Construct · 1 fields · 1 citations

Gaussian copula: a standalone construct

One name. One construct. A landmark on the map.

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Gaussiancopula1 CONSTRUCTGaussian copulaLI · FINANCE

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Finance

a copula built from the multivariate normal distribution, used to model correlated times to default in credit portfolios.

In finance, Gaussian copula refers to a copula built from the multivariate normal distribution, used to model correlated times to default in credit portfolios. This meaning comes from Li (2000) in The Journal of Fixed Income.[1]

Unit
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Nearby constructs

copula1 fields · 1 citationsanchor · a standalone constructcredit2 fields · 2 citationsjingle · one word, two constructsdefault3 fields · 3 citationsjingle · one word, three constructs

References

  1. Li, D. X. (2000). On Default Correlation. The Journal of Fixed Income, 9(4), 43-54. https://doi.org/10.3905/jfi.2000.319253

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