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滴滴姐姐~ · 2021年09月04日

copula里面M_n matrix的rho

  1. FRM II
  2. Market Risk Measurement And Management

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 N1−1(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。

题里说 因为这道题只有俩asset所以 rho只有一个


那如果有n个资产，这里的rho(correlation matrix)是不是等于 2Cn (C N 2-排列组合那个符号不会打字了)?

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DD仔_品职助教 · 2021年09月04日

嗨，从没放弃的小努力你好：


同学你好~

是的呢，如果是n个资产就算组合公式，见下图。

比如说有3个资产abc，有3个相关系数 ρab，ρbc，ρac

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