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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.
| Contact: | | Email address secured by Enkoder. | | Phone | +31 20 598 6039 | | Fax | +31 20 598 6020 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Modeling Aggregating Credit and Market Risk: The Impact of Model Specification
by André Lucas of VU University Amsterdam & Tinbergen Institute, and
Bastiaan Verhoef of Royal Bank of Scotland
(385K PDF) -- 33 pages -- May 29, 2012 Observation Driven Mixed-measurement Dynamic Factor Models with an Application to Credit Risk
by Drew Creal of the University of Chicago,
Bernd Schwaab of the European Central Bank,
Siem Jan Koopman of the VU University Amsterdam & Tinbergen Institute, Amsterdam, and
André Lucas of the European Central Bank & Tinbergen Institute, Amsterdam
(373K PDF) -- 21 pages -- February 11, 2011 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 Lucas, André, Pieter Klaassen, "Discrete versus Continuous State Switching Models for Portfolio Credit Risk", Journal of Banking & Finance, Vol. 30, No. 1, (January 2006), pp. 23-35. 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
(311K PDF) -- 14 pages -- October 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 Systemic Risk Diagnostics: Coincident indicators and early warning signals
by Bernd Schwaab of European Central Bank,
Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute, and
André Lucas of Tinbergen Institute & VU University Amsterdam
(570K PDF) -- 33 pages -- August 30, 2011 Macro, Industry and Frailty Effects in Defaults: The 2008 credit crisis in perspective
by Siem Jan Koopman of VU University Amsterdam & Tinbergen Institute,
André Lucas of VU University Amsterdam & Tinbergen Institute & Duisenberg school of finance, and
Bernd Schwaab Tinbergen Institute & Duisenberg school of finance
(788K PDF) -- 40 pages -- January 26, 2010 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 Supervisory Koopman, Siem Jan, André Lucas, and Pieter Klaassen, "Empirical Credit Cycles and Capital Buffer Formation", Journal of Banking & Finance, Vol. 29, No. 12, (December 2005), pp. 3159-3179. Sovereign Risk Conditional Probabilities for Euro area Sovereign Default Risk
by André Lucas of VU University Amsterdam & Duisenberg School of Finance,
Bernd Schwaab of European Central Bank, and
Xin Zhang of VU University Amsterdam & Tinbergen Institute
(256K PDF) -- 24 pages -- June 28, 2012 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:[Home] [Credit Researchers] [Top Ten Most Prolific] [Top Ten Most Popular]
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