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 2010. We find strong evidence for the presence of sectoral frailty …

of a Freund model, and risk dependence by means of an unobservable common risk factor (or frailty). These models allow … for distinguishing in the lifetime dependence the component due to common lifetime (frailty) from the broken …

introducing a dynamic frailty, whereas the contagion passes through the effect of the lagged number of individuals in the bad risk …

result either from common exogenous shocks (shared frailty), or from contagion phenomena, which occur when an endogenous … frailty and contagion phenomena, and test for the presence of such dependence effects, according to the age and management … exogenous frailty in liquidation risk dependence in the TASS database. The empirical analysis is completed by stress-tests on …

retirement, frailty terms are introduced. Model diagnoses in the presence of unobserved frailty terms are difficult. Therefore …, the robustness of the parameter estimates to the fitting of an unnecessary frailty or a frailty distribution or form … protected group (White-male) is shown to be robust to several choices of the frailty model. This provides further support for …