merton.portfolio.copulas.student_t

Student-t copula sampler.

Heavier-tailed than the Gaussian copula — induces tail dependence between defaults, which is what regulators worry about most in stress scenarios.

Classes

TCopula

Multivariate Student-t copula with degrees-of-freedom df.

Module Contents

class merton.portfolio.copulas.student_t.TCopula(correlation: float | merton._typing.FloatArray, n_firms: int | None = None, *, df: float = 4.0)

Multivariate Student-t copula with degrees-of-freedom df.

df

n

sample(n: int, *, rng: numpy.random.Generator | None = None) → merton._typing.FloatArray

Draw n samples; returns shape (n, n_firms).