DAS, SANJIV R.; DUFFIE, DARRELL; KAPADIA, NIKUNJ; … - In: Journal of Finance 62 (2007) 1, pp. 93-117
We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities. Using data on U.S. corporations from 1979 to 2004, this assumption is violated in the presence of contagion or "frailty"...