We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities. This assumption is violated in the presence of...

This paper exploits the endogenous default function framework of Das and Sundaram (2007) to develop an approach for modeling correlated default on binomial trees usually used for pricing equity options. We show how joint default contracts may be valued on these trees. The model accommodates...