Instructional Video: Meissner, Chapter 5: Financial Correlation Modeling

Gunter Meissner, Chapter 4: Financial Correlation Modeling –Bottom-Up Approaches is a 28-minute instructional video analyzing the following concepts:

* Explain the purpose of copula functions and the translation of the copula equation.
* Describe the Gaussian copula and explain how to use it to derive the joint probability of default of two assets.
* Summarize the process of finding the default time of an asset correlated to all other assets in a portfolio using the Gaussian copula.

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