Interest Rates

11. First Passage Models with Stochastic Interest Rates, Jumps, and Stochastic Volatility

Part III. Reduced Form Models

12. Affine Reduced-Form Models

13. HJM Reduced-Form Models

Part IV. Correlated Default

14. Modeling Correlated Default Risk using First Passage Models

15. Modeling Correlated Default Risk using Reduced Form Models

16. Copula Functions for Modeling Correlated Default

Part V. Valuation of Credit Derivatives

17. Valuing Credit Derivatives: Basic Products

18. Valuing Credit Derivatives: Complex Products