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 / Preprint › Working paper › Professional

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Name	TI Discussion Paper
No.	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",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}