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06-094/2 - Modeling Portfolio Defaults using Hidden Markov Models with Covariates

  • Authors
    Konrad Banachewicz, Vrije Universiteit Amsterdam; Aad van der Vaart, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam
  • Publication date
    October 25, 2006
  • Keywords
    defaults; Markov switching; default regimes
  • JEL
    G33; G21; C22
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