We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We … disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry …-specific dynamics (including contagion). To quantify the contribution of each of these factors to default rate volatility we introduce a …

-linear and time-varying default dependence. We demonstrate how to apply a conditional law of large numbers in this setting to …

We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default … probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … observed default rates. In this framework we improve the out-of-sample forecasting accuracy associated with conditional default …

This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries … area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default … other factors are of high importance as well. For all firms, deviations of systematic default risk from macro fundamentals …