DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
研究了信用风险理论中可分散违约风险假设的含义，指出该假设将经验违约强度与鞅违约强度等价，从而简化信用风险定价和管理，并用Duffee（1999）的信用利差动态说明了其重要性。
Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity's diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk premia, which can be justified through exact and approximate notions of “diversifiable default risk.” The equivalence between the empirical and martingale default intensities that follows from diversifiable default risk greatly facilitates the pricing and management of credit risk. We emphasize that this is not an equivalence in distribution, and illustrate its importance using credit spread dynamics estimated in Duffee (1999) . We also argue that the assumption of diversifiability is implicitly used in certain existing models of mortgage‐backed securities.