| | Top Ten 20 Most Cited Books within Credit Modeling 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 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 29-September-2010. | Cited in 38 MODEL 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 28 MODEL 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 28 MODEL 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 25 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= #267,373; Reviews=  (5). | | Cited in 18 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= #99,055; Reviews=  (9). | | Cited in 17 MODEL 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 15 MODEL 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). | | Cited in 13 MODEL 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 9 MODEL papers |  | Options, Futures and Other Derivatives
by John C. Hull,
Prentice Hall, (February 12, 2011), Hardcover, 864 pages.
Amazon: Sales Rank= #4,004; Reviews= (75). | | Cited in 9 MODEL 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 8 MODEL papers |  | Credit Risk: Models and Management
by David Shimko,
Risk Books, (April 1, 2004), Hardcover, 638 pages.
Amazon: Sales Rank= #2,284,353; Reviews=  (1). | | Cited in 8 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= #3,408,064; No customer reviews yet. | | Cited in 8 MODEL papers |  | Financial Modelling with Jump Processes
by Rama Cont, Peter Tankov,
Chapman & Hall/CRC, (December 30, 2003), Hardcover, 552 pages.
Amazon: Sales Rank= #253,763; Reviews= (5). | | Cited in 7 MODEL 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 7 MODEL papers |  | Dynamic Asset Pricing Theory
by Darrell Duffie,
Princeton University Press, (November 1, 2001), Hardcover, 471 pages.
Amazon: Sales Rank= #501,849; Reviews= (7). | | Cited in 7 MODEL 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 7 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= #1,102,377; Reviews= (3). | | 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= #865,238; Reviews= (1). | | Cited in 6 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= #2,579,007; No customer reviews yet. | | Cited in 6 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= #151,644; Reviews= (2). |
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