03-062/2 - Business and Default Cycles for Credit Risk

  • Authors
    Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; André Lucas, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
  • Publication date
    July 29, 2003
  • Keywords
    credit cycles; business cycles; defaults; credit risk; procyclicality; multivariate unobserved component models.
  • JEL
    C19; G21.
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