Estimating asset correlations from stock prices or default rates -- which method is superior?

DOI10.1016/J.JEDC.2010.06.003MaRDI QIDQ609846zbMATH OpenOpenAlexFDO

Authors Klaus Duellmann, Jonathan Küll, Michael Kunisch

Publication date 1 December 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2010.06.003

zbMATH Keywords

small sample propertiesstructural modelBasel IIasset correlationsingle risk factor model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Credit risk (91G40)

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Cites work

• An Introduction to Credit Risk Modeling
• Higher-order implicit strong numerical schemes for stochastic differential equations
• The pricing of options and corporate liabilities

Cited in

(8)

• Empirical analysis of the average asset correlation for real estate investment trusts
• VaR-implied tail-correlation matrices
• Comparison of stochastic correlation models
• Nonparametric drift estimation from diffusions with correlated Brownian motions
• From equity to default correlation with taxes
• Confidence intervals for asset correlations in the asymptotic single risk factor model
• Estimation of correlations in portfolio credit risk models based on noisy security prices
• CORRELATION ESTIMATION IN HYBRID SYSTEMS

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