Gurdip Bakshi, Dilip Madan, Frank Xiaoling Zhang, Investigating the Role of Systematic and Firm‐Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models, The Journal of Business, Vol. 79, No. 4 (July 2006), pp. 1955-1987
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Bakshi et al. (2006) studied this question.
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