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DDAXC · 2020年02月08日

问一道题:NO.PZ2016070201000048

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 N11(Q1(t))N_1^{-1}{(Q_1{(t)})} 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, ρM\rho_M

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?

1 个答案

品职答疑小助手雍 · 2020年02月08日

同学你好,C的意思不是说有i个资产,而是说了下把一项资产i map到正态的过程。