juliola2019-09-05 10:32:56

这题的疑问同上题。我们学的copula是将两个分布合成一个三维分布求违约概率，为什么题目里一直提到copula的作用是“计算出两变量的相关性”？请老师分别解释一下“Copula enables the structures of correlation between variables to be calculated separately from their marginal distributions. ”以及“A copula is a risk measure that extracts the dependence structure from the joint distribution function created from several continuous marginal distribution functions.”这两句话应该说的是差不多的意思