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Financial Correlation Modeling - Bottom-Up Approaches (FRM Part 2 2023 - Book 1 - Chapter 9)
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- เผยแพร่เมื่อ 7 เม.ย. 2020
- For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: analystprep.co...
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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.
We should see more people appreciating this professor efforts to explain not easy concepts in an easy manner. And that too Free of cost.
Thank you and good luck on the exam!
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!
Thanks a lot.That really helped me to have a better picture of concept in my mind.
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
Talk anything about correlations and the professor is sure to pull in a Golfing analogy :)! Thank You Professor, You Rock!
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.
The BEST Video to this topic here on TH-cam!!!!!++ thabk you very much!❤❤❤
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
@@analystprep I will!
This is my first time watching your videos. So clearly spoken. As a new quant this is fantastic. Instant subscribe
Welcome aboard! If you like our video lessons, you may leave us a review at www.trustpilot.com/review/analystprep.com
21:41 why did you choose 0.4 as rho? Did you calculate it somewhere?
Same question here, tell us if you got the answear
@@haythemtilouch1191 yes I will
13:44 gaussian copula example
thanks!!
silly question-how to find the correlation? will it be given as a user input in bivariate normal?
Honestly I am lost😂 but good video
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?
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.