The multi-state latent factor intensity model for credit rating transitions

S.J. Koopman, A. Lucas, A. Monteiro

Research output: Working paperProfessional

108 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages31
Publication statusPublished - 2005

Publication series

NameTI Discussion Paper
No.05/071-4

Cite this