| | Top Ten 20 Most Cited Books within Correlation/Dependence PapersUsing the same citations database used to compile the overall Most Referenced Books list, I then condition on just the subset of research papers listed within Correlation/Dependence. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a credit correlation/dependence researcher. Updated as of 29-September-2010. | Cited in 31 CORR papers |  | An Introduction to Copulas
by Roger B. Nelsen,
Springer, (January 13, 2006), Hardcover, 270 pages.
Amazon: Sales Rank= #577,579; Reviews=  (4). | | Cited in 24 CORR papers |  | Multivariate Models and Dependence Concepts
by Harry Joe,
Chapman & Hall/CRC, (May 1, 1997), Hardcover, 424 pages.
Amazon: Sales Rank= #865,238; Reviews=  (1). | | Cited in 16 CORR papers |  | Risk Management: Value at Risk and Beyond
by Michael A. H. Dempster,
Cambridge University Press, (December 15, 2001), Hardcover, 450 pages.
Amazon: Sales Rank= #2,579,007; No customer reviews yet. | | Cited in 15 CORR papers |  | Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher,
Wiley, (March 1, 2003), Hardcover, 600 pages.
Amazon: Sales Rank= #742,521; Reviews=  (11). | | Cited in 13 CORR papers |  | Quantitative Risk Management: Concepts, Techniques, and Tools
by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts,
Princeton University Press, (September 26, 2005), Hardcover, 608 pages.
Amazon: Sales Rank= #99,055; Reviews= (9). | | Cited in 12 CORR papers |  | Credit Risk: Modeling, Valuation and Hedging
by Tomasz R. Bielecki, Marek Rutkowski,
Springer, (March 5, 2004), Hardcover, 540 pages.
Amazon: Sales Rank= #722,509; Reviews= (4). | | Cited in 10 CORR papers |  | Credit Risk: Pricing, Measurement, and Management
by Darrell Duffie, Kenneth J. Singleton,
Princeton University Press, (January 6, 2003), Hardcover, 464 pages.
Amazon: Sales Rank= #267,373; Reviews=  (5). | | Cited in 10 CORR papers |  | Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (June 1, 2004), Hardcover, 320 pages.
Amazon: Sales Rank= #591,273; Reviews= (5). | | Cited in 10 CORR papers |  | Modelling Extremal Events for Insurance and Finance
by Paul Embrechts, Claudia Klüppelberg, and Thomas Mikosch,
Springer, (October 15, 2004), Hardcover, 655 pages.
Amazon: Sales Rank= #705,714; Reviews= (4). | | Cited in 9 CORR papers |  | Point Processes and Queues: Martingale Dynamics
by Pierre Bremaud,
Springer, (November 8, 2005), Hardcover, 354 pages.
Amazon: Sales Rank= #1,580,496; No customer reviews yet. | | Cited in 8 CORR papers |  | Introduction to Credit Risk Modeling, Second Edition
by Christian Bluhm, Ludger Overbeck, and Christoph Wagner,
Chapman & Hall/CRC, (June 2, 2010), Hardcover, 384 pages.
Amazon: Sales Rank= #813,661; No customer reviews yet. | | Cited in 6 CORR papers |  | Séminaire de Probabilités XLII
by Catherine Donati-Martin (Editor), Michel Émery (Editor), Alain Rouault (Editor), Christophe Stricker (Editor),
Springer, (June 29, 2009), Paperback, 449 pages.
Amazon: Sales Rank= #275,954; No customer reviews yet. | | Cited in 6 CORR papers |  | Copula Methods in Finance
by Umberto Cherubini, Elisa Luciano, and Walter Vecchiato,
Wiley, (July 23, 2004), Hardcover, 310 pages.
Amazon: Sales Rank= #833,110; Reviews=  (3). | | Cited in 5 CORR papers |  | Handbook of Mathematical Functions: with Formulas, Graphs, and Mathematical Tables
by Milton Abramowitz (Editor), Irene A. Stegun (Editor),
Dover Publications, (June 1, 1965), Paperback, 1046 pages.
Amazon: Sales Rank= #163,069; Reviews=  (17). | | Cited in 5 CORR papers |  | Probabilistic Metric Spaces
by B. Schweizer, A. Sklar,
Dover Publications, (November 30, 2005), Paperback, 336 pages.
Amazon: Sales Rank= #1,199,566; No customer reviews yet. | | Cited in 4 CORR papers |  | Stochastic Integration and Differential Equations: Version 2.1
by Philip E. Protter,
Springer, (February 19, 2010), Paperback, 436 pages.
Amazon: Sales Rank= #1,458,646; No customer reviews yet. | | Cited in 4 CORR papers |  | Forecasting, Structural Time Series Models and the Kalman Filter
by Andrew C. Harvey,
Cambridge University Press, (April 26, 1991), Paperback, 570 pages.
Amazon: Sales Rank= #569,061; Reviews= (1). | | Cited in 4 CORR papers |  | Handbook of Heavy Tailed Distributions in Finance
by S.T Rachev,
North Holland, (February 1, 2003), Hardcover, 528 pages.
Amazon: Sales Rank= #1,614,345; No customer reviews yet. | | Cited in 4 CORR papers |  | Time Series Analysis by State Space Methods
by James Durbin, Siem Jan Koopman,
Oxford University Press, (August 1, 2001), Hardcover, 253 pages.
Amazon: Sales Rank= #448,547; No customer reviews yet. | | Cited in 3 CORR papers |  | Brownian Motion and Stochastic Calculus
by Ioannis Karatzas, Steven E. Shreve,
Springer, (September 5, 2006), Hardcover, 470 pages.
Amazon: Sales Rank= #340,665; Reviews= (7). |
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