Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:copula_(statistics)
|
| gptkbp:basedOn |
gptkb:multivariate_normal_distribution
|
| gptkbp:category |
gptkb:probability_theory
mathematical finance statistics |
| gptkbp:criticizedFor |
contributing to the 2007-2008 financial crisis
underestimating tail risk |
| gptkbp:enables |
modeling of correlated default events
|
| gptkbp:form |
C(u_1,...,u_n) = Φ_Σ(Φ^{-1}(u_1),...,Φ^{-1}(u_n))
|
| https://www.w3.org/2000/01/rdf-schema#label |
Gaussian copula
|
| gptkbp:introduced |
gptkb:David_X._Li
|
| gptkbp:introducedIn |
2000
|
| gptkbp:parameter |
correlation matrix
|
| gptkbp:relatedTo |
gptkb:Sklar's_theorem
gptkb:copula_theory credit default swap collateralized debt obligation default correlation |
| gptkbp:usedIn |
finance
risk management credit derivatives |
| gptkbp:bfsParent |
gptkb:multivariate_Gaussian_distribution
|
| gptkbp:bfsLayer |
7
|