intraALL {AssetCorr}R Documentation

Function to use multiple estimators simultaneously


To give a first insight of the default time series, this function combines multiple estimator functions and visualize the results.


intraALL(d,n, B=NA, DB=NA, JC=FALSE, CI_Boot=NA, Adjust=0.0001, plot=FALSE, 
type="bca", Quantile=0.999, Estimator=c("AMM","FMM","CMM","JDP1","JDP2",



a vector, containing the default time series of the sector.


a vector, containing the number of obligors at the beginning of the period in the sector.


an integer, indicating how many bootstrap repetitions should be used for the single bootstrap corrected estimate.


a combined vector, indicating how many bootstrap repetitions should be used for the inner (first entry) and outer loop (second entry) to correct the bias using the double bootstrap.


a logical variable, indicating if the jackknife corrected estimate should be calculated.


a number, indicating the desired confidence interval if the single bootstrap correction is specified. By default, the interval is calculated as the bootstrap corrected and accelerated confidence interval (Bca). Furthermore, the analytical confidence intervals are provided, using the same value as CI_Boot.


a number, which should be added to a observed default rate of 0 or subtracted form a observed default rate of 1 (only for the AMLE).


a logical variable, indicating whether a plot of the default time series and the estimates should be generated using the multiplot function of Teetor (2011).


a string, indicating the desired method to calculate the bootstrap confidence intervals. For more details see Studendized confidence intervals are not supported.


a number, indicating the desired confidence level of the Value-at-Risk (only for the intraBeta).


a combined string, indicating which estimators should be used. All estimators are set as default.


a logical variable, indicating whether a progress bar should be displayed.


To give an first insight, the function provides an overview of the default time series and estimates using different estimators simultaneously. If DB is specified, the single bootstrap corrected estimate will be calculated by using the bootstrap values of the outer loop.


The returned value is a data frame, containing the following columns:


Name of the applied estimator


Value of the calculated estimate


String, which indicating corrected/non-corrected estimates


Name of the correction method


Number of single bootstrap repetitions


Number of the double bootstrap repetitions


Selected two-sided bootstrap confidence interval


A string, indicating if the corresponding value is the upper or lower bound


Kevin Jakob


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Efron B, Tibshirani RJ (1994). An introduction to the bootstrap. CRC press.

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Gordy MB, Heitfield E (2010). “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.

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Lucas DJ (1995). “Default correlation and credit analysis.” The Journal of Fixed Income, 4(4), 76–87.

Meyer C (2009). “Estimation of intra-sector asset correlations.” The Journal of Risk Model Validation, 3(3), 47–79.

Teetor P (2011). R Cookbook: Proven recipes for data analysis, statistics, and graphics. O'Reilly Media, Inc.

See Also

intraAMM, intraFMM, intraJDP2, intraMLE, intraJDP1, intraCMM, intraMode,intraBeta



#Point Estimate of all available estimators:
intraALL(d,n,Adjust=0.001, plot=TRUE)

#Bootstrap corrected estimates of all available estimators:
IntraCorr=intraALL(d,n, Adjust=0.001, B=500, CI_Boot=0.95 , plot=TRUE, show_progress=TRUE)

#Select some estimators
IntraCorr=intraALL(d,n,B=500,  CI_Boot=0.95, Adjust=0.001 ,Estimator=c("AMM","FMM"), plot=TRUE)

#Jackknife correction
IntraCorr=intraALL(d,n, JC=TRUE,Adjust=0.001, plot=TRUE)

#Double Bootstrap correction with 10 repetitions in the inner loop and 50 in the outer loop
IntraCorr=intraALL(d,n, DB=c(10,50),Adjust=0.001, plot=TRUE)

[Package AssetCorr version 1.0.4 Index]