Gaussian and t-Copula Dependence Calculator

Model joint default or return distributions using Gaussian and t-copulas. Calibrate correlation matrix and degrees of freedom from historical default data or equity returns

Each component has a specific meaning:

• Gaussian — The gaussian recorded for the scenario being assessed.
• T-copulas — The t-copulas recorded for the scenario being assessed.

Note: Interpret the copula dependence result against the thresholds and context described above.

Enter the Gaussian, t-copulas for the scenario you are assessing. Model joint default or return distributions using Gaussian and t-copulas. Calibrate correlation matrix and degrees of freedom from historical default data or equity returns. Use the copula dependence result to inform your calculation.