Similar Search Results

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

Persistent link: https://www.econbiz.de/10011531096

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

COVID-19, Credit Risk and Macro Fundamentals

Dubinova, Anna; Lucas, André; Telg, Sean - 2021

We investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in...

Persistent link: https://www.econbiz.de/10013221187

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

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

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

Persistent link: https://www.econbiz.de/10003300919

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

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

Persistent link: https://www.econbiz.de/10003446486

Modeling portfolio defaults using hidden Markov models with covariates

Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...

Persistent link: https://www.econbiz.de/10011349709

Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 32 (2017) 2, pp. 296-317

Persistent link: https://www.econbiz.de/10011689783