代码题库

Credit Portfolio MC Loss Distribution (Single-Factor Gaussian Copula)

Empirical Copula via Per-Column Uniform Rank Transform

Empirical Inverse-CDF Marginal Mapping (Copula Pipeline, Step Two)

Empirical Mean Excess Function for POT Threshold Selection

Empirical Upper-Tail-Dependence Coefficient from Bivariate Samples

Gaussian-Copula Correlated Samples via Cholesky Factorisation

GPD Tail-VaR Extrapolation under the POT Framework

Bivariate Gumbel-Copula CDF Closed-Form Evaluation

Hill Estimator for the Tail Index of a Heavy-Tailed Loss Distribution

Mahalanobis Distance via Cholesky Forward-Solve

Pareto Tail VaR via Hill-Estimator Extrapolation

Spearman Rho and Kendall Tau-b: Dual Rank-Correlation Diagnostic for the Copula Pipeline

Realized-Volatility Jump Test (Barndorff-Nielsen and Shephard)

Risk-Budget Allocation via Iterative Fixed-Point

Rolling-Window Variance Ratio Test (Lo-MacKinlay)

Spectral Risk Measure (Acerbi 2002)

t-Copula Correlated Samples via Cholesky and Chi-Square Scaling

Vasicek ASRF Capital Factor at Confidence Level Alpha (Basel IRB)