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Düllmann et al., 2008 - Google Patents

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

Düllmann et al., 2008

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Document ID
6719400678708369686
Author
Düllmann K
Küll J
Kunisch M
Publication year

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This paper sets out to help explain why estimates of asset correlations based on equity prices tend to be considerably higher than estimates based on default rates. Resolving this empirical puzzle is highly important because, firstly, asset correlations are a key driver of …
Continue reading at papers.ssrn.com (PDF) (other versions)

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    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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    • G06Q10/00—Administration; Management
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    • G06—COMPUTING; CALCULATING; COUNTING
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    • G06Q30/00—Commerce, e.g. shopping or e-commerce
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