  We present a class of flexible and tractable static factor models for the
term structure of joint default probabilities, the factor copula models. These
high-dimensional models remain parsimonious with pair-copula constructions, and
nest many standard models as special cases. The loss distribution of a
portfolio of contingent claims can be exactly and efficiently computed when
individual losses are discretely supported on a finite grid. Numerical examples
study the key features affecting the loss distribution and multi-name credit
derivatives prices. An empirical exercise illustrates the flexibility of our
approach by fitting credit index tranche prices.
