Ultimate access to all questions.
Upgrade Now 🚀
Sign in to unlock AI tutor
Applying the Gaussian copula, which of the following corresponds to the joint probability that firm RST and firm WYZ will both default before the end of year 2?
A
Q(XBB=0.0612)+Q(XB=0.1063)−Q(XBB=0.0612)×Q(XB=0.1063)Q(X_{BB} = 0.0612) + Q(X_B = 0.1063) - Q(X_{BB} = 0.0612) \times Q(X_B = 0.1063)Q(XBB=0.0612)+Q(XB=0.1063)−Q(XBB=0.0612)×Q(XB=0.1063)
B
Q(XBB=0.1133)+Q(XB=0.2969)−Q(XBB=0.1133)×Q(XB=0.2969)Q(X_{BB} = 0.1133) + Q(X_B = 0.2969) - Q(X_{BB} = 0.1133) \times Q(X_B = 0.2969)Q(XBB=0.1133)+Q(XB=0.2969)−Q(XBB=0.1133)×Q(XB=0.2969)
C
Q(XBB≤0.1133∩XB≤0.2969)Q(X_{BB} \leq 0.1133 \cap X_B \leq 0.2969)Q(XBB≤0.1133∩XB≤0.2969)
D
Q(XBB≤−1.209∩XB≤−0.533)Q(X_{BB} \leq -1.209 \cap X_B \leq -0.533)Q(XBB≤−1.209∩XB≤−0.533)
