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15-029/III - Global Credit Risk: World, Country and Industry Factors

  • Authors
    Bernd Schwaab, European Central Bank, Financial Research, Germany; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands
  • Publication date
    February 26, 2015
  • Keywords
    systematic default risk, credit portfolio models, frailty-correlated defaults, international default risk cycles, state space methods
  • JEL
    G21, C33
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