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Global Catastrophic Risks
by Martin J. Rees, Nick Bostrom, Milan Cirkovic, Oxford University Press, September 15, 2008, Hardcover, 550 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 | Sponsor:
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| | Top Ten 20 Most Cited Books within Recoveries/LGD 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 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 28-September-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= #160,986; Reviews=  (9). | | Cited in 6 RECOV papers |  | Credit Risk: Models and Management
by David Shimko,
Risk Books, (April 1, 2004), Hardcover, 638 pages.
Amazon: Sales Rank= #660,258; 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= #368,011; 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= #841,540; 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= #535,073; 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= #20,824; 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, (May 18, 2008), Hardcover, 848 pages.
Amazon: Sales Rank= #2,597; Reviews= (69). | | Cited in 2 RECOV papers |  | Dynamic Asset Pricing Theory
by Darrell Duffie,
Princeton University Press, (November 1, 2001), Hardcover, 471 pages.
Amazon: Sales Rank= #198,157; Reviews= (6). | | Cited in 2 RECOV papers |  | Econometric Analysis
by William H. Greene,
Prentice Hall, (August 17, 2007), Hardcover, 1216 pages.
Amazon: Sales Rank= #26,073; Reviews= (52). | | Cited in 2 RECOV papers |  | Managing Credit Risk: The Great Challenge for Global Financial Markets
by John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo,
Wiley, (May 16, 2008), Hardcover, 656 pages.
Amazon: Sales Rank= #70,025; No customer reviews yet. | | Cited in 2 RECOV papers |  | Generalized Linear Models, Second Edition
by P. McCullagh, John A. Nelder,
Chapman & Hall/CRC, (August 1, 1989), Hardcover, 532 pages.
Amazon: Sales Rank= #59,959; Reviews= (4). | | 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 |  | Handbook of Financial Econometrics
by Y. Ait-Sahalia (Editor),
Elsevier Science Ltd, (January 30, 2009), Hardcover, ??? pages.
Amazon: Sales Rank= #5,524,556; No customer reviews yet. |
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