Modelling Single-name and Multi-name Credit Derivatives

O’Kane’s book belongs on the same shelf as Lando and Gregory-style credit references, but its distinctive pitch is the pricing and risk-management machinery for traded credit derivatives rather than reduced-form econometrics alone. The exposition targets readers who must implement or validate models for CDS, CDX/iTraxx-style indices, tranches, and related portfolio structures—the world that dominated sell-side credit quant groups through the mid-2000s.

The reader is led through intensity-based default modelling, survival calculus, and the bridge into portfolio products where correlation assumptions bite. Later material addresses skew in tranche pricing, bespoke structures of the era, and the modelling choices that later stress episodes exposed. The tone is “working quant manual” rather than hedge-fund narrative.

Expect dense mathematics and notation throughout: stochastic calculus, copula-style portfolio thinking, and numerical methods appear as tools of the trade, not optional appendices. This is not an entry point for readers who are still mastering vanilla fixed income; it assumes comfort with derivatives pricing vocabulary and at least one pass through core credit products.

For model risk, validation, and library teams today, the title remains useful as historical context for why certain conventions and model families persist in legacy stacks, and for understanding the lineage of ideas that still surface in documentation and interview questions. It should be paired with post-crisis regulatory and market-structure reading so readers do not confuse 2008-era liquidity with current index and ETF-dominated credit trading.

Caveat honestly: several instrument classes and correlation practices are less central to modern flow than they were at publication. The value is depth and rigour on the credit-derivatives modelling stack, not a map of 2025 primary-market practice.