Module factor 

Factor copulas module.

Factor copulas model dependence through latent common factors. They are particularly useful in high-dimensional settings where the dependence structure can be explained by a smaller number of factors.

Common Applications

• Portfolio credit risk modeling
• Multivariate financial modeling
• Dimension reduction in dependence modeling

Bibliography

• Oh, D. H., & Patton, A. J. (2017). Modeling dependence in high dimensions with factor copulas.
• Joe, H. (2014). Dependence Modeling with Copulas. CRC Press.

Structs

MultiFactorGaussianCopula

Multi-factor Gaussian copula.

OneFactorGaussianCopula

One-factor Gaussian copula.