Time-Changed Birth Processes and Multi-Name Credit Derivatives

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Exploring the sources of default clustering (2018, background): “Collin-Dufresne, Goldstein & Helwege (2009), Delloye, Fermanian & Sbai (2006), Duffie et al. (2009), Giampieri, Davis & Crowder (2005), Koopman, Lucas & Monteiro (2008), and others argue that it is often difficult to measure all relevant covariates V .”
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives (2008, background): “16 Note that the relation (21) expressing the portfolio loss intensity λs(t) as a product of the driving factor Yt and the contagion factors F (Nk, t) resembles the relation between the stochastic time change rate νt and the generator of the initial Markov chain for the default process in the model ”
RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2013, unknown): “Default contagion can be incorporated in the model by introducing a dependence of the default intensity on the number of defaults.”
Up and down credit risk (2010, unknown): “This decomposition is done by a method of random thinning formalized by Giesecke and Goldberg (2007) (see also Halperin and Tomecek 2008), which will be discussed in detail in section 3.”