Similar Search Results

Tail behavior of credit loss distributions

Lucas, André (contributor) - 1999

Persistent link: https://www.econbiz.de/10001450572

Tail behavior of credit loss distributions for general latent factor models

Lucas, André (contributor) - 2001

Persistent link: https://www.econbiz.de/10001554549

An analytic approach to credit risk of large corporate bond and loan portfolios

Lucas, André (contributor) - In: Journal of banking & finance 25 (2001) 9, pp. 1635-1664

Persistent link: https://www.econbiz.de/10001603572

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001792714

Discrete versus continuous state switching models for portfolio credit risk

Lucas, André; Klaassen, Pieter - 2003

Persistent link: https://www.econbiz.de/10001882976

Tail behaviour of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357

Persistent link: https://www.econbiz.de/10001864390

A non-Gaussian panel time series model for estimating and decomposing default risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005

Persistent link: https://www.econbiz.de/10002982977

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - In: Journal of applied econometrics 20 (2005) 2, pp. 311-323

Persistent link: https://www.econbiz.de/10002729166

COVID-19, Credit Risk and Macro Fundamentals

Dubinova, Anna; Lucas, André; Telg, Sean - 2021

We investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in...

Persistent link: https://www.econbiz.de/10013221187