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...