An analytic approach to credit risk of large corporate bond and loan portfolios

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Credit Cycles and Macro Fundamentals (2009, unknown): “This is in line with earlier empirical results, see for example Kavvathas (2001) and Das et al.”
Tail Approximations for Portfolio Credit Risk (2004, methodology): “mans [ 12 ]. It has also been incorporated into the Basel Committee’s internal ratings-based”
Business and default cycles for credit risk (2003, unknown): “Making the standard distinction between idiosyncratic and systematic risk, it is the systematic risk that is most important at a portfolio level, see for example Jarrow, Lando, and Yu (2000), Frey and McNeil (2001), Lucas, Klaassen, Spreij, and Straetmans (2001), and Giesecke and Weber (2003).”
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (2007, background): “The decay rate we find in the large threshold limit is consistent with that in Lucas et al. (2001), but their limit applies to an approximation to the loss distribution whereas we deal with the distribution itself.”
Credit contagion and aggregate losses (2006, unknown): “Examples include the models put forward by KMV [Kealhofer (1998)], J.P. Morgan [Gupton, Finger & Bhatia (1997)], and Credit Suisse Financial Products [CSFP (1997)], which have become a standard for credit risk measurement and management in financial institutions.”