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Citations for "Credit cycles and macro fundamentals"

by Koopman, Siem Jan & Kräussl, Roman & Lucas, André

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  1. Konrad Banachewicz & André Lucas & Aad van der Vaart, 2008. "Modelling Portfolio Defaults Using Hidden Markov Models with Covariates," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 11(1), pages 155-171, 03.
  2. repec:syb:wpbsba:03/2013 is not listed on IDEAS
  3. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series, European Central Bank 1626, European Central Bank.
  4. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, Elsevier, vol. 21(1), pages 87-105.
  5. Adam Gersl & Petr Jakubik, 2010. "Procyclicality of the Financial System and Simulation of the Feedback Effect," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 110-119 Czech National Bank, Research Department.
  6. Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
  7. Ordoñez, Guillermo L., 2013. "Fragility of reputation and clustering of risk-taking," Theoretical Economics, Econometric Society, Econometric Society, vol. 8(3), September.
  8. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 399-424, January.
  9. Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
  10. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 13-328, KOF Swiss Economic Institute, ETH Zurich.
  11. Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche, CIRPEE 0929, CIRPEE.
  12. Konrad Banachewicz & Andr� Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute.
  13. Judith Eidenberger & Benjamin Neudorfer & Michael Sigmund & Ingrid Stein, 2013. "Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 62-81.
  14. Konrad Banachewicz & Andr� Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute.
  15. Anisa Caja & Frédéric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(1), pages 74-88, March.
  16. Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010. "Risk and expected returns of private equity investments: Evidence based on market prices," CFS Working Paper Series 2010/04, Center for Financial Studies (CFS).
  17. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2559-2568, October.
  18. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers, Bank of Finland 14/2010, Bank of Finland.
  19. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 214-222.
  20. Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, Elsevier, vol. 170(1), pages 191-209.
  21. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  22. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
  23. Konrad Banachewicz & Aad van der Vaart & Andr� Lucas, 2006. "Modeling Portfolio Defaults using Hidden Markov Models with Covariates," Tinbergen Institute Discussion Papers 06-094/2, Tinbergen Institute.
  24. Bezemer, Dirk J & Werner, Richard A, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 17456, University Library of Munich, Germany.
  25. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," CREA Discussion Paper Series 13-2, Center for Research in Economic Analysis, University of Luxembourg.
  26. Bezemer, Dirk J, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 15896, University Library of Munich, Germany.
  27. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 13-2, Luxembourg School of Finance, University of Luxembourg.
  28. Andr� A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers 08-021/2, Tinbergen Institute.
  29. Bruneau, C. & de Bandt, O. & El Amri, W., 2012. "Macroeconomic fluctuations and corporate financial fragility," Journal of Financial Stability, Elsevier, Elsevier, vol. 8(4), pages 219-235.
  30. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.