Common Failings: How Corporate Defaults Are Correlated
检验了双重随机假设，即企业违约时间仅通过影响违约强度的因子相关性而关联。利用1979-2004年美国企业数据，发现该假设在存在传染或“脆弱性”时被违反，违约聚集程度超过模型预测。
ABSTRACT We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities. Using data on U.S. corporations from 1979 to 2004, this assumption is violated in the presence of contagion or “frailty” (unobservable explanatory variables that are correlated across firms). Our tests do not depend on the time‐series properties of default intensities. The data do not support the joint hypothesis of well‐specified default intensities and the doubly stochastic assumption. We find some evidence of default clustering exceeding that implied by the doubly stochastic model with the given intensities.