Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
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- Siem Jan Koopman & AndrÃ© Lucas & Bernd Schwaab, 2012. "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, pages 521-532.
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More about this item
Keywordscredit portfolio models; Default risk; financial crisis; frailty-correlated defaults; state space methods;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-16 (All new papers)
- NEP-BAN-2012-09-16 (Banking)
- NEP-ECM-2012-09-16 (Econometrics)
- NEP-RMG-2012-09-16 (Risk Management)
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