We revisit a test for conditional independence proposed by Das, Duffie, Kapadia, Saita (2007) (DDKS) applied to US corporate defaults. They reject the conditional independence assumption but also observe that the test is a joint test of the specification of the default intensity of individual...

We revisit a test for conditional independence in intensity models of default proposed by Das, Duffie, Kapadia, Saita (2007) (DDKS). Based on a sample of US corporate defaults, they reject the conditional independence assumption but also observe that the test is a joint test of the specification...

We revisit a method used by Das, Duffie, Kapadia, and Saita (2007) (DDKS) to test the doubly stochastic assumption in intensity models of default. We show that using a different specification of the default intensity, and using the same test as DDKS, we cannot reject using an almost identical...

We revisit a method used by Das et al. (2007) (DDKS) who jointly test and reject a specification of firm default intensities and the doubly stochastic assumption in intensity models of default. The method relies on a time change result for counting processes. With an almost identical set of...