Demey, Paul; Jouanin, Jean-Frédéric; Roget, Céline; … - 2007
Estimating asset correlations is difficult in practice since there is little available data and many parameters have to be found. Paul Demey, Jean-Frédéric Jouanin, Céline Roget and Thierry Roncalli present a tractable version of the multi-factor Merton model in which firms are sorted into...