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

Journal of Economic Dynamics and Control

Volumn 34, Issue 11, 2010, Pages 2341-2357

  Duellmann, Klaus ^a   Küll, Jonathan ^b   Kunisch, Michael ^b  

^a DEUTSCHE BUNDESBANK   (Germany)

^b UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Asset correlation; Basel II; Single risk factor model; Small sample properties; Structural model

Indexed keywords

EID: 77957238175     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2010.06.003     Document Type: Article

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