Estimating Asset Correlations from Default Data
Function to evaluate several default time series simultaneously
AssetCorr
Creating a hypothetical Default Time Series.
Function to use multiple estimators simultaneously
Corrected Asymptotic Method of Moments Estimator of if(!exists(".Rdpac...
Copula Based Maximum Likelihood Estimator
Covariance Matching Estimator
Joint Default Probability Matching Estimator, De Servigny and Renault ...
Binomial Maximum Likelihood Estimator
Function to use multiple estimators simultaneously
Asymptotic Maximum Likelihood Estimator
Asymptotic Method of Moments Estimator
Parametric Approach of if(!exists(".Rdpack.currefs")) .Rdpack.currefs ...
Corrected Asymptotic Method of Moments Estimator of if(!exists(".Rdpac...
Finite Sample Method of Moments Estimator
Joint Default Probability Matching Estimator, Lucas (1995)
Joint Default Probability Matching Estimator, if(!exists(".Rdpack.curr...
Binomial Maximum Likelihood Estimator
Parametric Approach of if(!exists(".Rdpack.currefs")) .Rdpack.currefs ...
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.