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首页> 外文期刊>Journal of Economic Dynamics and Control >Estimating asset correlations from stock prices or default rates-Which method is superior?
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Estimating asset correlations from stock prices or default rates-Which method is superior?

机译：从股票价格或违约率估计资产相关性-哪种方法更好？

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This paper sets out to help explain why estimates of asset correlations based on equity prices tend to be considerably higher than estimates based on default rates. Resolving this empirical puzzle is highly important because, firstly, asset correlations are a key driver of credit risk and, secondly, both data sources are widely used to calibrate risk models of financial institutions. By means of a simulation study, we explore the hypothesis that differences in the correlation estimates are due to a substantial downward bias characteristic of estimates based on default rates. By varying the time horizon, the default probability, the asset correlation and the number of firms in the portfolio, we investigate these estimators in a systematic comparative study. Our results suggest that correlation estimates from equity returns are more efficient than those from default rates. This finding still holds if the model is misspecified such that asset correlations follow a Vasicek process which affects foremost the estimates from equity returns. The results lend support for the hypothesis that the downward bias of default-rate based estimates is an important although not the only factor to explain the differences in correlation estimates. Furthermore, our results help to quantify the estimation error of asset correlations dependent on the true values of default probability and asset correlation.
机译：本文旨在帮助解释为什么基于股票价格的资产相关性估计往往要比基于违约率的估计高得多。解决这一经验难题非常重要，因为，首先，资产关联是信用风险的主要驱动力，其次，两种数据源都广泛用于校准金融机构的风险模型。通过模拟研究，我们探索了这样一种假设，即相关估计中的差异是由于基于违约率的估计的实质性向下偏差特征所致。通过改变时间范围，违约概率，资产相关性和投资组合中的公司数量，我们在系统的比较研究中调查了这些估计量。我们的结果表明，来自股权收益的相关估计比基于违约率的相关估计更有效。如果模型的指定不正确，使得资产相关性遵循Vasicek流程，则该发现仍然成立。结果为以下假设提供了支持：基于违约率的估计的向下偏差是重要的，尽管不是解释相关估计差异的唯一因素。此外，我们的结果有助于根据违约概率和资产相关性的真实值来量化资产相关性的估计误差。

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