Credit derivatives - Factor models for credit correlation - The authors describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches including tranchelets.

Brief communication - Factor models for credit correlation - The authors present an extension of the static factor model for pricing credit correlation products introduced by Lipton (2006) and detailed in Inglis & Lipton (2007).

Inglis, Stewart, (2009)

Option pricing - Filling the gaps

Lipton, Alex, (2011)

Credit derivatives - CDSs, CVA and DVA — A structural approach

Lipton, Alex, (2013)