Rama Cont, Romain Deguest, Yu Hang Kan. Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration. SIAM J. Financial Math., 1(1):555-585, 2010. [doi]
@article{ContDK10,
title = {Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration},
author = {Rama Cont and Romain Deguest and Yu Hang Kan},
year = {2010},
doi = {10.1137/09076800X},
url = {http://dx.doi.org/10.1137/09076800X},
researchr = {https://researchr.org/publication/ContDK10},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {1},
number = {1},
pages = {555-585},
}