merton.portfolio

Portfolio-level Merton tooling.

• Portfolio — container plus Monte Carlo and analytic engines.

• LossDistribution — VaR, ES, economic capital, contributions.

• VasicekFactor — Basel-IRB single-factor analytics.

• merton.portfolio.copulas — Gaussian and Student-t copulas.

Submodules

• merton.portfolio.concentration
• merton.portfolio.copulas
• merton.portfolio.correlation
• merton.portfolio.loss_distribution
• merton.portfolio.portfolio
• merton.portfolio.vasicek_factor