NO.PZ2020033001000048
问题如下:
Construct a Gaussian copula to estimate the joint default probability of two assets within a year. Regarding to this copula, which of the following statements are correct?
I.This copula uses a correlation matrix to define the relationship between variables.
II.This copula requires that the respective cumulative default probability are mapped to a bivariate standard normal distribution.
III.This type of copula is widely applied in finance.
IV.The maps the individual asset cumulative default probability to standard normal.
选项:
A.I and II
B.II and III
C.I, II and III
D.II, III and IV
解释:
D is correct.
考点:copula function
解析:
表述1 错误:当只有两个资产时,此时只有一个相关系数 ρ,不需要相关系数矩阵(correlation matrix) 。
老师在讲copula的时候,基础班视频听懂了,做相关copula函数的题目就有点混乱,搞不清什么时候选择marginal distribution,什么时候选择cumulative distribution