Title: Backtesting Simple Asset Allocation Strategies
Description: Easy and quick testing of customizable asset allocation strategies.
Users can rely on their own data, or have the package automatically
download data from Yahoo Finance (<https://finance.yahoo.com/>). Several
pre-loaded portfolios with data are available, including some which are
Suggests: knitr, rmarkdown, testthat (>= 3.0.0)
Imports: PerformanceAnalytics, quantmod, xts, zoo

Imports: PerformanceAnalytics, quantmod, RiskPortfolios, xts, zoo,

Title: Estimating Asset Correlations from Default Data
Author: Maximilian Nagl [aut,cre], Yevhen Havrylenko [aut], Marius Pfeuffer [aut], Kevin Jakob [aut], Matthias Fischer [aut], Daniel Roesch [aut]
Description: Functions for the estimation of intra- and inter-cohort correlations in the Vasicek credit portfolio model. For intra-cohort correlations, the package covers the two method of moments estimators of Gordy (2000) <doi:10.1016/S0378-4266(99)00054-0>, the method of moments estimator of Lucas (1995) <doi:10.3905/jfi.1995.408124> and a Binomial approximation extension of this approach. Moreover, the maximum likelihood estimators of Gordy and Heitfield (2010) <http://elsa.berkeley.edu/~mcfadden/e242_f03/heitfield.pdf> and Duellmann and Gehde-Trapp (2004) <http://hdl.handle.net/10419/19729> are implemented. For inter-cohort correlations, the method of moments estimator of Bluhm and Overbeck (2003) <doi:10.1007/978-3-642-59365-9_2>/Bams et al. (2016) <https://ssrn.com/abstract=2676595> is provided and the maximum likelihood estimators comprise the approaches of Gordy and Heitfield (2010)/Kalkbrener and Onwunta (2010) <ISBN: 978-1906348250> and Pfeuffer et al. (2018). Bootstrap and Jackknife procedures for bias correction are included as well as the method of moments estimator of Frei and Wunsch (2018) <doi:10.21314/JCR.2017.231> for auto-correlated time series.
Imports: VineCopula, mvtnorm, bootstrap, stats4, boot, numDeriv,
mvQuad, ggplot2, methods, Rdpack, knitr,grid
Packaged: 2018-06-05 04:58:03 UTC; maximiliannagl