AssetCorr

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Estimating Asset Correlations from Default Data

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
• Systematic Risk in Homogeneous Credit Portfolios
• Moment estimators for autocorrelated time series and their application to default correlations

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