AssetCorr

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) 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.

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