Title:

The Multi-state Latent Factor Intensity Model for Credit Rating Transitions

Authors:

Jan Koopman (Tinbergen Inst, Free U Amsterdam)
André Lucas (Tinbergen Inst, Free U Amsterdam)
André Monteiro (Tinbergen Inst, Free U Amsterdam)

Journal:

Journal of Econometrics

Year:

2008

Volume:

142

Pages:

399-424

JEL codes:

C51 - Model Construction and Estimation
G24 - Investment Banking; Venture Capital; Brokerage; Rating Agencies