Search Results for "copula"

Copulas is a Python library for modeling multivariate distributions and sampling from them using copula functions. Given a table of numerical data, use Copulas to learn the distribution and generate new synthetic data following the same statistical properties. Choose from a variety of univariate distributions and copulas – including Archimedian Copulas, Gaussian Copulas and Vine Copulas. Compare real and synthetic data visually after building your model.

NAVAL-SEM is an award-winning, free and open-source offline Structural Equation Modeling (SEM) platform supporting PLS-SEM and CB-SEM workflows. Designed for researchers, PhD scholars, professors, and analysts, it provides visual model building, measurement assessment, structural model analysis, and reproducible research workflows without subscriptions or cloud dependency. Features include: • PLS-SEM & CB-SEM • Bootstrapping, mediation, moderation & conditional process analysis • HTMT,...

CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR) and Expected Shortfall (ES) statistics.

For an arbitrary-size colorant set, this tool will produce a list of Neugebauer primaries in Yates's order, compute the coefficient matrix to convert evaluations of the copula function to scalars, and write code to cache the copula evaluations and compute the scalars.

The purpose of the project is summarising effort from a number of analytic libraries, adding interactive web-based user interface and making a free open source solution for risk analytics and stress testing. Feb 8, 2012 Paul Glasserman's Importance Sampling and Tail Approximations as well as plain Monte Carlo have been implemented for for the widely used normal copula model of portfolio credit risk. The package includes source code, examples, spreadsheet with results and references to the papers.