Discrete versus continuous state switching models for portfolio credit risk

Journal of Banking and Finance

Volumn 30, Issue 1, 2006, Pages 23-35

  Lucas, Andrë ^a,b   Klaassen, Pieter ^c  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

^c ABN AMRO Corporate Research   (Netherlands)

Author keywords

Credit risk; Factor models; Latent variable models; Regime switching

Indexed keywords

EID: 32144434022     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.11.007     Document Type: Article

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