Modeling frailty-correlated defaults using many macroeconomic covariates

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Financial Network Systemic Risk Contributions (2015, background): “…complement macroeconomic approaches taking a more aggregated view as, e.g., the literature on systemic risk indicators (e.g., Segoviano and Goodhart, 2009, Giesecke and Kim, 2011) or papers on early warning signals (e.g., Schwaab, Koopman, and Lucas, 2011, and Koopman, Lucas, and Schwaab, 2011).”