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Advanced Analytical Models, + DVD: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond
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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 CDO 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 Collateralized Debt Obligation (CDO) papers. Such research is somewhat more focused, and so, the books listed here are more specifically relevant (and prioritized) to the needs of a CDO researcher. Updated as of 28-June-2008.

Cited in 21 CDO papers		Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher, Wiley, (March 1, 2003), Hardcover, 600 pages. Amazon: Sales Rank= #148,095; Reviews= (9).
Cited in 21 CDO papers		An Introduction to Copulas by Roger B. Nelsen, Springer, (January 13, 2006), Hardcover, 270 pages. Amazon: Sales Rank= #310,875; Reviews= (2).
Cited in 13 CDO papers		Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki, Marek Rutkowski, Springer, (March 5, 2004), Hardcover, 540 pages. Amazon: Sales Rank= #622,161; Reviews= (2).
Cited in 13 CDO papers		Multivariate Models and Dependence Concepts by Harry Joe, Chapman & Hall/CRC, (May 1, 1997), Hardcover, 424 pages. Amazon: Sales Rank= #508,061; Reviews= (5).
Cited in 8 CDO 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= #578,202; Reviews= (5).
Cited in 8 CDO papers		Numerical Recipes 3rd Edition: The Art of Scientific Computing by William H. Press, Saul A. Teukolsky, William T. Vetterling, and Brian P. Flannery, Cambridge University Press, (September 10, 2007), Hardcover, 1256 pages. Amazon: Sales Rank= #16,271; Reviews= (5).
Cited in 6 CDO papers		Point Processes and Queues: Martingale Dynamics by Pierre Bremaud, Springer, (November 8, 2005), Hardcover, 354 pages. Amazon: Sales Rank= #1,033,575; No customer reviews yet.
Cited in 6 CDO 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= #62,310; Reviews= (8).
Cited in 6 CDO papers		Financial Modelling with Jump Processes by Rama Cont, Peter Tankov, Chapman & Hall/CRC, (December 30, 2003), Hardcover, 552 pages. Amazon: Sales Rank= #173,283; Reviews= (4).
Cited in 5 CDO papers		Credit Risk Modeling: Theory and Applications by David Lando, Princeton University Press, (June 1, 2004), Hardcover, 320 pages. Amazon: Sales Rank= #483,082; Reviews= (4).
Cited in 5 CDO 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= #308,143; Reviews= (8).
Cited in 5 CDO papers		Lévy Processes and Infinitely Divisible Distributions by Ken-iti Sato, Cambridge University Press, (November 13, 1999), Hardcover, 498 pages. Amazon: Sales Rank= #104,050; No customer reviews yet.
Cited in 5 CDO papers		Handbook of Heavy Tailed Distributions in Finance by S.T Rachev, North Holland, (February 1, 2003), Hardcover, 528 pages. Amazon: Sales Rank= #1,463,117; No customer reviews yet.
Cited in 5 CDO papers		Collateralized Debt Obligations and Structured Finance: New Developments in Cash and Synthetic Securitization by Janet M. Tavakoli, Wiley, (August 28, 2003), Hardcover, 352 pages. Amazon: Sales Rank= #60,598; Reviews= (36).
Cited in 4 CDO papers		Stochastic Integration and Differential Equations by Philip E. Protter, Springer, (May 24, 2005), Hardcover, 302 pages. Amazon: Sales Rank= #467,006; No customer reviews yet.
Cited in 4 CDO papers		Dynamic Asset Pricing Theory by Darrell Duffie, Princeton University Press, (November 1, 2001), Hardcover, 471 pages. Amazon: Sales Rank= #298,177; Reviews= (6).
Cited in 4 CDO papers		Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk by Carol Alexander, Financial Times/Prentice Hall, (October 2, 2001), Paperback, 256 pages. Amazon: Sales Rank= #1,587,014; No customer reviews yet.
Cited in 4 CDO papers		Copula Methods in Finance by Umberto Cherubini, Elisa Luciano, and Walter Vecchiato, Wiley, (July 23, 2004), Hardcover, 310 pages. Amazon: Sales Rank= #523,046; Reviews= (3).
Cited in 4 CDO papers		Credit: The Complete Guide to Pricing, Hedging and Risk Management by Angelo Arvanitis (Editor), Jon Gregory (Editor), Risk Books, (April 1, 2001), Hardcover, 424 pages. Amazon: Sales Rank= #1,338,441; Reviews= (6).
Cited in 4 CDO papers		Lévy Processes by Jean Bertoin, Cambridge University Press, (December 28, 1998), Paperback, 276 pages. Amazon: Sales Rank= #526,227; No customer reviews yet.