one-factor-copula

  1. Nicole Seaman

    P1.T2.707. Gaussian Copula (Hull)

    Learning objectives: Define copula and describe the key properties of copulas and copula correlation. Explain tail dependence. Describe the Gaussian copula, Student’s t-copula, multivariate copula, and one-factor copula. Questions: 707.1. Below are the joint probabilities for a cumulative...
    • Nicole Seaman
    • Thread
    • copula copula-correlation gaussian-copula hull multivariate-copula one-factor-copula students-t-copula tail-dependence
    • Replies: 0
    • Forum: FRM® Practice Questions
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