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

asset correlationBasel IIsingle risk factor modelsmall sample propertiesstructural model

Mathematics Subject Classification ID

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

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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

(12)

• Estimation of correlations in portfolio credit risk models based on noisy security prices
• VaR-implied tail-correlation matrices
• Comparison of stochastic correlation models
• Empirical analysis of the average asset correlation for real estate investment trusts
• From equity to default correlation with taxes
• Confidence intervals for asset correlations in the asymptotic single risk factor model
• Nonparametric drift estimation from diffusions with correlated Brownian motions
• CORRELATION ESTIMATION IN HYBRID SYSTEMS
• Nonparametric estimation from correlated copies of a drifted process
• On a computable Skorokhod's integral-based estimator of the drift parameter in fractional SDE
• The hidden risks of credit risk stress test parameterizations: spurious default probability projections unveiled
• LAMN property for drift inference in systems of stochastic differential equations with common noise

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