Correlation in ModelRisk

See also: ModelRisk functions, 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:

 

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