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.

[@TheMunishk]

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[@analystprep]

Thank you and good luck on the exam!

[@zedricktorres]

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]

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

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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]

The BEST Video to this topic here on CZcams!!!!!++ thabk you very much!❤❤❤

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@@analystprep I will!

[@nasimtavoosi7432]

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

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[@esteban_ruiz]

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[@choungyoungjae8271]

13:44 gaussian copula example
thanks!!

[@projeshbasak7197]

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

[@drachenschlachter6946]

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

[@haythemtilouch1191]

Same question here, tell us if you got the answear

[@drachenschlachter6946]

@@haythemtilouch1191 yes I will

[@user-gp5qt3ms5q]

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]

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.

[@kami_Shi_Shin]

Honestly I am lost😂 but good video