Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of Business & Economic Statistics 30 (2012) 4, pp. 521-532
We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into latent components for (1) macroeconomic/financial risk, (2) autonomous default dynamics (frailty), and (3) industry-specific effects. We analyze...