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,
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。