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Figure 2 presents aggregate default fractions and disaggre-gated default data. We observe a considerable time variation inaggregate default fractions
Table 1. Parameter estimates (for the binomial series)
Figure 3. Frailty risk factor and industry-group dynamics. The first panel presents the estimated conditional mean of the frailty risk factor.
Figure 4. Estimated default signals. The left and right panels plot the time variation in default signals θand speculative grade, respectively
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