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小宋宋 · 2021年05月11日

第一个错没理解

NO.PZ2020033001000048

问题如下:

Construct a Gaussian copula to estimate the joint default probability of two assets within a year. Regarding to this copula, which of the following statements are correct?

I.This copula uses a correlation matrix to define the relationship between variables.

II.This copula requires that the respective cumulative default probability are mapped to a bivariate standard normal distribution.

III.This type of copula is widely applied in finance.

IV.The N11(Q1(t))N_1^{-1}{(Q_1{(t)})} maps the individual asset cumulative default probability to standard normal.

选项:

A.

I and II

B.

II and III

C.

I, II and III

D.

II, III and IV

解释:

D is correct.

考点:copula function

解析:statement I错在只有2个资产的话,ρ只有一个,而不需要用matrix的方式对应出多个ρ。

第一个错就是correlation between variables为什么只是指两个

2 个答案

品职答疑小助手雍 · 2021年05月13日

嗨,努力学习的PZer你好:


frm有时候是会考文字游戏的题的,这就是语言优势了,母语英语可以轻松的感觉到那个sense,但是我们有时候就没这个反应。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

品职答疑小助手雍 · 2021年05月11日

嗨,从没放弃的小努力你好:


因为between是指两个之间,数量多的话应该用among。

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努力的时光都是限量版,加油!

小宋宋 · 2021年05月13日

要不要题出的 那么恶心啊? 两个变量也可以啊?

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