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Empirical credit cycles and capital buffer formation

, , and . Journal of Banking & Finance, 29 (12): 3159--3179 (December 2005)

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An analytic approach to credit risk of large corporate bond and loan portfolios, , , and . Journal of Banking & Finance, 25 (9): 1635--1664 (September 2001)Tail behaviour of credit loss distributions for general latent factor models, , , and . Applied Mathematical Finance, 10 (4): 337--357 (2003)Empirical credit cycles and capital buffer formation, , and . Journal of Banking & Finance, 29 (12): 3159--3179 (December 2005)Discrete versus continuous state switching models for portfolio credit risk, and . Journal of Banking & Finance, 30 (1): 23--35 (January 2006)