STRUCTURED FINANCE
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The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by Sylvain Raynes and Ann Rutledge
Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor
Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu Securitization, by Vinod Kothari
Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by step book)

STRUCTURED CREDIT
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Collateralized Debt Obligations, by Arturo Cifuentes
An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck
RISK MANAGEMENT/VAR
VAR Understanding and Applying Value at Risk, by various authors
Value at Risk, by Philippe Jorion
RiskMetrics Technical Document RiskMetrics Group
Risk and Asset Allocation by Attilio Meucci

SAS/S/S-PLUS
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The Little SAS Book: A Primer, Fourth Edition by Lora D. Delwiche and Susan J. Slaughter
Modeling Financial Time Series with S-PLUS
Statistical Analysis of Financial Data in S-PLUS
Modern Applied Statistics with S