Portfolio Credit VaR with Copula Default Correlation

Portfolio Credit VaR with Copula Default Correlation: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Given a real corporate bond portfolio (990 obligors drawn from iShares LQD and HYG ETF holdings), sector-level equity correlation data, and a configuration file…

The task

Given a real corporate bond portfolio (990 obligors drawn from iShares LQD and HYG ETF holdings), sector-level equity correlation data, and a configuration file, build a **Monte Carlo credit portfolio model** using both **Gaussian** and **Student-t copulas** to estimate:

Part of codeslord/skilltrainbench-public.