Package org.drip.validation.riskfactorjoint

Joint Risk Factor Aggregate Tests
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    LatentStateSampleCohort
    LatentStateSampleCohort exposes the Multiple Risk Factor Sample Realizations and its Reduction to a Synthetic Single Risk Factor.
  • Class Summary
    Class Description
    NormalLatentStateSampleCohort
    NormalLatentStateSampleCohort holds the Joint Realizations from a Multivariate Normal Distribution and its Reduction to a Synthetic Single Risk Factor.