Credit migration: Generating generators
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- Richard Martin & Yao Ma, 2018. "Emerging Market Corporate Bonds as First-to-Default Baskets," Papers 1804.09056, arXiv.org.
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World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453,
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- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
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