The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
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.
| Version: | 1.0.4 |
| Imports: | VineCopula, mvtnorm, boot, numDeriv, mvQuad, ggplot2, Rdpack, knitr, qpdf |
| Suggests: | markdown |
| Published: | 2021-05-05 |
| DOI: | 10.32614/CRAN.package.AssetCorr |
| 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 at ur.de> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | NEWS |
| In views: | Finance |
| CRAN checks: | AssetCorr results |
| Reference manual: | AssetCorr.pdf |
| Vignettes: |
An AssetCorr Guide |
| Package source: | AssetCorr_1.0.4.tar.gz |
| Windows binaries: | r-devel: AssetCorr_1.0.4.zip, r-release: AssetCorr_1.0.4.zip, r-oldrel: AssetCorr_1.0.4.zip |
| macOS binaries: | r-release (arm64): AssetCorr_1.0.4.tgz, r-oldrel (arm64): AssetCorr_1.0.4.tgz, r-release (x86_64): AssetCorr_1.0.4.tgz, r-oldrel (x86_64): AssetCorr_1.0.4.tgz |
| Old sources: | AssetCorr archive |
Please use the canonical form https://CRAN.R-project.org/package=AssetCorr to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.