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A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …
Persistent link: https://www.econbiz.de/10010362975
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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015
This paper investigates the dynamic properties of systematic default risk conditions for firms from different countries, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components in corporate defaults in a 41 country sample...
Persistent link: https://www.econbiz.de/10010484886
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A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions : An Empirical Study of Non-Standard Monetary Policy in the Euro Area
Mesters, Geert - 2014
model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …
Persistent link: https://www.econbiz.de/10013052226
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, Geert; Koopman, Siem Jan - 2012
Persistent link: https://www.econbiz.de/10009722706
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Systemic risk diagnostics
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10009640766
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Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time
Mesters, Geert; Koopman, Siem Jan - 2012
An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic … panel data model with unobserved random individual-specific and time-varying effects. We propose an estimation procedure … the cross-section and the time series dimensions. The estimation method facilitates the flexible modeling of large panels …
Persistent link: https://www.econbiz.de/10010326209
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of...
Persistent link: https://www.econbiz.de/10011374412
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Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts : The Credit Crisis of 2008
Koopman, Siem Jan - 2012
We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default-specific (frailty), and industry-specific effects. Discrete...
Persistent link: https://www.econbiz.de/10013102101
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The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - 2006
semi-Markov structure designed to accommodate many of the stylized facts of credit rating migrations. Parameter estimation … experiment is carried out to show the effectiveness of the estimation procedure. An empirical application is presented for …
Persistent link: https://www.econbiz.de/10011346452
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Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10011379607