The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis

A. Monteiro

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Original languageEnglish
QualificationPhD
Awarding Institution
  • Vrije Universiteit Amsterdam
Supervisors/Advisors
  • Lucas, André, Supervisor
Award date27 Oct 2008
Print ISBNs9789051709292
Publication statusPublished - 2008

Keywords

  • corporate credit ratings
  • credit and default cycles
  • credit risk
  • default intensity
  • econometric analysis
  • rating transition matrices

Cite this

@phdthesis{3a1121d2811a44bd907ac933e8cecf07,
title = "The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis",
keywords = "corporate credit ratings, credit and default cycles, credit risk, default intensity, econometric analysis, rating transition matrices",
author = "A. Monteiro",
year = "2008",
language = "English",
isbn = "9789051709292",
series = "Tinbergen Institute research series",
number = "435",
school = "Vrije Universiteit Amsterdam",

}

Monteiro, A 2008, 'The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis', PhD, Vrije Universiteit Amsterdam.

The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis. / Monteiro, A.

2008.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

TY - THES

T1 - The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis

AU - Monteiro, A.

PY - 2008

Y1 - 2008

KW - corporate credit ratings

KW - credit and default cycles

KW - credit risk

KW - default intensity

KW - econometric analysis

KW - rating transition matrices

M3 - PhD Thesis - Research VU, graduation VU

SN - 9789051709292

T3 - Tinbergen Institute research series

ER -

Monteiro A. The Dynamics of Corporate Credit Risk: An Intensity-based Econometric Analysis. 2008. (Tinbergen Institute research series; 435).