9. See Darrell Duffie and Kenneth J. Singleton, “Simulating Correlated Defaults,” working paper, GSB, Stanford University, 1998; and Kay Giesecke, “A Simple Exponential Model for Dependent Defaults,” Journal of Fixed Income 13 (2003), pp. 74–83.

10. This is due to Robert A. Jarrow and Fan Yu, “Counterparty Risk and the Pricing of Defaultable Securities,” Journal of Finance 56 (2001), pp. 555–576.

11. Jarrow and Yu, “Counterparty Risk and the Pricing of Defaultable Securities.”

12. Mark Davis and Violet Lo, “Infectious Defaults,” Quantitative Finance 1 (2001), pp. 383–387.

13. Kay Giesecke and Stefan Weber, “Cyclical Correlations, Credit Contagion, and Portfolio Losses,” Journal of Banking and Finance 28 (2004), pp. 3009–3036.

14. Robert A. Jarrow, “Default Parameter Estimation Using Market Prices,” Financial Analysts Journal 5 (2001), pp. 1–18.

15. Dai and Singleton provide for an overview of available techniques [Qiang Dai and Kenneth Singleton, “Term Structure Dynamics in Theory and Reality,” Review of Financial Studies 16 (2003), pp. 631–678]. Standard methods include maximum likelihood and least squares.