Estimation of inter-sector asset correlations
Risk Management
2021-12-01 v1 Probability
Computational Finance
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.
Cite
@article{arxiv.2111.15204,
title = {Estimation of inter-sector asset correlations},
author = {Christian Meyer},
journal= {arXiv preprint arXiv:2111.15204},
year = {2021}
}
Comments
15 pages