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The Credit Default Swap Basis
by Moorad Choudhry, Bloomberg Press, (October 1, 2006), Hardcover, 195 pages

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

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Top Ten 20 Most Cited Books within Recoveries/LGD 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 Recoveries/LGD. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a recoveries (LGD) researcher. Updated as of 26-Apr-2008.

Cited in 7 RECOV 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 5 RECOV 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).
Cited in 5 RECOV papers		Recovery Risk: The next challenge in credit risk management by Edward Altman (Editor), Andrea Resti (Editor), and Andrea Sironi (Editor), Risk Books, (June 1, 2005), Hardcover, 364 pages. Amazon: Sales Rank= #707,881; Reviews= (1).
Cited in 5 RECOV papers		Distressed Securities: Analyzing and Evaluating Market Potential and Investment Risk by Edward I. Altman, Beard Books, (January 1, 1999), Paperback, 234 pages. Amazon: Sales Rank= #648,739; Reviews= (3).
Cited in 4 RECOV 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 4 RECOV 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 3 RECOV 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 3 RECOV 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 3 RECOV papers		The Logic and Limits of Bankruptcy Law by Thomas H. Jackson, Beard Books, (October 1, 2001), Paperback, 300 pages. Amazon: Sales Rank= #977,037; No customer reviews yet.
Cited in 3 RECOV papers		High Yield Bonds: Market Structure, Valuation, and Portfolio Strategies by Theodore Barnhill, Mark Shenkman, and William Maxwell, McGraw-Hill, (March 31, 1999), Hardcover, 574 pages. Amazon: Sales Rank= #209,520; Reviews= (4).
Cited in 2 RECOV 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 2 RECOV 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 2 RECOV papers		Econometric Analysis by William H. Greene, Prentice Hall, (August 17, 2007), Hardcover, 1216 pages. Amazon: Sales Rank= #53,014; Reviews= (50).
Cited in 2 RECOV papers		Managing Credit Risk: The Next Great Financial Challenge by John B. Caouette, Edward I. Altman, and Paul Narayanan, Wiley, (November 3, 1998), Hardcover, 464 pages. Amazon: Sales Rank= #624,907; Reviews= (8).
Cited in 2 RECOV papers		Semimartingale Theory and Stochastic Calculus by Sheng-Wu He, Jia-Gang Wang, and Jia-An Yan, CRC, (September 14, 1992), Hardcover, 400 pages. Amazon: Sales Rank= #1,026,078; Reviews= (2).
Cited in 2 RECOV papers		Microeconomics of Banking by Xavier Freixas, Jean-Charles Rochet, The MIT Press, (October 17, 1997), Hardcover, 312 pages. Amazon: Sales Rank= #703,957; Reviews= (4).
Cited in 2 RECOV papers		Capital Markets and Financial Intermediation by Colin Mayer, Xavier Vives, Cambridge University Press, (September 29, 1995), Paperback, 377 pages. Amazon: Sales Rank= #2,191,275; No customer reviews yet.
Cited in 2 RECOV papers		Data Driven Statistical Methods by Peter Sprent, Chapman & Hall/CRC, (December 1, 1997), Hardcover, 406 pages. Amazon: Sales Rank= #2,750,173; Reviews= (2).
Cited in 2 RECOV papers		Bank Loans: Secondary Market and Portfolio Management by Frank J. Fabozzi (Editor), Wiley, (July 1, 1998), Hardcover, 222 pages. Amazon: Sales Rank= #491,271; Reviews= (2).
Cited in 2 RECOV papers		Handbook of Financial Econometrics by Y. Ait-Sahalia (Editor), Elsevier Science Ltd, (January 30, 2009), Hardcover, ??? pages. Amazon: Sales Rank= #4,919,245; No customer reviews yet.