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

DOI10.1016/j.jedc.2010.06.003zbMath1201.91225OpenAlexW2125262335MaRDI QIDQ609846

Klaus Duellmann, Jonathan Küll, Michael Kunisch

Publication date: 1 December 2010

Published in: Journal of Economic Dynamics \& 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) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Credit risk (91G40)

Related Items

Estimation of correlations in portfolio credit risk models based on noisy security prices ⋮ Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Comparison of stochastic correlation models

Cites Work

• The Pricing of Options and Corporate Liabilities
• Higher-order implicit strong numerical schemes for stochastic differential equations
• An Introduction to Credit Risk Modeling