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