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AssetCorr - MaRDI portal

AssetCorr (Q126826)

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Estimating Asset Correlations from Default Data
Language Label Description Also known as
English
AssetCorr
Estimating Asset Correlations from Default Data

    Statements

    instance of
    R package
    0 references
    last update
    5 May 2021
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    software version identifier
    1.0.4
    publication date
    5 May 2021
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    author
    Maximilian Nagl
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    Yevhen Havrylenko
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    Marius Pfeuffer
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    Kevin Jakob
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    Matthias Fischer
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    Daniel Roesch
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    imports
    ggplot2
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    qpdf
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    VineCopula
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    mvtnorm
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    boot
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    numDeriv
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    mvQuad
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    Rdpack
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    knitr
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    CRAN project
    AssetCorr
    0 references
    programmed in
    R
    0 references
     
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