{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,31]],"date-time":"2022-03-31T07:20:45Z","timestamp":1648711245818},"reference-count":17,"publisher":"Walter de Gruyter GmbH","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2010,1,1]]},"DOI":"10.2478\/v10143-010-0045-3","type":"journal-article","created":{"date-parts":[[2011,1,25]],"date-time":"2011-01-25T02:06:10Z","timestamp":1295921170000},"source":"Crossref","is-referenced-by-count":0,"title":["Joint Model of Corporate Default Intensities and Macroeconomic Dynamics"],"prefix":"10.2478","volume":"42","author":[{"given":"Maris","family":"Buikis","sequence":"first","affiliation":[]},{"given":"Tatjana","family":"Zidulina","sequence":"additional","affiliation":[]}],"member":"374","reference":[{"key":"1","article-title":"Risk Aversion and Risk Premia in the CDS market","author":"J. Amato","year":"2005","journal-title":"BIS Quarterly Review"},{"issue":"1","key":"2","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1111\/j.1538-4616.2009.00277.x","article-title":"New Keynesian Macroeconomics and the Term Structure","volume":"42","author":"G. Bekaert","year":"2010","journal-title":"Journal of Money, Credit and Banking, Blackwell Publishing"},{"key":"3","doi-asserted-by":"crossref","unstructured":"Berndt, A., Douglas, R., Duffie, D., Ferguson, M., Schranz, D.<\/b>, \"Measuring Default Risk Premia from Default Swap Rates and EDFs\", BIS Working Papers, No. 173, 2005. [Online]. Available: [4] http:\/\/www.bis.org\/publ\/work173.pdf<\/a>","DOI":"10.2139\/ssrn.556080"},{"issue":"8","key":"4","first-page":"635","article-title":"Multi-Period Corporate Default Prediction with Stochastic Covariates","volume":"83","author":"D. Duffie","year":"2007","journal-title":"Journal of Economics"},{"key":"5","doi-asserted-by":"crossref","unstructured":"Duffie D., Eckner, A., Horel, G., Saita, L.<\/b> \"Frailty Correlated Default\". Stanford University Working Paper, 2006. [Online]. Available:","DOI":"10.2139\/ssrn.1314771"},{"key":"6","unstructured":"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1314771<\/a>"},{"key":"7","doi-asserted-by":"crossref","first-page":"41","DOI":"10.2469\/faj.v57.n1.2418","article-title":"Risk and Valuation of Collateralized Debt Obligations","volume":"57","author":"D. Duffie","year":"2001","journal-title":"Financial Analysts Journal"},{"key":"8","unstructured":"Eckner A.<\/b>, \"Computational Techniques for basic Affine Models of Portfolio Credit Risk\". Stanford University Working Paper, 2007. [Online]. Available: http:\/\/www.eckner.com\/papers\/bAJD_comp.pdf<\/a>"},{"key":"9","unstructured":"Eckner A.<\/b>, \"Risk Premia in Structured Credit Derivatives\". Stanford University Working Paper, 2008. [Online]. Available: [11] http:\/\/www.eckner.com\/papers\/rpscd.pdf<\/a>"},{"key":"10","unstructured":"Giesecke, K., Goldberg, L. R.<\/b>, \"A top down Approach to Multi-Name Credit\". Working paper, 2005. [Online]. Available: [13] http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1142152<\/a>"},{"issue":"131","key":"11","doi-asserted-by":"crossref","first-page":"405","DOI":"10.1016\/j.jeconom.2005.01.012","article-title":"A joint econometric model of macroeconomic and term-structure dynamics","author":"P. Hoerdahl","year":"2006","journal-title":"Journal of Econometrics"},{"issue":"2","key":"12","doi-asserted-by":"crossref","first-page":"529","DOI":"10.1111\/j.1540-6261.2008.01330.x","article-title":"An Empirical Analysis of the Pricing of Collateralized Debt Obligations","volume":"63","author":"F. Longstaff","year":"2008","journal-title":"Journal of Finance"},{"key":"13","doi-asserted-by":"crossref","unstructured":"Mortensen A.<\/b>, 2006. Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models. Working Paper, 2006, pp. 08-26.","DOI":"10.3905\/jod.2006.635417"},{"key":"14","doi-asserted-by":"crossref","unstructured":"Rudebusch, G., Wu, T.<\/b>, \"A macro-finance model of the term structure, monetary policy, and the economy\". Federal Reserve Bank of San Francisco: Working Paper No. 2003-17.","DOI":"10.24148\/wp2003-17"},{"key":"15","unstructured":"Saita, L.<\/b>, The Puzzling Price of Corporate Default Risk. Stanford University Working Paper, 2006. [Abstract] Available: online [19] http:\/\/www2.lse.ac.uk\/fmg\/documents\/events\/\u2026\/513_LeandroSaita_JobMarket.pd<\/a>"},{"key":"16","doi-asserted-by":"crossref","first-page":"813","DOI":"10.1016\/S0014-2921(98)00096-8","article-title":"Solution and estimation of RE macromodels with optimal policy","volume":"43","author":"P. Soederlind","year":"1999","journal-title":"European Economic Review"},{"key":"17","unstructured":"Wu, T.<\/b>, \"Macro factors and the affine term structure of interest rates. Federal Reserve Bank of San Francisco\" Working paper 2002, pp. 02-06. [Online] Available: [22] http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=712241<\/a>"}],"container-title":["Scientific Journal of Riga Technical University. Computer Sciences"],"original-title":[],"link":[{"URL":"https:\/\/www.degruyter.com\/view\/j\/acss.2010.42.issue--1\/v10143-010-0045-3\/v10143-010-0045-3.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,5,30]],"date-time":"2020-05-30T16:14:01Z","timestamp":1590855241000},"score":1,"resource":{"primary":{"URL":"https:\/\/content.sciendo.com\/doi\/10.2478\/v10143-010-0045-3"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,1,1]]},"references-count":17,"journal-issue":{"issue":"1"},"URL":"https:\/\/doi.org\/10.2478\/v10143-010-0045-3","relation":{},"ISSN":["1407-7493"],"issn-type":[{"value":"1407-7493","type":"print"}],"subject":[],"published":{"date-parts":[[2010,1,1]]}}}