copula-functions

Learning objectives: Explain the purpose of copula functions and how they are applied in finance. 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...

Hi David, I am unclear on how deep we need to go to cover the GARP requirements on the Gaussian copula function (e.g. 505.3). Also, in trying to get some depth, I wanted to clarify this narrative. I am sure I have gaps in stringing it together. In terms of building blocks, I have seen a single...