Quantitative Risk Management: Concepts, Techniques and Tools (Princeton Series in Finance): Concepts, Techniques and Tools - Revised Edition

Comprehensive theory, clearly written, by top experts

I used this book as the backbone of a master course in credit risk management which I taught. Most chapters have a nice introduction and make very good connections with recent academic literature. However the modeling is builds up quickly and unless one has a strong mathematical statistics background it seems unpalatable.