This algorithm is illustrated using multivariate probit (MVP) models and multivariate regression (MVR) models with a common correlation matrix across groups. Via both a simulation study and a real ...

Cleaning correlation matrices The determination of correlation matrices is typically affected by in-sample noise. Joël Bun, Jean-Philippe Bouchaud and Marc Potters propose a simple, yet optimal, ...

Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ ...

Positive correlation is a relationship between two variables in which both variables move in tandem.