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Gaussian copula
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From : bionicturtledotcom
Added: Aug 31, 2009
The Gaussian copula was gainfully employed prior to the credit crisis, and it has pretty much been shamed. Mathematically, it's an elegant way to join marginal distributions and handle default correlation. But it requires too many simplifying assumptions.
Category : Education
Added: Aug 31, 2009
The Gaussian copula was gainfully employed prior to the credit crisis, and it has pretty much been shamed. Mathematically, it's an elegant way to join marginal distributions and handle default correlation. But it requires too many simplifying assumptions.
Category : Education
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