NEWS R Documentation

News for Package AssetCorr

Changes in version 1.0.4 (2021-04-16)

Bug Fixes

• Changed soft Dependencies

Changes in version 1.0.3 (2018-08-29)

Bug Fixes

• Minor bug and performance fixes

Changes in version 1.0.2 (2018-07-08)

New Features

• New feature in <intraAMLE> I:
If confidence intervals based on Duellmann and Gehde-Trapp (2004) are selected, the confidence intervals are also constructed for the unconditional PD.

• New feature in <intraAMLE> II:
In addition to PD and intra correlation, also the asymptotic Value-at-Risk and Expected Shortfall is now calculated. Additionally confidence intervals for both risk measures are constructed via delta method.

• New feature in <interCopula>:
The asymptotic confidence intervals are now computed analytically instead of numerically via the <VineCopula> package.

Bug Fixes

• Minor bug fixes.

Changes in version 1.0.1 (2018-06-20)

New Features

• New function <interALL>:
Combines all available inter correlation functions to investigate the dependencies between default time series in detail. Examples can be found in the vignette.

• New function <analyze_AssetCorr>:
Combines all available intra and inter correlation functions to investigate the dependencies withing a portfolio in detail. Examples can be found in the vignette.

• New function <intraBeta>:
Estimating the intra correlation by matching Value-at-Risks, accoding to Botha and van Vuuren (2010)

• New function <intraMode>:
Estimating the intra correlation by matching the theoretical and empirical estimated mode, accoding to Botha and van Vuuren (2010)

Bug Fixes

• Bug fixes in bootstrap correction applications.

Other

• Reduction of package dependencies.