A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads

By Dilip B Madan 5, Haluk Unal. Journal of Financial and Quantitative Analysis, 2000

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Valuation of a Credit Swap of the Basket Type (2000, methodology): “10. We can obtain similar results by using other Gaussian models such as the one developed in Madan and Unal (2000) , provided that the model can be extended to the multivariate asset case.”
Credit Events and the Valuation of Credit Derivatives of Basket Type (2000, background): “Madan and Unal (2000) and others, while the reduced-form approach is best illustrated by Jarrow and Turnbull (1995) and Duffie and Singleton (1999).”
An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market (2006, unknown): “models (also known as intensity-based models), represented by Jarrow and Turnbull (1995), Duffie and Singleton (1999) and Madan and Unal (2000) , typically treat default as a random stopping time with a stochastic arrival intensity.”
Multivariate Survival Modelling: A Unified Approach with Copulas (2001, methodology): “That’s imply that the lower bound −1 can never been reached: ρ− 6= −1 (112) Moreover, because of the distributions generally used (Weibull, Gompertz, etc.”