Estimation of inter-sector asset correlations

2021/11/30 by Meyer, Christian · 1 citation
#91G40 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.2111.15204

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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