GRAZIANO, GIUSEPPE DI; ROGERS, L. C. G. - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 45-62
The modeling of credit events is in effect the modeling of the times to default of various names. The distribution of individual times to default can be calibrated from CDS quotes, but for more complicated instruments, such as CDOs, the joint law is needed. Industry practice is to model this...