Narrow search
Showing 1 - 10 of 104
Cover Image
Aggregating credit and market risk : the impact of model specification
Lucas, André; Verhoef, Bastiaan - 2012
Persistent link: https://www.econbiz.de/10010191011
Cover Image
A non-Gaussian panel time series model for estimatingand decomposing default risk
Koopman, Siem Jan; Lucas, André; Daniels, Robert J. - 2005
Persistent link: https://www.econbiz.de/10003321902
Cover Image
Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - 2007
Persistent link: https://www.econbiz.de/10003482655
Cover Image
Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
Persistent link: https://www.econbiz.de/10003446486
Cover Image
Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010
Persistent link: https://www.econbiz.de/10003973286
Cover Image
Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2011
Persistent link: https://www.econbiz.de/10008907851
Cover Image
Hazardous times for monetary policy : what do twenty-three million bank loans say about the effects of monetary policy on credit risk?
Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - 2007
Persistent link: https://www.econbiz.de/10003674588
Cover Image
Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
Persistent link: https://www.econbiz.de/10003706012
Cover Image
Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
Persistent link: https://www.econbiz.de/10003300919
Cover Image
Non-parametric estimation for non-homogeneous Semi-Markov processes: an application to credit bank
Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006
Persistent link: https://www.econbiz.de/10003300926