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~person:"Jarrow, Robert A."
~person:"Lucas, André"
~subject:"Risikomanagement"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Risikomanagement
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Jarrow, Robert A.
Lucas, André
Jacobs, Michael <Jr.>
10
Arora, Anju
7
Goodman, Laurie Sharon
7
Longstaff, Francis A.
7
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7
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6
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5
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5
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Kanas, Angelos
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Prorokowski, Lukasz
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Shahzad, Syed Jawad Hussain
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Welzel, Peter
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1
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ECONIS (ZBW)
11
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1
Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
The journal of fixed income
11
(
2001
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
Saved in:
2
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad
;
Lucas, André
- In:
Journal of forecasting
27
(
2008
)
7
,
pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
Saved in:
3
A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
4
,
pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
Saved in:
4
Distressed debt prices and recovery rate estimation
Guo, Xin
;
Jarrow, Robert A.
;
Lin, Haizhi
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
Saved in:
5
Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
Saved in:
6
Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
- In:
The review of economics and statistics
96
(
2014
)
5
,
pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
Saved in:
7
Credit cycles and macro fundamentals
Koopman, Siem Jan
;
Kräussl, Roman
;
Lucas, André
; …
- In:
Journal of empirical finance
16
(
2009
)
1
,
pp. 42-54
Persistent link: https://www.econbiz.de/10003800184
Saved in:
8
Empirical credit cycles and capital buffer formation
Koopman, Siem Jan
;
Lucas, André
;
Klaassen, Pieter
- In:
Journal of banking & finance
29
(
2005
)
12
,
pp. 3159-3179
Persistent link: https://www.econbiz.de/10003203860
Saved in:
9
Business and default cycles for credit risk
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of applied econometrics
20
(
2005
)
2
,
pp. 311-323
Persistent link: https://www.econbiz.de/10002729166
Saved in:
10
Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego
;
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of monetary economics
116
(
2020
),
pp. 283-297
Persistent link: https://www.econbiz.de/10012495181
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