| AssetCorr-package {AssetCorr} | R Documentation |
AssetCorr
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) <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.
Details
The DESCRIPTION file:
| Package: | AssetCorr |
| Type: | Package |
| Title: | Estimating Asset Correlations from Default Data |
| Version: | 1.0.4 |
| Date: | 2021-05-04 |
| 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@ur.de> |
| 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) <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. |
| License: | GPL-3 |
| Imports: | VineCopula, mvtnorm, boot, numDeriv, mvQuad, ggplot2, Rdpack,knitr,qpdf |
| Suggests: | markdown |
| VignetteBuilder: | knitr |
| RdMacros: | Rdpack |
Index of help topics:
AssetCorr-package AssetCorr
analyze_AssetCorr Function to evaluate several default time
series simultaneously
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
Author(s)
Maximilian Nagl [aut,cre],Yevhen Havrylenko [aut], Marius Pfeuffer [aut], Matthias Fischer [aut], Daniel Roesch [aut]
Maintainer: Maximilian Nagl <maximilian.nagl@ur.de>
References
De Servigny, A. and O. Renault: Default correlation: empirical evidence. Working Paper, Standard and Poor's: 90-94, 2003. Available at: https://www.semanticscholar.org/paper/Default-correlation%3A-empirical-evidence-Servigny-Renault/aae251436d0e3b489951c0d38463d71106755675. Accessed: 04.05.2020
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. Journal of Risk 22(4), 2020
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