Metadata-Version: 2.1
Name: copul
Version: 0.0.2
Summary: Risk analysis with copulas.
Author-email: Marcus Rockel <marcus.rockel@finance.uni-freiburg.de>, Eva Lütkebohmert-Holtz <eva.luetkebohmert@finance.uni-freiburg.de>, Jonathan Ansari <jonathan.ansari@plus.ac.at>
Project-URL: Homepage, https://github.com/Corrram/copulas_in_systemic_risk
Classifier: Programming Language :: Python :: 3
Classifier: Operating System :: OS Independent
Requires-Python: >=3.7
Description-Content-Type: text/markdown
License-File: LICENSE
Requires-Dist: interval
Requires-Dist: matplotlib (>=3.6.0)
Requires-Dist: numpy (>=1.21.0)
Requires-Dist: pandas (>=1.4.4)
Requires-Dist: pillow (>=9.4.0)
Requires-Dist: scipy (>=1.8.0)
Requires-Dist: sympy
Requires-Dist: sympy-plot-backends (>=1.6.0)

# copulas_in_systemic_risk

## Copula properties
For any of the copula families below, e.g. `copula = copul.Galambos()`, get the following properties:
* Cumulative distribution function via copula.cdf
* Density function via copula.pdf

## Supported copula families:

### Archimedean Copulas
The 22 copula families from Nelsen, accessible via
`copul.archimedean.Nelsen1`, `copul.archimedean.Nelsen2`, etc.
Let `copula` be any instance of those classes, e.g. `copula = copul.archimedean.Nelsen1()`.

For these families, the following properties are available:
* generator function is available via e.g. `copula.generator`
* inverse generator function is available via e.g. `copula.inverse_generator`
* CI char function is available via e.g. `copula.ci_char`
* the MTP2 char function is available via e.g. `copula.mtp2_char`

### Extreme Value Copulas
* BB5
* Galambos
* Gumbel
* Husler-Reiss
* Joe
* Marshall-Olkin
* tEV
* tawn

Let `copula` be any instance of those classes, e.g. `copula = copul.extreme_value.Galambos()`.
Then, the Pickand function is available via e.g. `copula.pickand`.

### Other
* Farlie-Gumbell-Morgenstern
* Frechet
* Plackett

## Sample Usage
```
import copul

galambos = copul.Galambos()
params = galambos.sample_parameters(3)
galambos.plot_pickand(params)
```
