DefaultRisk.com the web's biggest credit risk modeling resource.

Fitch Ratings Jobs

[ Worldwide]

Post Your Résumé
For Recruiters

Featured Book

Financial Modelling with Jump Processes
by Rama Cont, Peter Tankov, Chapman & Hall/CRC, (December 30, 2003), Hardcover, 552 pages.
How to do Lévy Processes

Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM

Sponsor:
Shop at Amazon.com and support DefaultRisk.com

Top Ten 20 Most Cited Books within Credit Modeling Papers

Using 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 credit Modeling. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a credit pricing researcher. Updated as of 26-Apr-2008.

Cited in 27 MODEL papers		Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki, Marek Rutkowski, Springer, (March 5, 2004), Hardcover, 540 pages. Amazon: Sales Rank= #354,927; Reviews= (2).
Cited in 24 MODEL papers		Stochastic Integration and Differential Equations by Philip E. Protter, Springer, (May 24, 2005), Hardcover, 302 pages. Amazon: Sales Rank= #202,879; No customer reviews yet.
Cited in 23 MODEL papers		Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher, Wiley, (March 1, 2003), Hardcover, 600 pages. Amazon: Sales Rank= #318,111; Reviews= (9).
Cited in 18 MODEL 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= #144,490; Reviews= (5).
Cited in 12 MODEL papers		Brownian Motion and Stochastic Calculus by Ioannis Karatzas, Steven E. Shreve, Springer, (September 5, 2006), Hardcover, 470 pages. Amazon: Sales Rank= #203,801; Reviews= (7).
Cited in 11 MODEL papers		Credit Risk Modeling: Theory and Applications by David Lando, Princeton University Press, (June 1, 2004), Hardcover, 320 pages. Amazon: Sales Rank= #512,689; Reviews= (4).
Cited in 9 MODEL papers		Point Processes and Queues: Martingale Dynamics by Pierre Bremaud, Springer, (November 8, 2005), Hardcover, 354 pages. Amazon: Sales Rank= #913,592; No customer reviews yet.
Cited in 9 MODEL papers		An Introduction to Credit Risk Modeling by Christian Bluhm, Ludger Overbeck, and Christoph Wagner, Chapman & Hall/CRC, (September 27, 2002), Hardcover, 297 pages. Amazon: Sales Rank= #32,251; Reviews= (8).
Cited in 9 MODEL 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= #26,984; Reviews= (8).
Cited in 8 MODEL papers		Options, Futures and Other Derivatives by John C. Hull, Prentice Hall, (June 10, 2005), Hardcover, 816 pages. Amazon: Sales Rank= #16,406; Reviews= (66).
Cited in 8 MODEL papers		Dynamic Asset Pricing Theory by Darrell Duffie, Princeton University Press, (November 1, 2001), Hardcover, 471 pages. Amazon: Sales Rank= #134,297; Reviews= (6).
Cited in 7 MODEL papers		An Introduction to Copulas by Roger B. Nelsen, Springer, (January 13, 2006), Hardcover, 270 pages. Amazon: Sales Rank= #176,780; Reviews= (2).
Cited in 6 MODEL papers		Multivariate Models and Dependence Concepts by Harry Joe, Chapman & Hall/CRC, (May 1, 1997), Hardcover, 424 pages. Amazon: Sales Rank= #650,579; No customer reviews yet.
Cited in 6 MODEL papers		Mathematics of Derivative Securities by Michael A. H. Dempster, Stanley R. Pliska, Cambridge University Press, (October 13, 1997), Hardcover, 600 pages. Amazon: Sales Rank= #1,862,848; Reviews= (1).
Cited in 6 MODEL papers		Mathematical Finance - Bachelier Congress 2000 by Helyette Geman (Editor), Dilip Madan (Editor), Stanley R. Pliska (Editor), and Ton Vorst (Editor), Springer, (February 5, 2002), Hardcover, 521 pages. Amazon: Sales Rank= #2,840,565; No customer reviews yet.
Cited in 6 MODEL papers		Internal Credit Risk Models: Capital Allocation and Performance Measurement by Michael K. Ong (Editor), Risk Books, (January 5, 1999), Hardcover, 372 pages. Amazon: Sales Rank= #382,235; Reviews= (3).
Cited in 5 MODEL papers		Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms by Anthony Saunders, Linda Allen, Wiley, (February 1, 2001), Hardcover, 288 pages. Amazon: Sales Rank= #70,569; Reviews= (4).
Cited in 5 MODEL 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= #1,963,619; No customer reviews yet.
Cited in 5 MODEL papers		Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt by Edward I. Altman, Edith Hotchkiss, Wiley, (December 2, 2005), Hardcover, 368 pages. Amazon: Sales Rank= #37,096; Reviews= (2).
Cited in 5 MODEL papers		Credit Risk: Models and Management by David Shimko, Risk Books, (April 1, 2004), Hardcover, 638 pages. Amazon: Sales Rank= #1,230,774; Reviews= (1).