copula_* tool: Kendall’s tau, Spearman, Blomqvist, Hoeffding and Chatterjee dependence matrices; tail dependence between every pair; bivariate copulas of every family (Gaussian, Student, Clayton, Gumbel, Frank, Joe, BB1, BB6, BB7, BB8, Tawn and nonparametric) with rotations, fitted or selected by AIC, BIC or mBIC; R-, C- and D-vine copulas with truncation and thresholds, Rosenblatt transforms and conditional simulation; kernel and parametric margins and joint distributions on the return scale; vine quantile regression; and copula-based portfolio VaR, expected shortfall and stress scenarios by simulation. It runs on Fincept’s servers; your agent sends numbers or data references and gets back a result envelope with tables and charts.
Fincept Copula tools are free. They count toward the rate limit only; a
$fincept reference inside a call is charged like a direct call to that tool.Modules
Tools are grouped in modules. Each module is a toolset namedcopula_<module>, so you can list it or search within it. The Fincept Copula reference lists every module and tool.
copula_catalog returns the live list of modules and tools from inside your agent.
Inputs
Limits
A computation that runs past its time limit answers
timeout; a busy engine answers busy and the call can be retried a few seconds later.
Outputs
Dependence tools return matrices with heatmaps and the most dependent pairs. Fit tools return each family, rotation and parameters with standard errors, Kendall’s tau, tail dependence and information criteria, and the reusabledata.copula or data.model. copula_portfolio_var returns VaR and expected shortfall per confidence as a fraction and in currency, each asset’s ES contribution, the worst scenarios and a histogram, beside Gaussian-copula and historical figures; copula_stress_scenarios returns each asset’s conditional mean, quantiles and probability of a loss and the portfolio’s conditional VaR and ES.
Example
Prompt
copula portfolio VaR, finds copula_portfolio_var and copula_stress_scenarios, and passes each stock’s closes as a $fincept reference to market_get_candles, one data column per stock with kind: "prices".