gaussian-copula

Learning Objectives: Define CDS forwards and CDS options. Describe the process of valuing a synthetic CDO using the spread payments approach and the Gaussian copula model of time to default approach. Define the two measures of implied correlation: compound (tranche) correlation and base...

Learning Objectives: Describe the significance of estimating default correlation for credit portfolios and distinguish between reduced form and structural default correlation models. Describe the Gaussian copula model for time to default and calculate the probability of default using the...

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...

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...

Dear All, I am referring to the BIONIC Gaussian copula video on youtube. Can someone please explain (I need the formula and its derivation) how to get to the joint cumulative distribution function of 0.71 for two bonds with marginal cum. dist. function of 5% each and a correlation of 0.3? Many...