The following scientific articles document the CRI’s theoretical and technical foundation.
Duan, J.C., 2014, Actuarial Par Spread and Empirical Pricing of CDS by Decomposition. Global Credit Review 4, 51-65.
Duan, J.C., W. Miao, 2016, Default Correlations and Large-Portfolio Credit Analysis. Journal of Business and Economic Statistics 34, 51-65.
Duan, J.C., S. Li, 2020, Enhanced PD-implied Ratings by Targeting the Credit Rating Migration Matrix.