问题如下:
A Gaussian copula is constructed to estimate the joint default probability of two assets within a one-year time period. -Which of the following statements regarding this type of copula is incorrect?
选项:
A.This copula requires that the respective cumulative default probabilities are mapped to a bivariate standard normal distribution.
B.This copula defines the relationship between the variables using a default correlation matrix,
C.The term maps each individual cumulative default probability for asset i for time period t on a percentile-to-percentile basis.
D.This copula is a common approach used in finance to estimate joint default probabilities.
解释:
B is correct. Because there are only two companies, only a single correlation coefficient is required and not a correlation matrix,
能麻烦帮忙解释一下C吗。不太理解这句话的意思。为什么会有asset i, 不应该只有两个asset吗?