| Name : R-AssetCorr
| |
| Version : 1.0.3
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.10.13
| Date : 2024-06-14 11:50:01
|
| Group : Development/Libraries/Other
| Source RPM : R-AssetCorr-1.0.3-lp153.10.13.src.rpm
|
| Size : 1.27 MB
| |
| Packager : (none)
| |
| Summary : Estimating Asset Correlations from Default Data
|
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) < 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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
