1. We do not give a long list of references, that would be in any case incomplete. Up-to-date references can be found on
www.defaultrisk.com
.
2. Bielecki TR, Rutkowski M (2004) Credit risk: modeling valuation and hedging. Springer, Berlin
3. Bielecki TR, Jakubowski J, NiewȨgŁowski M (2013) Intricacies of dependence between components of multivariate Markov Chains: weak Markov consistency and Markov copulae. Electron J Probab 18(45):1–21
4. Bluhm CH, Overbeck L, Wagner CH (2010) An introduction to credit risk modeling. Chapman & Hall, London
5. El Karoui N, Jeanblanc M, Jiao Y (2010) What happens after a default: the conditional density approach. SPA 120(7):1011–1032