Tail Behavior of Credit Loss Distributions for General Latent Factor Models

A. Lucas, P. Klaassen, P.J.C. Spreij, S.T.M. Straetmans

Research output: Working paper › Professional

Name	TI Discussion Paper
No.	01-023/2

Lucas, A., Klaassen, P., Spreij, P. J. C., & Straetmans, S. T. M. (2001). Tail Behavior of Credit Loss Distributions for General Latent Factor Models. (TI Discussion Paper; No. 01-023/2). Amsterdam: Tinbergen Institute.

Lucas, A. ; Klaassen, P. ; Spreij, P.J.C. ; Straetmans, S.T.M. / Tail Behavior of Credit Loss Distributions for General Latent Factor Models. Amsterdam : Tinbergen Institute, 2001. (TI Discussion Paper; 01-023/2).

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title = "Tail Behavior of Credit Loss Distributions for General Latent Factor Models",

author = "A. Lucas and P. Klaassen and P.J.C. Spreij and S.T.M. Straetmans",

year = "2001",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute",

number = "01-023/2",

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Lucas, A, Klaassen, P, Spreij, PJC & Straetmans, STM 2001 'Tail Behavior of Credit Loss Distributions for General Latent Factor Models' TI Discussion Paper, no. 01-023/2, Tinbergen Institute, Amsterdam.

Amsterdam : Tinbergen Institute, 2001. (TI Discussion Paper; No. 01-023/2).

Research output: Working paper › Professional

TY - UNPB

T1 - Tail Behavior of Credit Loss Distributions for General Latent Factor Models

AU - Lucas, A.

AU - Klaassen, P.

AU - Spreij, P.J.C.

AU - Straetmans, S.T.M.

PY - 2001

Y1 - 2001

M3 - Working paper

T3 - TI Discussion Paper

BT - Tail Behavior of Credit Loss Distributions for General Latent Factor Models

PB - Tinbergen Institute

CY - Amsterdam

ER -

Lucas A, Klaassen P, Spreij PJC, Straetmans STM. Tail Behavior of Credit Loss Distributions for General Latent Factor Models. Amsterdam: Tinbergen Institute. 2001. (TI Discussion Paper; 01-023/2).