RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES

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About the Pricing Equations in Finance (2011, background): “[74], Cont and Minca [34] or Herbertsson [59], • A more general homogeneous groups model considered for different purposes by various authors in [22, 30, 53], among others, • An even more general basket credit migrations model of Bielecki et al.”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, result): “Note that this model excludes direct contagion effects in which intensities of surviving names would be affected by past defaults, as opposed to the bottom-up contagion models of e.g. Cont and Minca (2013), Herbertsson (2011), or Laurent, Cousin, and Fermanian (2011).”
Dynamic hedging of synthetic CDO tranches with spread risk and default contagion (2010, methodology): “…the the aggregate loss L is the modelling primitive and information related to credit quality and default state of individual names is ignored; see for instance Giesecke & Goldberg (2007), Schönbucher (2006), Arnsdorf & Halperin (2007), Lopatin & Misirpashaev (2007) or Cont & Minca (2008).”