Frailty Correlated Default
发现美国公司债组合的极端违约损失概率远高于标准假设下的估计，标准假设认为违约相关性仅来自可观测风险因素。基于1979-2004年美国非金融企业数据，即使控制最精确的可观测因素，仍存在共同潜在因子，导致传统方法低估损失。
ABSTRACT The probability of extreme default losses on portfolios of U.S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises only from exposure to observable risk factors. At the high confidence levels at which bank loan portfolio and collateralized debt obligation (CDO) default losses are typically measured for economic capital and rating purposes, conventionally based loss estimates are downward biased by a full order of magnitude on test portfolios. Our estimates are based on U.S. public nonfinancial firms between 1979 and 2004. We find strong evidence for the presence of common latent factors, even when controlling for observable factors that provide the most accurate available model of firm‐by‐firm default probabilities.