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Suppose that a bank has made a large number loans of a certain type. The one-year probability of default on each loan is 1.2%. The
Suppose that a bank has made a large number loans of a certain type. The one-year probability of default on each loan is 1.2%. The bank uses a Gaussian copula for time to default. It is interested in estimating a "99.97% worst case" for the percentage of loans that default on the portfolio. Show how this caires with the copula correlation
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Finance And Sustainable Development
Authors: Magdalena Ziolo
1st Edition
0367819767, 978-0367819767
