问一道题：NO.PZ2016070201000050

问题如下：

Suppose a risk manager owns two non-investment grade assets and has determined their individual default probabilities for the next five years. Which of the following equations best defines how a Gaussian copula is constructed by the risk manager to estimate the joint probability of these two companies defaulting within the next year, assuming a Gaussian default correlation of 0.35?

选项：

$C_{GD}{\lbrack Q_B{(t)},Q_C{(t)}\rbrack}=M_2{\lbrack N^{-1}{(Q_B{(t)})},N^{-1}{(Q_C{(t)})};\rho\rbrack}$

$C{\lbrack G_1{(u_1)},...,G_n{(u_n)}\rbrack}=F_n{\lbrack F_1^{-1}{(G_1{(u_1)})},...,F_n^{-1}{(G_n{(u_n)})};\rho_F\rbrack}$

$C_{GD}{\lbrack Q_i{(t)},Q_n{(t)}\rbrack}=M_n{\lbrack N_1^{-1}{(Q_1{(t)})},....,N_n^{-1}{(Q_n{(t)})};\rho_M\rbrack}$

$M_n{(\cdot)}=Q_i{(\tau_i)}$

解释：

Because there are only two assets, the risk manager should use this equation to define the bivariate standard normal distribution, M₂ , with a single default correlation coefficient of ρ.