Estimating default and asset correlation with method of moments and maximum likelihood method
In this Python notebook, we reproduce the numerical results of chapter 6 "Modelling and Estimating Default Correlation with the Asset Value Approach" in Credit Risk Modeling using Excel and VBA, by Gunter Loffler and Peter Posch
https://www.wiley.com/en-gb/Credit+Risk+Modeling+using+Excel+and+VBA%2C+2nd+Edition-p-9780470660928.
Remarkably, the authors carried out the original work in excel! It is so much easier to implement the same algos in python. However, as the algos are numerically involved, we are not surprised to find our implementation also slow.