Baxter, Martin, and Rennie, Andew, Financial Calculus: An Introduction to Derivative Pricing. Cambridge, Cambridge University Press, 1996.
Bharath, Sreedhar, and Shumway, Tyler, “Forecasting Default with the KMV-Merton Model.” Working paper, University of Michigan, 2005.
“Corporate Default and Recovery Rates, 1920–2008,” Moody's Investors Service, Special Comment, February 2008. www.dbresearch.com/PROD/DBR_INTERNET_EN-PROD/PROD0000000000183612.pdf
Deutsche Bank Research, “How Do CDS Spreads Relate to the Probability of Default?” accessed April 2, 2011.
Hull, J., and White, A., “Using Hull-White Interest-Rate Trees,” Journal of Derivatives (Winter 1996).
Hull, J., and White, A., “Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models,” Journal of Derivatives 2, No. 1 (Fall 1994a), 7–16.
Löffler, G., and Posch, P., Credit Risk Modeling Using Excel and VBA. New York, John Wiley & Sons, 2007.
Merton, Robert C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance 29 (1974), 449–470.
“Sovereign Defaults and Recovery Rates 1983–2007,” Moody's Investors Service, Special Comment, 2008.
Taleb, Nassim N., The Black Swan: The Impact of the Highly Improbable. New York, Random House, 2007.