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03-075/2 - Discrete versus Continuous State Switching Models for Portfolio Credit Risk


  • Authors
    André Lucas, ECO/FIN, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Pieter Klaassen, ABN AMRO Bank NV, Amsterdam
  • Publication date
    September 29, 2003
  • Keywords
    credit risk; regime switching; latent variable models; factor models
  • JEL
    G21; C22; C53