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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

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

Discrete versus continuous state switching models for portfolio credit risk

Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 30 (2006) 1, pp. 23-35

Persistent link: https://www.econbiz.de/10003285592

Nowcasting and forecasting global financial sector stress and credit market dislocation

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International journal of forecasting 30 (2014) 3, pp. 741-758

Persistent link: https://www.econbiz.de/10010515585

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

Monetary conditions and banks' behaviour in the Czech Republic

Geršl, Adam; Jakubik, Petr; Kowalczyk, Dorota; Ongena, … - In: Open economies review 26 (2015) 3, pp. 407-445

Persistent link: https://www.econbiz.de/10011481398

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

Hazardous times for monetary policy : what do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?

Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 2, pp. 463-505

Persistent link: https://www.econbiz.de/10010404517

The real estate and credit bubble : evidence from Spain

Akin, Ozlem; García Montalvo, José; García Villar, Jaume - In: SERIEs : Journal of the Spanish Economic Association 5 (2014) 2/3, pp. 223-243

We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on … contract) and the lender identity, over the last credit boom and bust. We find that lending standards are softer in the boom …

Persistent link: https://www.econbiz.de/10010422334

Conditional Euro Area sovereign default risk

Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 271-284

Persistent link: https://www.econbiz.de/10010488563