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Macrofinancial Risk Analysis
by Dale Gray, Samuel W Malone, Wiley, May 16, 2008, Hardcover, 362 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 Correlation/Dependence 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 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 28-June-2008.

Cited in 29 CORR 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 22 CORR 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 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= #148,095; Reviews= (9).
Cited in 14 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= #2,023,286; No customer reviews yet.
Cited in 14 CORR 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 13 CORR 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 10 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= #62,310; Reviews= (8).
Cited in 9 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= #578,202; Reviews= (5).
Cited in 9 CORR 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 8 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= #220,323; Reviews= (3).
Cited in 7 CORR 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 6 CORR 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 CORR 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 5 CORR papers		Séminaire de Probabilités XLI by Catherine Donati-Martin (Editor), Michel Émery (Editor), Alain Rouault (Editor), Christophe Stricker (Editor), Springer, (April 25, 2008), Paperback, 472 pages. Amazon: Sales Rank= #NA; No customer reviews yet.
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= #211,842; Reviews= (14).
Cited in 5 CORR papers		Probabilistic Metric Spaces by B. Schweizer, A. Sklar, Dover Publications, (November 30, 2005), Paperback, 336 pages. Amazon: Sales Rank= #135,618; No customer reviews yet.
Cited in 4 CORR 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 CORR papers		Handbook of Heavy Tailed Distributions in Finance by S.T Rachev, North Holland, (February 1, 2003), Hardcover, 528 pages. Amazon: Sales Rank= #1,463,117; 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= #177,577; Reviews= (7).
Cited in 3 CORR 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= #39,159; Reviews= (2).