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) <doi:10.3905/jfi.1995.408124> 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) <doi:10.1007/978-3-642-59365-9_2>/Bams et al. (2016) <> 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: 1.0.0
Imports: VineCopula, mvtnorm, bootstrap, stats4, boot, numDeriv, mvQuad, ggplot2, methods, Rdpack, knitr, grid
Published: 2018-06-06
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>
License: GPL-3
NeedsCompilation: no
Materials: NEWS
CRAN checks: AssetCorr results


Reference manual: AssetCorr.pdf
Vignettes: An AssetCorr Guide
Package source: AssetCorr_1.0.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: AssetCorr_1.0.0.tgz, r-oldrel: not available


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