| | Top Ten 20 Most Cited Books within Correlation/Dependence 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 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 3-September-2009. | Cited in 32 CORR papers |  | An Introduction to Copulas
by Roger B. Nelsen,
Springer, (January 13, 2006), Hardcover, 270 pages.
Amazon: Sales Rank= #57,806; Reviews=  (3). | | Cited in 25 CORR papers |  | Multivariate Models and Dependence Concepts
by Harry Joe,
Chapman & Hall/CRC, (May 1, 1997), Hardcover, 424 pages.
Amazon: Sales Rank= #539,980; Reviews= (1). | | Cited in 16 CORR papers |  | Credit Derivatives Pricing Models: Model, Pricing and Implementation
by Philipp J. Schönbucher,
Wiley, (March 1, 2003), Hardcover, 600 pages.
Amazon: Sales Rank= #269,747; Reviews=  (9). | | Cited in 16 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= #2,423,364; No customer reviews yet. | | Cited in 12 CORR papers |  | Credit Risk: Modeling, Valuation and Hedging
by Tomasz R. Bielecki, Marek Rutkowski,
Springer, (March 5, 2004), Hardcover, 540 pages.
Amazon: Sales Rank= #1,094,013; Reviews=  (2). | | Cited in 11 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= #584,410; Reviews=  (3). | | Cited in 10 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= #618,859; Reviews= (5). | | Cited in 10 CORR papers |  | Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (June 1, 2004), Hardcover, 320 pages.
Amazon: Sales Rank= #374,189; Reviews= (5). | | 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= #109,263; Reviews=  (9). | | Cited in 8 CORR papers |  | An Introduction to Credit Risk Modeling
by Christian Bluhm, Ludger Overbeck, and Christoph K.J. Wagner,
Chapman & Hall/CRC, (September 27, 2002), Hardcover, 297 pages.
Amazon: Sales Rank= #454,503; Reviews= (7). | | Cited in 8 CORR papers |  | Copula Methods in Finance
by Umberto Cherubini, Elisa Luciano, and Walter Vecchiato,
Wiley, (July 23, 2004), Hardcover, 310 pages.
Amazon: Sales Rank= #823,717; Reviews=  (3). | | Cited in 7 CORR papers |  | Point Processes and Queues: Martingale Dynamics
by Pierre Bremaud,
Springer, (November 8, 2005), Hardcover, 354 pages.
Amazon: Sales Rank= #1,284,784; 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= #3,174,674; 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= #68,771; Reviews= (15). | | Cited in 5 CORR papers |  | Probabilistic Metric Spaces
by B. Schweizer, A. Sklar,
Dover Publications, (November 30, 2005), Paperback, 336 pages.
Amazon: Sales Rank= #1,199,566; 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= #1,698,636; No customer reviews yet. | | Cited in 3 CORR papers |  | Stochastic Integration and Differential Equations
by Philip E. Protter,
Springer, (May 24, 2005), Hardcover, 302 pages.
Amazon: Sales Rank= #530,104; Reviews= (1). | | 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= #130,190; 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= #76,518; Reviews= (2). | | Cited in 3 CORR 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= #11,687; Reviews= (7). |
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