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Roseline · 2020年09月02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

老师好,这道题的B选项之所以错,是因为题干给了只有两个asset情况,所以correlation不需要matrix吗?


如果是有大于2个asset的话,correlation是不是就需要matrix了,就和47题中老师的解答说的一样,correlation matrix的说法是没有错误的。


1 个答案
已采纳答案

袁园_品职助教 · 2020年09月03日

同学你好!

是的,你理解没错