Learning Objectives: Describe the use of a single-factor model to measure portfolio credit risk, including the impact of correlation. Define beta and calculate the asset return correlation of any pair of firms using the single factor model. Using the single-factor model, estimate the probability...
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...
Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
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