Discrete versus continuous state switching models for portfolio credit risk

A. Lucas, P. Klaassen

Research output: Working paperProfessional

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

Publication series

NameTI Discussion Paper
No.03-075/2

Cite this

Lucas, A., & Klaassen, P. (2003). Discrete versus continuous state switching models for portfolio credit risk. (TI Discussion Paper; No. 03-075/2). Amsterdam: Tinbergen Instituut (TI).
Lucas, A. ; Klaassen, P. / Discrete versus continuous state switching models for portfolio credit risk. Amsterdam : Tinbergen Instituut (TI), 2003. (TI Discussion Paper; 03-075/2).
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Lucas, A & Klaassen, P 2003 'Discrete versus continuous state switching models for portfolio credit risk' TI Discussion Paper, no. 03-075/2, Tinbergen Instituut (TI), Amsterdam.

Discrete versus continuous state switching models for portfolio credit risk. / Lucas, A.; Klaassen, P.

Amsterdam : Tinbergen Instituut (TI), 2003. (TI Discussion Paper; No. 03-075/2).

Research output: Working paperProfessional

TY - UNPB

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AU - Lucas, A.

AU - Klaassen, P.

PY - 2003

Y1 - 2003

M3 - Working paper

T3 - TI Discussion Paper

BT - Discrete versus continuous state switching models for portfolio credit risk

PB - Tinbergen Instituut (TI)

CY - Amsterdam

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Lucas A, Klaassen P. Discrete versus continuous state switching models for portfolio credit risk. Amsterdam: Tinbergen Instituut (TI). 2003. (TI Discussion Paper; 03-075/2).