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05-060/4 - A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default 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; Robert Daniels, De Nederlandsche Bank, Amsterdam
  • Publication date
    June 13, 2005
  • Keywords
    credit risk; multivariate unobserved component models; importance sampling; non-Gaussian state space models
  • JEL
    C15; C32; G21
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