Standard credit risk models rely on a doubly stochastic structure. Conditional on the evolution of common factors, defaults are independent. Recent tests have cast doubt on the empirical validity of this assumption. We modify their estimation approach in two ways. First, we model intra-month patterns in observed defaults. Second, we estimate default intensities on an out-of-sample basis, which brings our estimates closer to the ones that financial institutions would have used when implementing the approach in the past. Once intensity estimation is modified in these ways the validity of the doubly stochastic assumption is no longer rejected.