Das, Sanjiv Ranjan; Duffie, Darrell; Kapadia, Nikunj; … - National Bureau of Economic Research (NBER) - 2006
We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities. This assumption is violated in the presence of...