Discrete versus continuous state switching models for portfolio credit risk

A. Lucas, P. Klaassen

Research output: Working paperProfessional

120 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Publication statusPublished - 2003

Publication series

NameTI Discussion Paper
No.03-075/2

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