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卿考必过 · 2024年07月04日

题干的表格少了一列

NO.PZ2023100703000073

问题如下:

A hedge fund that runs a distressed securities strategy is evaluating the solvency conditions of two potential investment targets. Currently firm RST is rated BB and firm WYZ is rated B. The hedge fund is interested in determining the joint default probability of the two firms over the next two years using the Gaussian default time copula under the assumption that a one-year Gaussian default correlation is 0.36. The fund reports that xBB and xB are mapped abscise values of the bivariate normal distribution presented in the table below, while Q and N denote the cumulative default probability and the standard normal distribution, respectively:

Applying the Gaussian copula, which of the following best describes the derivation of the joint probability(Q) that firm RST and firm WYZ will both default in year 2?

选项:

A.Q(xBB = 0.0612) + Q(xB = 0.1063) – Q(xBB = 0.0612)*Q(xB = 0.1063) B.Q(xBB = 0.1133) + Q(xB = 0.2969) – Q(xBB = 0.1133)*Q(xB = 0.2969) C.Q(xBB≤0.1133∩xB≤0.2969) D.Q(xBB ≤-0.8586∩xB≤-0.2630)

解释:

The joint probability of default is measured by “cumulative standard normal percentiles.” What the copula function does is to: first, map the cumulative default probability values (marginal distributions) of a multivariate distribution - percentile to percentile - to a cumulative standard normal distribution. Then, second, find the mapped abscise (x-axis) values of the cumulative standard normal distribution. The Gaussian copula procedure essentially assumes that only a single correlation (not a correlation matrix) can now be applied to the multivariate distribution.

题干表格少了最后一列的信息。

1 个答案

品职答疑小助手雍 · 2024年07月05日

同学你好,谢谢指出,我跟后台反馈一下添加上去。

如果急需看题的话,这道题是经典题的原题,在有答案版的第57页,可以先看下。

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NO.PZ2023100703000073 问题如下 A hee funthruns a stressesecurities strategy is evaluating the solvencontions of two potentiinvestment targets. Currently firm RST is rateanfirm WYZ is rateThe hee funis interestein termining the joint fault probability of the two firms over the next two years using the Gaussifault time copula unr the assumption tha one-yeGaussifault correlation is 0.36. The funreports thxanxB are mappeabscise values of the bivariate normstribution presentein the table below, while Q anN note the cumulative fault probability anthe stanrnormstribution, respectively:Applying the Gaussicopulwhiof the following best scribesthe rivation of the joint probability(Q) thfirm RST anfirm WYZ will bothfault in ye2? A.Q(x= 0.0612) + Q(xB = 0.1063) – Q(x= 0.0612)*Q(xB = 0.1063) B.Q(x= 0.1133) + Q(xB = 0.2969) – Q(x= 0.1133)*Q(xB = 0.2969) C.Q(xBB≤0.1133∩xB≤0.2969) Q(x≤-0.8586∩xB≤-0.2630) The joint probability of fault is measure“cumulative stanrnormpercentiles.” Whthe copula function es is to: first, mthe cumulative fault probability values (marginstributions) of a multivariate stribution - percentile to percentile - to a cumulative stanrnormstribution. Then, secon finthe mappeabscise (x-axis) values of the cumulative stanrnormstribution. The Gaussicopula procere essentially assumes thonly a single correlation (not a correlation matrix) cnow applieto the multivariate stribution. stanrnormpercentiles那列是什么意思啊,怎么判断看哪列

2024-08-01 20:16 1 · 回答