The following scientific articles document the CRI’s theoretical and technical foundation.
Duan, J.C., S. Li, Y. Xu, 2022, Sequential Monte Carlo Optimization and Statistical Inference. Wiley Interdisciplinary Reviews: Computational Statistics.
Duan, J.C., S. Li, 2021, Enhanced PD-implied Ratings by Targeting the Credit Rating Migration Matrix. Journal of Finance and Data Science
Duan, J.C., W. Miao, 2016, Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics 34, 536-546.
Duan, J.C., 2014, Actuarial Par Spread and Empirical Pricing of CDS by Decomposition. Global Credit Review 4, 51-65.
Duan, J.C., A. Fulop, 2013, Multiperiod Corporate Default Prediction with Partially-Conditioned Forward Intensity. RMI working paper.
Duan, J.C., T. Wang, 2012, Measuring Distance-to-Default for Financial and Non-Financial Firms. Global Credit Review 2, 95-108.