Question
Which is true Group of answer choices The Gaussian copula model assumes that the defaults of different companies are independent. The Gaussian copula model assumes
Which is true
Group of answer choices
The Gaussian copula model assumes that the defaults of different companies are independent.
The Gaussian copula model assumes that the number of defaults is normally distributed.
The Gaussian copula model assumes that the number of defaults is lognormally distributed.
The Gaussian copula model is analyzed by noting that defaults conditional on a factor are independent.
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Analysis for Financial Management
Authors: Robert C. Higgins
10th edition
007803468X, 978-0078034688
