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Following the lead of Merton (1974), recent research has focused on the relationship of credit risk to …rm value. Although this has usually been done for a single …rm, the growth of structured …nance, which necessarily involves the correlation between included securities, has spurred interest in the connection between credit-default risk and the dependencies and cross-correlations arising in families of …rms. Previous work by Grune and Semmler (2005), focusing on a single …rm, has shown that …rm-value models, incorporating company-speci…c endogenous risk premia, imply that exposure to risk does impact asset value. In this paper, we extend

Firm value, diversified capital assets, and credit risk: towards a theory of default correlation