The following journal 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.