Download a complete copy of this risk
analysis resource for free here.
|
See also: ModelRisk functions and windows, Copulas in ModelRisk, Vose Bivariate Copula, Vose Correlation Matrix
There are a number of tools included in ModelRisk for working with correlation.
The U-parameter is used together with copulas to construct correlation relationships between any desired univariate distributions within ModelRisk. See Copulas in ModelRisk for a more in-depth explanation.
Functions like VoseCorrMatrix and VoseKendallsTau allow the user to analyze correlation patterns within data sets.
Listed below are the functions and windows in ModelRisk related to correlation: