Longstaff, Francis A.; Rajan, Arvind - 2006
1.2, 41.5, and 763 years, respectively. On average, 65 percent of the CDX spread is due to firm-specific default risk …, 27 percent to clustered industry or sector default risk, and 8 percent to catastrophic or systemic default risk. Recently …, however, firm-specific default risk has begun to play a larger role"--National Bureau of Economic Research web site …
