Financial Correlation Modeling - Bottom-Up Approaches (FRM Part 2 2023 - Book 1 - Chapter 9)

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After completing this reading you should be able to:
- Explain the purpose of copula functions and the translation of the copula equation.
- 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 assets in a portfolio using the Gaussian copula.

Опубликовано:

7 апр 2020

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Комментарии : 20

@TheMunishk 4 года назад

We should see more people appreciating this professor efforts to explain not easy concepts in an easy manner. And that too Free of cost.

@analystprep 4 года назад

Thank you and good luck on the exam!

@zedricktorres 2 года назад

As I progress through these videos, I learn more not only about FRM topics but sports - golf, football, etc - as well! Thanks Professor, this is a really fun series!

@sudhanshujetly8885 3 года назад

Talk anything about correlations and the professor is sure to pull in a Golfing analogy :)! Thank You Professor, You Rock!

@analystprep 3 года назад

My pleasure! It would be helpful to spread the word if you could take 2 minutes of your time to leave us a review at www.trustpilot.com/review/analystprep.com in case you like our video lessons.

@drachenschlachter6946 4 месяца назад

The BEST Video to this topic here on RU-vid!!!!!++ thabk you very much!❤❤❤

@analystprep 4 месяца назад

Glad it was helpful! If you like our video lessons, it would be appreciated if you could take 2 minutes of your time to leave us a Google review using this link: g.page/r/CQIlM78xSg01EB0/review

@drachenschlachter6946 4 месяца назад

@@analystprep I will!

@nasimtavoosi7432 3 года назад

Thanks a lot.That really helped me to have a better picture of concept in my mind.

@analystprep 3 года назад

Glad it helped! It would be helpful to spread the word if you could take 2 minutes of your time to leave us a review at www.trustpilot.com/review/analystprep.com

@esteban_ruiz 3 года назад

This is my first time watching your videos. So clearly spoken. As a new quant this is fantastic. Instant subscribe

@analystprep 3 года назад

Welcome aboard! If you like our video lessons, you may leave us a review at www.trustpilot.com/review/analystprep.com

@choungyoungjae8271 3 года назад

13:44 gaussian copula example thanks!!

@projeshbasak7197 2 года назад

silly question-how to find the correlation? will it be given as a user input in bivariate normal?

@user-gp5qt3ms5q 3 года назад

i appreciate your clear explanations, its helped me further my understanding! thank you p.s. i have a question, in your slide you mention the marginal distributions are incomprehensible but ive also read that they can also be uniform distributions?

@whiplasch9 3 года назад

Very good video, can elaborate on how you would apply this matrix to a basket of bonds? I'm working on a Monte Carlo modeling for school. I think this would be an outside the box way to do that, for undergrad.

@drachenschlachter6946 4 месяца назад

21:41 why did you choose 0.4 as rho? Did you calculate it somewhere?