Remark 3.2. Our choice of the time-inhomogeneous Poisson process
model is motivated by, on one hand, our desire to calibrate
to the term structure of CDS spreads and, on the other hand, to
keep the combined asset-credit model single-factor to facilitate
analytical tractability, calibration to the available data, and to
avoid introducing any unobservable model parameters that we
cannot directly estimate from the available data.