Davis, Mark H.A. and Violet Lo, "Infectious Defaults", Quantitative Finance, Vol. 1, No. 4, (April 2001), pp. 382-387.
Abstract: Mark Davis and Violet Lo introduce a contagion model to account for concentration risk in large portfolios of defaultable securities, which provides a purely probabilistic alternative to Moody's diversity score analysis, with parsimonious parametrization and easy simulation.