Please find here some interesting links as well as recommended books.


  • Against the Gods: The Remarkable Story of Risk Paperback by Peter L. Bernstein, 1998
  • Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets by Jon Gregory, 2013
  • Quantitative Risk Management: Concepts, Techniques, and Tools by Alexander J. McNeil, RĂ¼diger Frey, Paul Embrechts, Princeton University Press, 2005
  • Stochastic Integration and Differential Equations, by Philip E. Protter, Springer, 2010
  • Introduction to Credit Risk Modelling, Second Edition (Chapman & Hall/CRC Financial Mathematics Series) by Christian Bluhm, Ludger Overbeck, Christoph Wagner, 2003
  • Credit Risk: Modelling, Valuation and Hedging by Bielecki, Rutkoski, 2014
  • An Introduction to Copulas by Roger B. Nelsen, Springer, 2006
  • The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management by Bernd Engelmann, Robert Rauhmeier, 2011
  • From Basel 1 to Basel 3: The Integration of State of the Art Risk Modelling in Banking Regulation (Finance and Capital Markets) by Laurent Balthazar, Palgrave Macmillan (November 14, 2006)
  • Economic Capital: How It Works, and What Every Manager Needs to Know - Klaassen/van Eeghen 2009