AssetCorr

MaRDI QIDQ126826CRANFDO

Authors Kevin Jakob, Maximilian Nagl, Matthias Fischer, Daniel Roesch, Yevhen Havrylenko, Marius Pfeuffer

Last update 5 May 2021

Copyright license GNU General Public License, version 3.0

Software version identifier 1.0.4

Cites work

• A comparative anatomy of credit risk models
• Moment estimators for autocorrelated time series and their application to default correlations
• Systematic Risk in Homogeneous Credit Portfolios

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