Are there any recommended references on counter party credit risk management?
There are a host of books on credit risk, as a search of online booksellers like Amazon or B&N will show; however, many of these are not particularly helpful in term of assessment of counter party default probability. Risk Books in London (http://riskbooks.com) has an extensive catalog of credit risk management books that are useful, although some of the publications tend to be rather technical. Credit Risk edited by David Shimko and Credit Ratings by Michael K. Ong are highly recommended. Another strongly recommended standard reference is Credit Derivatives & The Management of Risk, by Dimitris N. Chorafas. Find credit risk management books on Amazon Find credit risk management books on Barnes and Noble An extended list of suggested references on credit risk management is shown in the credit risk portal on the References page.
