Darrel Duffie provides a lucid account of default risk modeling using dynamic intensity models and survival analysis. He covers both the case where the explanatory variables (covariates) are fully observed, and where they are unobserved, dynamic 'frailty' effects. The book will sharpen your modeling and risk management tools and help you selecting relevant covariates. You will also benefit from the author's brilliant sense of how these tools enhance our understanding of credit markets.