Estimating Asset Correlations from Default Data

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Documentation for package ‘AssetCorr’ version 1.0.4

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

AssetCorr-package	AssetCorr
analyze_AssetCorr	Function to evaluate several default time series simultaneously
AssetCorr	AssetCorr
defaultTimeseries	Creating a hypothetical Default Time Series.
interALL	Function to use multiple estimators simultaneously
interCMM	Corrected Asymptotic Method of Moments Estimator of Frei and Wunsch (2018)
interCopula	Copula Based Maximum Likelihood Estimator
interCov	Covariance Matching Estimator
interJDP	Joint Default Probability Matching Estimator, De Servigny and Renault (2002)
interMLE	Binomial Maximum Likelihood Estimator
intraALL	Function to use multiple estimators simultaneously
intraAMLE	Asymptotic Maximum Likelihood Estimator
intraAMM	Asymptotic Method of Moments Estimator
intraBeta	Parametric Approach of Botha and van Vuuren (2010)- Beta Distribution
intraCMM	Corrected Asymptotic Method of Moments Estimator of Frei and Wunsch (2018)
intraFMM	Finite Sample Method of Moments Estimator
intraJDP1	Joint Default Probability Matching Estimator, Lucas (1995)
intraJDP2	Joint Default Probability Matching Estimator, De Servigny and Renault (2002)
intraMLE	Binomial Maximum Likelihood Estimator
intraMode	Parametric Approach of Botha and van Vuuren (2010)- Mode