Koopman, Siem Jan; Lucas, Andre; Schwaab, Bernd - Tinbergen Instituut - 2010
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...
