This package was removed from CRAN on 2025-11-22. Its history is shown below.

Reason: issues were not corrected in time

Details below reflect version 1.0.4, its last release before removal.

AssetCorr

1.0.4

Estimating Asset Correlations from Default Data

0packages depend

–downloads / year

–test coverage

–checks pass

Overview

About

Maintained by Maximilian Nagl5 releasesCRAN page ↗

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) https://jfi.pm-research.com/content/4/4/76 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://papers.ssrn.com/sol3/papers.cfm?abstract_id=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. (2020). 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.

Install

R (source archive)Ubuntu (r2u)openSUSE (OBS)

url <- "https://cran.r-project.org/src/contrib/Archive/AssetCorr/AssetCorr_1.0.4.tar.gz"
pkgFile <- "AssetCorr_1.0.4.tar.gz"
download.file(url, pkgFile)
install.packages(pkgFile, type = "source", repos = NULL)

This package is no longer on CRAN, so install.packages() cannot fetch it by name. This downloads the last archived source (1.0.4) and builds it locally. Install its dependencies first, and note that building from source needs the usual compiler toolchain.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-assetcorr

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-AssetCorr

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

CRAN check results are not tracked yet.

Documentation

Documentation signals are not tracked yet for this package.

Downloads

AssetCorr Releases R versions

Daily download trend is not available in this view yet.

Compare downloads with other packages →

Also on102 r2u51 autocran45 c2d4u

Dependencies

Declared dependencies

9 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (9)

VineCopula mvtnormbootnumDeriv mvQuad ggplot2 Rdpack knitr qpdf

LinkingTo (0)

none

Suggests (1)

markdown

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

–indirect (not tracked)

Nothing depends on this yet.

Code & Tests

People & History

People (6)

Maintainer (1)

Maximilian Nagl

Author, Maintainer

Authors (6)

Author, Maintainer

Author

Author

Author

Author

Author

Package Timeline

5 releases. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
archivedRemoved from CRAN
2025-11-22
issues were not corrected in time
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
1.0.4
2021-05-05 · diff ↗
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
1.0.3
2018-08-30 · diff ↗
1.0.2
2018-07-10 · diff ↗
1.0.1
2018-06-22 · diff ↗
1.0.0
2018-06-06
R
R 3.5.0 released · 2018-04-23

Package metadata

Total releases: 5
License: GPL-3 OSI
Download size: not tracked yet
Installed size: not tracked yet
With dependencies: not tracked yet

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