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AssetCorr  

Estimating Asset Correlations from Default Data
View on CRAN: Click here


Download and install AssetCorr package within the R console
Install from CRAN:
install.packages("AssetCorr")

Install from Github:
library("remotes")
install_github("cran/AssetCorr")

Install by package version:
library("remotes")
install_version("AssetCorr", "1.0.4")



Attach the package and use:
library("AssetCorr")
Maintained by
Maximilian Nagl
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-06-06
Latest Update: 2021-05-05
Description:
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) , the method of moments estimator of Lucas (1995) and a Binomial approximation extension of this approach. Moreover, the maximum likelihood estimators of Gordy and Heitfield (2010) and Duellmann and Gehde-Trapp (2004) are implemented. For inter-cohort correlations, the method of moments estimator of Bluhm and Overbeck (2003) /Bams et al. (2016) is provided and the maximum likelihood estimators comprise the approaches of Gordy and Heitfield (2010)/Kalkbrener and Onwunta (2010) 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) for auto-correlated time series.
How to cite:
Maximilian Nagl (2018). AssetCorr: Estimating Asset Correlations from Default Data. R package version 1.0.4, https://cran.r-project.org/web/packages/AssetCorr. Accessed 06 Nov. 2024.
Previous versions and publish date:
1.0.0 (2018-06-06 12:30), 1.0.1 (2018-06-22 13:41), 1.0.2 (2018-07-10 17:10), 1.0.3 (2018-08-30 09:57)
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