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Empirical Evidence of Frailty

Darrell Duffie

in Measuring Corporate Default Risk

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199279234
eISBN:
9780191728419
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199279234.003.0007
Subject:
Economics and Finance, Financial Economics

This chapter provides strong evidence of missing common or correlated default risk factors, some of which may not even have been contemporaneously available. Based on this idea, it provides estimates ... More


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