05-071/4 - The Multi-State Latent Factor Intensity Model for Credit Rating Transitions

  • Authors
    Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; André Lucas, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; André Monteiro, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
  • Publication date
    June 28, 2005
  • Keywords
    unobserved components; credit cycles; duration model; generator matrix; Monte Carlo likelihood
  • JEL
    C15; C33; C41; C43; G11; G21
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