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) <http://jfi.iijournals.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://ssrn.com/abstract=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. (2018). 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: 1.0.2
Imports: VineCopula, mvtnorm, boot, numDeriv, mvQuad, ggplot2, Rdpack
Suggests: knitr
Published: 2018-07-10
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
CRAN checks: AssetCorr results

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Reference manual: AssetCorr.pdf
Vignettes: An AssetCorr Guide
Package source: AssetCorr_1.0.2.tar.gz
Windows binaries: r-devel: AssetCorr_1.0.2.zip, r-release: AssetCorr_1.0.2.zip, r-oldrel: AssetCorr_1.0.2.zip
OS X binaries: r-release: AssetCorr_1.0.2.tgz, r-oldrel: AssetCorr_1.0.2.tgz
Old sources: AssetCorr archive

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