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Estimation of inter-sector asset correlations

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  • Christian Meyer

Abstract

Asset correlations are an intuitive and therefore popular way to incorporate event dependence into event risk, e.g., default risk, modeling. In this paper we study the case of estimation of inter-sector asset correlations by separation of cross-sectional dimension and time dimension.

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  • Christian Meyer, 2021. "Estimation of inter-sector asset correlations," Papers 2111.15204, arXiv.org.
    • Handle: RePEc:arx:papers:2111.15204
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    References listed on IDEAS

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    1. Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496.
    2. Christian Meyer, 2021. "Model Risk in Credit Portfolio Models," Papers 2111.14631, arXiv.org.
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