IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Credit cycles and macro fundamentals"

by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. repec:luc:wpaper:13-2 is not listed on IDEAS
  2. Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
  3. Konrad Banachewicz & André Lucas, 2008. "Quantile forecasting for credit risk management using possibly misspecified hidden Markov models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 566-586.
  4. Eidenberger, Judith & Neudorfer, Benjamin & Sigmund, Michael & Stein, Ingrid, 2014. "What predicts financial (in)stability? A Bayesian approach," Discussion Papers 36/2014, Deutsche Bundesbank, Research Centre.
  5. Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche 0929, CIRPEE.
  6. 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), issue 26, pages 62-81.
  7. 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.
  8. 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).
  9. Bezemer, Dirk J, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 15896, University Library of Munich, Germany.
  10. Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
  11. Guillermo L. Ordoñez, 2009. "Fragility of reputation and clustering of risk-taking," Staff Report 431, Federal Reserve Bank of Minneapolis.
  12. repec:syb:wpbsba:03/2013 is not listed on IDEAS
  13. Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
  14. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
  15. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank, Research Department.
  16. Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 142(1), pages 399-424, January.
  17. Anisa Caja & Frédéric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, vol. 2(1), pages 74-88, March.
  18. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, June.
  19. Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
  20. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
  21. Adam Gersl & Petr Jakubik, 2010. "Procyclicality of the Financial System and Simulation of the Feedback Effect," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 110-119 Czech National Bank, Research Department.
  22. 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.
  23. Jones, Stewart & Johnstone, David & Wilson, Roy, 2015. "An empirical evaluation of the performance of binary classifiers in the prediction of credit ratings changes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 72-85.
  24. Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Banco de Espa�a Working Papers 1428, Banco de Espa�a.
  25. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," LSF Research Working Paper Series 13-2, Luxembourg School of Finance, University of Luxembourg.
  26. Konrad Banachewicz & André Lucas & Aad van der Vaart, 2008. "Modelling Portfolio Defaults Using Hidden Markov Models with Covariates," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 155-171, 03.
  27. 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, vol. 21(1), pages 87-105.
  28. Catherine Bruneau & Olivier De Bandt & W. Elamri, 2012. "Macroeconomic Fluctuations and Corporate financial Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666757, HAL.
  29. Bezemer, Dirk J & Werner, Richard A, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 17456, University Library of Munich, Germany.
  30. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
  31. Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 191-209.
  32. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.