Before revision:  Duffie, Kapadia and Saita The Journal of Finance, 2007{%%% DasDuffie2007 and Duffie, Eckner, Horel and Saita The Journal of Finance, 2009 duffieEHS2009 demonstrate the presence of frailty correlated default and the incapability of doubly stochastic assumption to capture default contagion or frailty (unobservable explanatory variables that are correlated across firms) .
After revision:  Duffie, Kapadia and Saita The Journal of Finance, 2007{%%% DasDuffie2007 and Duffie, Eckner, Horel and Saita The Journal of Finance, 2009 duffieEHS2009 .