Chen, Peimin; Wu, Chunchi - In: Journal of Banking & Finance 40 (2014) C, pp. 211-226
This paper extends the macroeconomic frailty model to include sectoral frailty factors that capture default correlations among firms in a similar business. We estimate sectoral and macroeconomic frailty factors and their effects on default intensity using the data for Japanese firms from 1992 to...
