We revisit a method used by Das et al. (2007) (DDKS) who jointly test and reject a specification of firm default intensities and the doubly stochastic assumption in intensity models of default. The method relies on a time change result for counting processes. With an almost identical set of...

We revisit a test for conditional independence in intensity models of default proposed by Das, Duffie, Kapadia, Saita (2007) (DDKS). Based on a sample of US corporate defaults, they reject the conditional independence assumption but also observe that the test is a joint test of the specification...

We revisit a method used by Das, Duffie, Kapadia, and Saita (2007) (DDKS) to test the doubly stochastic assumption in intensity models of default. We show that using a different specification of the default intensity, and using the same test as DDKS, we cannot reject using an almost identical...

We revisit a test for conditional independence proposed by Das, Duffie, Kapadia, Saita (2007) (DDKS) applied to US corporate defaults. They reject the conditional independence assumption but also observe that the test is a joint test of the specification of the default intensity of individual...

We present a new estimation approach that allows us to extract from spreads in synthetic credit markets the contribution of systematic and idiosyncratic default risk to total default risk. Using an extensive dataset of 90,600 credit default swap and collateralized debt obligation (CDO) tranche...