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