 | Credit Risk by Tomasz R. Bielecki
Buy new: $92.00 / Used from: $43.06 The most cited book across all DefaultRisk.com {Gupton}
|
 | Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
Buy new: $97.65 / Used from: $49.00 Wonderfully consistent notation across all model frameworks {Gupton}
|
 | Credit Risk: Pricing, Measurement, and Management (Princeton Series in Finance) by Darrell Duffie
Buy new: $63.72 / Used from: $20.00 Excellent! From two VERY prolific researchers. {Gupton}
|
 | An Introduction to Copulas (Springer Series in Statistics) by Roger B. Nelsen
Buy new: $76.00 / Used from: $65.00 The first & best introduction/detailing of Copulas {Gupton}
|
 | Stochastic Integration and Differential Equations by Philip E. Protter
Buy new: $80.95 / Used from: $62.50 A modern classic. {Gupton}
|
 | Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by JOHN C HULL
Buy new: $144.61 / Used from: $97.95 Of course, this is a classic. Software is quite handy too. {Gupton}
|
 | Credit Risk Modeling: Theory and Applications (Princeton Series in Finance) by David Lando
Buy new: $43.75 / Used from: $33.39 Excellent detailing of models with more of a mathematical view {Gupton}
|
 | Multivariate Models and Multivariate Dependence Concepts (Monographs on Statistics and Applied Probability) by Harry Joe
Buy new: $89.95 / Used from: $125.34 A classic & still the best after 10-years! {Gupton}
|
 | Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas
Buy new: $58.45 / Used from: $35.98 Excellent descriptions of potentially complex topics {Gupton}
|
 | Point Processes and Queues: Martingale Dynamics by P. Bremaud
Buy new: $121.01 / Used from: $77.96 A classic ... 27-years and still quite good {Gupton}
|
 | Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance) by Alexander J. McNeil
Buy new: $72.25 / Used from: $78.19 Refreshing to have an insurance/quant view of credit {Gupton}
|
 | Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie
Buy new: $81.41 / Used from: $48.49 A classic teaching text {Gupton}
|
 | An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series) by Christian Bluhm
Buy new: $71.16 / Used from: $94.70 This (or the Saunders/Allen book) are great intro's for beginners {Gupton}
|
 | Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, 2nd Edition by Anthony Saunders
Buy new: $71.25 / Used from: $49.93 This (or the Bluhm/Overbeck/Wagner book) are great intro's for beginners {Gupton}
|
 | Econometric Analysis by William H. Greene
Buy new: $130.73 / Used from: $100.00 Greene is simply the BEST econometrics text, but I have no use for their software {Gupton}
|
 | Credit Risk: Models and Management, Second Edition by David Shimko
Buy used from: $105.76 HintÂ…hintÂ…you would likely find most of these chapters freely on-line {Gupton}
|
 | Risk Management: Value at Risk and Beyond
Buy new: $137.17 / Used from: $49.44 Getting a bit dated, but frequently referenced {Gupton}
|
 | Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability) by Paul Embrechts
Buy new: $96.30 / Used from: $74.95 Gentel introduction to 'Extreme Value Theory' -- nicely accessible {Gupton}
|
 | Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo
Buy new: $62.70 / Used from: $50.50 Hugely popular! And very well written {Gupton}
|
Listmania!
