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10-004/2 - Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective


  • Authors
    Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam; Bernd Schwaab, VU University Amsterdam
  • Publication date
    January 28, 2010
  • Keywords
    systematic default risk; credit portfolio models; mixed-measurement dynamic factor model; frailty-correlated defaults; state space methods; dynamic credit risk management
  • JEL
    G21, C33