The multi-state latent factor intensity model for credit rating transitions

S.J. Koopman, A. Lucas, A. Monteiro

Research output: Working paper / PreprintWorking paperProfessional

146 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages31
Publication statusPublished - 2005

Publication series

NameTI Discussion Paper
No.05/071-4

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