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Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model

Nagl, Maximilian ; Pfeuffer, Marius ; Fischer, Matthias ; Rösch, Daniel



Abstract

This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, we analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort correlations. Second, we introduce a novel copula-based maximum likelihood estimator for inter-cohort correlations and derive an analytical expression of the ...

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