Duffie is at the Graduate School of Business, Stanford University. Eckner and Horel are at Bank of America. Saita is at Barclays Capital. We are grateful for financial support from Moody's Corporation and Morgan Stanley; for data from Moody's and Ed Altman; for research assistance from Sabri Oncu and Vineet Bhagwat; for remarks from Torben Andersen, André Lucas, Richard Cantor, Stav Gaon, Tyler Shumway, Jun S. Liu, Xiao-Li Meng, and especially Michael Johannes; and for suggestions by a referee, an associate editor, and the editor, Campbell Harvey.
Frailty Correlated Default
Version of Record online: 28 SEP 2009
© 2009 the American Finance Association
The Journal of Finance
Volume 64, Issue 5, pages 2089–2123, October 2009
How to Cite
DUFFIE, D., ECKNER, A., HOREL, G. and SAITA, L. (2009), Frailty Correlated Default. The Journal of Finance, 64: 2089–2123. doi: 10.1111/j.1540-6261.2009.01495.x
- Issue online: 28 SEP 2009
- Version of Record online: 28 SEP 2009
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