André Lucas

VU University Amsterdam
FEWEB/FIN, office 1A-31
De Boelelaan 1105
NL-1081HV Amsterdam
Netherlands

• Erasmus Universiteit Rotterdam, Ph. D. (Econometrics) (1996)
• Prof. Lucas is focused on empirical and methodological research in asset pricing and risk management, including credit risk modeling.
• His research interests include (but are not limited to) credit risk, risk management, asset/liability management, and financial econometrics.

Web Pages
Official Home Page	André Lucas - VU Finance	Contact information, Research, CV, Software, Links.
	Andre Lucas	(Typically) Current & Past Affiliations, Education, Connections, etc.
Worldwide Directory of Finance Faculty	Andre Lucas VU University Amsterdam	Contact information, Link of Home page.

Publications: that are posted on DefaultRisk.com

Credit Modeling

The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
by Siem Jan Koopman of Vrije Universiteit Amsterdam,
André Lucas of Vrije Universiteit Amsterdam, and
André Monteiro of Vrije Universiteit Amsterdam
(1,094K PDF) -- 45 pages -- November 17, 2006

Modeling Portfolio Defaults Using Hidden Markov Models with Covariates
by Konrad Banachewicz of Vrije Universiteit,
Aad van der Vaart of Vrije Universiteit, and
André Lucas of Vrije Universiteit
(233K PDF) -- 24 pages -- October 28, 2006

Tail Behavior of Credit Loss Distributions for General Latent Factor Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(354K PDF) -- 24 pages -- November 8, 2002

Extreme Tails for Linear Portfolio Credit Risk Models
by André Lucas of the Tinbergen Institute Amsterdam,
Pieter Klaassen of Vrije Universiteit,
Peter Spreij of the University of Amsterdam, and
Stefan Straetmans of Maastricht University
(553K PDF) -- 19 pages -- May 28, 2002

Lucas, André, Pieter Klaassen, Peter Spreij, and Stefan Straetmans, "An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios", Journal of Banking & Finance, Vol. 25, No. 9, (September 2001), pp. 1635-1664.

Credit Correlation

Forecasting Cross-Sections of Frailty-Correlated Default
by Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute,
André Lucas of VU University Amsterdam & Tinbergen Institute, and
Bernd Schwaab of VU University Amsterdam & Tinbergen Institute
(813K PDF) -- 35 pages -- February 20, 2008

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk
by Robert J. Daniels of KPMG Mexico,
Siem Jan Koopman of Vrije Universiteit and Tingergen Institute Amsterdam, and
André Lucas of Tingergen Institute Amsterdam
(651K PDF) -- 32 pages -- January 31, 2005

Business and Default Cycles for Credit Risk
by Siem Jan Koopman of the Vrije Universiteit Amsterdam & the Tinbergen Institute, and
André Lucas of the Vrije Universiteit Amsterdam & the Tinbergen Institute
(250K PDF) -- 23 pages -- December 24, 2003

Other Credit

Jan Koopman, Siem, Roman Kräussl, André Lucas, and André Monteiro, "Credit Cycles and Macro Fundamentals", Journal of Empirical Finance, Vol. 16, No. 1, (January 2009), pp. 42-54.

Banachewicz, Konrad , André Lucas, "Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models", Journal of Forecasting, Vol. 27, No. 7, (July 2008), pp. 566-586.

Nonparametric Estimation for Non-homogeneous semi-Markov Processes: An application to credit risk
by André Lucas of Vrije Universiteit Amsterdam,
André Monteiro of Vrije Universiteit Amsterdam, and
Georgi Smirnov of the University of Porto
(608K PDF) -- 43 pages -- March 13, 2006

Book Chapters:

Bank Strategies and Challenges in the New Europe Editors Edward M. P. Gardener, Peter C. Versluijs, Palgrave Macmillan, (September 22, 2001), Hardcover, 327 pages

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