I could use some advice on calibration of stochastic intensity models. I am thinking that the CIR model is most suitable, as it can not take negative values (when feller condition is satisfied).
I am fairly sure I understand how to calibrate the model to CDS quotes. Is it possible to calibrate to for instance credit spreads on risky bonds? If someone could give a couple of hints on how this can be achieved, or has a good article where they do, so please share :-).
Thanks in advance.
