Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Year of publication: |
2010-01-28
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Authors: | Koopman, Siem Jan ; Lucas, Andre ; Schwaab, Bernd |
Institutions: | Tinbergen Institute |
Subject: | systematic default risk | credit portfolio models | mixed-measurement dynamic factor model | frailty-correlated defaults | state space methods | dynamic credit risk management |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 10-004/2 |
Classification: | G21 - Banks; Other Depository Institutions; Mortgages ; C33 - Models with Panel Data |
Source: |
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Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan, (2010)
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Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan, (2010)
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Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
Koopman, Siem Jan, (2010)
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Schwaab, Bernd, (2010)
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Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Creal, Drew, (2011)
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Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
Zhang, Xin, (2011)
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