We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest many standard models as special cases. The loss...

This paper presents copula functions as a method to derive bivariate distributions. Copula functions allow for the construction of previously unknown bivariate distributions based on known marginals. This paper uses Weibull marginals to construct six bivariate Weibull distributions suitable for...

We propose and test a new algorithm for the numerical integration of the conditional total portfolio loss distribution over the market factor in the one-factor Gaussian copula model. It has higher precision than the popular numerical schemes which use the same or even higher number of sampling...

The skewed generalized t (SGT) displays an exceptional ability in modelling the tails of the empirical distributions of returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and expected shortfall measures, used by regulators,...