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The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
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- Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
- Luc, BAUWENS & Nikolaus, HAUTSCH, 2006.
"Modelling Financial High Frequency Data Using Point Processes,"
Discussion Papers (ECON - Département des Sciences Economiques)
2006039, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2009. "Modelling financial high frequency data using point processes," LIDAM Reprints CORE 2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Hautsch, Nikolaus, 2007. "Modelling financial high frequency data using point processes," SFB 649 Discussion Papers 2007-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
- Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.
- Weißbach, Rafael & Walter, Ronja, 2010. "A likelihood ratio test for stationarity of rating transitions," Journal of Econometrics, Elsevier, vol. 155(2), pages 188-194, April.
- Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017.
"Global Credit Risk: World, Country and Industry Factors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
- Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "Global credit risk: world country and industry factors," Working Paper Series 1922, European Central Bank.
- Takeaki Kariya & Yoko Tanokura & Hideyuki Takada & Yoshiro Yamamura, 2016. "Measuring Credit Risk of Individual Corporate Bonds in US Energy Sector," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(3), pages 229-262, September.
- Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
- Wang, Fa, 2017. "Maximum likelihood estimation and inference for high dimensional nonlinear factor models with application to factor-augmented regressions," MPRA Paper 93484, University Library of Munich, Germany, revised 19 May 2019.
- Bátiz-Zuk Enrique & Mohamed Abdulkadir & Sánchez-Cajal Fátima, 2021. "Exploring the sources of loan default clustering using survival analysis with frailty," Working Papers 2021-14, Banco de México.
- Deniz Erer, 2023. "The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(38), pages 105-126, June.
- Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
- Correa, Arnildo & Marins, Jaqueline & Neves, Myrian & da Silva, Antonio Carlos, 2014.
"Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(3), September.
- Arnildo da Silva Correa & Jaqueline Terra Moura Marins & Myrian Beatriz Eiras das Neves & Antonio Carlos Magalhães da Silva, 2011. "Credit Default and Business Cycles: an empirical investigation of Brazilian retail loans," Working Papers Series 260, Central Bank of Brazil, Research Department.
- Arnildo Da Silva Correa & Jaqueline Terra Moura Marins & Myrian Beatriz Eiras Das Neves & Antonio Carlos Magalhes Da Silva, 2014. "Credit Default And Business Cycles: Anempirical Investigation Of Brazilian Retail Loans," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 028, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Areski Cousin & J'er^ome Lelong & Tom Picard, 2021. "Rating transitions forecasting: a filtering approach," Papers 2109.10567, arXiv.org, revised Jun 2023.
- Kabuche, Doreen & Sherris, Michael & Villegas, Andrés M. & Ziveyi, Jonathan, 2024. "Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 165-188.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014.
"Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"
The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
- 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.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
- Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
- Fuertes, Ana-Maria & Kalotychou, Elena, 2007.
"On sovereign credit migration: A study of alternative estimators and rating dynamics,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3448-3469, April.
- Elena Kalotychou & Ana-Maria Fuertes, 2006. "On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics," Computing in Economics and Finance 2006 509, Society for Computational Economics.
- Areski Cousin & Mohamed Reda Kheliouen, 2016. "A comparative study on the estimation of factor migration models," Working Papers halshs-01351926, HAL.
- Gagliardini, Patrick & Gourieroux, Christian, 2014.
"Efficiency In Large Dynamic Panel Models With Common Factors,"
Econometric Theory, Cambridge University Press, vol. 30(5), pages 961-1020, October.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2009. "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series 09-12, Swiss Finance Institute.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
- Haipeng Xing & Yang Yu, 2018. "Firm’s Credit Risk in the Presence of Market Structural Breaks," Risks, MDPI, vol. 6(4), pages 1-16, December.
- Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
- Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B., 2009.
"Credit cycles and macro fundamentals,"
Journal of Empirical Finance, Elsevier, vol. 16(1), pages 42-54, January.
- Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro, 2006. "Credit Cycles and Macro Fundamentals," Tinbergen Institute Discussion Papers 06-023/2, Tinbergen Institute.
- Koopman, Siem Jan & Kräussl, Roman & Lucas, André, 2006. "Credit cycles and macro fundamentals," CFS Working Paper Series 2006/33, Center for Financial Studies (CFS).
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2014. "Nowcasting and forecasting global financial sector stress and credit market dislocation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 741-758.
- Giesecke, Kay & Schwenkler, Gustavo, 2018. "Filtered likelihood for point processes," Journal of Econometrics, Elsevier, vol. 204(1), pages 33-53.
- Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
- István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017.
"Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 1003-1026, August.
- István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014. "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 14-118/III, Tinbergen Institute, revised 31 Mar 2016.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
- Hautsch, Nikolaus, 2008.
"Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
- Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series 2007/25, Center for Financial Studies (CFS).
- Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," SFB 649 Discussion Papers 2007-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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.
- Matthies, Alexander B., 2013. "Empirical research on corporate credit-ratings: A literature review," SFB 649 Discussion Papers 2013-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2013-003 is not listed on IDEAS
- Broto, Carmen & Molina, Luis, 2016.
"Sovereign ratings and their asymmetric response to fundamentals,"
Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
- Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Working Papers 1428, Banco de España.
- Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
- Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
- André A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers 08-021/2, Tinbergen Institute.
- Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015. "Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications," MPRA Paper 62807, University Library of Munich, Germany.
- Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Rating transitions forecasting: a filtering approach," Post-Print hal-03347521, HAL.
- Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," IJFS, MDPI, vol. 2(1), pages 1-22, March.
- Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Migration Analysis; Conditioning Transition Matrices on the Stage of the Business Cycle," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(2), pages 151-166, May.
- Drew Creal & Siem Jan Koopman & André Lucas, 2008.
"A General Framework for Observation Driven Time-Varying Parameter Models,"
Tinbergen Institute Discussion Papers
08-108/4, Tinbergen Institute.
- Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University.
- Xavier Hollandts & Daniela Borodak & Ariane Tichit, 2018.
"La dynamique de changement des formes de gouvernance : le cas français (2000-2014),"
Revue Finance Contrôle Stratégie, revues.org, vol. 21(3), pages 129-158, December.
- Xavier Hollandts & Daniela Borodak & Ariane Tichit, 2018. "La dynamique de changement des formes de gouvernance : le cas français (2000-2014)," Post-Print hal-02022915, HAL.
- Hidetoshi Nakagawa & Hideyuki Takada, 2014. "Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 1-31.
- Cuadros-Solas, Pedro Jesús & Salvador Muñoz, Carlos, 2022. "Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC," Research in International Business and Finance, Elsevier, vol. 59(C).
- Xiaoqi Zhang & Yi Chen & Yi Yao, 2021. "Dynamic information asymmetry in micro health insurance: implications for sustainability," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(3), pages 468-507, July.
- Sigrist, Fabio & Hirnschall, Christoph, 2019. "Grabit: Gradient tree-boosted Tobit models for default prediction," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 177-192.
- Andre Monteiro & Georgi V. Smirnov & Andre Lucas, 2006. "Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk," Tinbergen Institute Discussion Papers 06-024/2, Tinbergen Institute, revised 27 Mar 2006.
- Zhang, Xuan & Kim, Minjoo & Yan, Cheng & Zhao, Yang, 2024. "Default dependence in the insurance and banking sectors: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- 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.
- Areski Cousin & Jérôme Lelong & Tom Picard, 2022. "Rating transitions forecasting: a filtering approach," Working Papers hal-03347521, HAL.
- Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
- Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
- Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
- Marius Pfeuffer & Goncalo dos Reis & Greig smith, 2018. "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations," Papers 1809.09889, arXiv.org, revised Feb 2020.
- 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.
- Jian He & Asma Khedher & Peter Spreij, 2024. "Calibration of the rating transition model for high and low default portfolios," Papers 2405.00576, arXiv.org.
- Chew Lian Chua & Robert Dixon & G. C. Lim, 2007. "What Drives Worker Flows?," Melbourne Institute Working Paper Series wp2007n34, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Samuel N. Cohen & Robert J. Elliott, 2013. "Filters and smoothers for self-exciting Markov modulated counting processes," Papers 1311.6257, arXiv.org.
- Jeffrey R. Stokes, 2023. "A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 855-878, October.
- Nguyen, Ha, 2023. "An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 103-121.
- Ouyang, Ruolan & Zhang, Xuan, 2020. "Financialization of agricultural commodities: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 381-389.
- Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Wang, Fa, 2022. "Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions," Journal of Econometrics, Elsevier, vol. 229(1), pages 180-200.
- repec:fgv:epgrbe:v:68:n:3:a:3 is not listed on IDEAS
- Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
- Elkamhi, Redouane & Nozawa, Yoshio, 2022. "Fire-sale risk in the leveraged loan market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1120-1147.
- Ji, Guseon & Dai, Bingcun & Park, Sung-Pil & Ahn, Kwangwon, 2020. "The origin of collective phenomena in firm sizes," Chaos, Solitons & Fractals, Elsevier, vol. 136(C).