AssetCorr: Estimating Asset Correlations from Default Data
Functions for the estimation of intra- and inter-cohort correlations in the Vasicek credit portfolio model. For intra-cohort correlations, the package covers the two method of moments estimators of Gordy (2000) <doi:10.1016/S0378-4266(99)00054-0>, the method of moments estimator of Lucas (1995) <https://jfi.pm-research.com/content/4/4/76> and a Binomial approximation extension of this approach. Moreover, the maximum likelihood estimators of Gordy and Heitfield (2010) <http://elsa.berkeley.edu/~mcfadden/e242_f03/heitfield.pdf> and Duellmann and Gehde-Trapp (2004) <http://hdl.handle.net/10419/19729> are implemented. For inter-cohort correlations, the method of moments estimator of Bluhm and Overbeck (2003) <doi:10.1007/978-3-642-59365-9_2>/Bams et al. (2016) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2676595> is provided and the maximum likelihood estimators comprise the approaches of Gordy and Heitfield (2010)/Kalkbrener and Onwunta (2010) <ISBN: 978-1906348250> and Pfeuffer et al. (2020). Bootstrap and Jackknife procedures for bias correction are included as well as the method of moments estimator of Frei and Wunsch (2018) <doi:10.21314/JCR.2017.231> for auto-correlated time series.
| Version: |
1.0.4 |
| Imports: |
VineCopula, mvtnorm, boot, numDeriv, mvQuad, ggplot2, Rdpack, knitr, qpdf |
| Suggests: |
markdown |
| Published: |
2021-05-05 |
| DOI: |
10.32614/CRAN.package.AssetCorr |
| Author: |
Maximilian Nagl [aut,cre], Yevhen Havrylenko [aut], Marius Pfeuffer [aut], Kevin Jakob [aut], Matthias Fischer [aut], Daniel Roesch [aut] |
| Maintainer: |
Maximilian Nagl <maximilian.nagl at ur.de> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Materials: |
NEWS |
| In views: |
Finance |
| CRAN checks: |
AssetCorr results |
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