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.
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Maximilian Nagl [aut,cre],Yevhen Havrylenko [aut], Marius Pfeuffer [aut], Matthias Fischer [aut], Daniel Roesch [aut]
Maintainer: Maximilian Nagl <firstname.lastname@example.org>
De Servigny, A. and O. Renault: Default correlation: empirical evidence. Working Paper, Standard and Poor's: 90-94, 2003. Available at: http://www.greta.it/credit/credit2003/Speaker/DeServigny_Renault.pdf. Accessed: 01.06.2018
Duellmann, K. and M. Gehde-Trapp: Systematic risk in recovery rates: an empirical analysis of US corporate credit exposures. Bundesbank Series 2, Discussion Paper (2): 2004. Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2793954. Accessed: 01.05.2018
Duellmann, K., J. Kuell and M. Kunisch: Estimating asset correlations from stock prices or default rates- Which method is superior? Journal of Economic Dynamics and Control 34(11): 2341-2357, 2010
Efron, B. and R. J. Tibshirani: An introduction to the bootstrap. CRC press, 1994
Pfeuffer, M., M. Nagl, M. Fischer and D. Roesch: Parameter Estimation and Bias Correction in the Vasicek Credit Portfolio Model. (In Preparation), 2018
Frei, C. and M. Wunsch: Moment Estimators for Autocorrelated Time Series and their Application to Default Correlations. Journal of Credit Risk 14: 1-29, 2018
Gordy, M. B.: A comparative anatomy of credit risk models. Journal of Banking & Finance 24(1): 119-149, 2000
Gordy, M. B. and E. Heitfield: Small-sample estimation of models of portfolio credit risk. In Recent Advances in Financial Engineering: Proceedings of the KIER-TMU International Workshop on Financial Engineering, 2009: Otemachi, Sankei Plaza, Tokyo, 3-4 August 2009: 43-63, World Scientific, 2010
Hoese, S. and S. Huschens: Confidence intervals for asset correlations in the asymptotic single risk factor model. In Operations Research Proceedings 2010: 111-116, 2010
Kalkbrener, M. and A. Onwunta: Validating structural credit portfolio models. Model risk-identification, measurement and management. Risk Books, London: 233-261, 2010
Loeffler, G. The effects of estimation error on measures of portfolio credit risk. Journal of Banking & Finance 27(8): 1427-1453, 2003
Lucas, D. J.: Default correlation and credit analysis. The Journal of Fixed Income 4(4): 76-87, 1995
Meyer, C.: Estimation of intra-sector asset correlations. The Journal of Risk Model Validation 3(3): 47-79, 2009
Vasicek, O. A: The distribution of loan portfolio value. Risk 15(12): 160-162, 2002
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