问一道题：NO.PZ2016070201000048

问题如下：

A Gaussian copula is constructed to estimate the joint default probability of two assets within a one-year time period. -Which of the following statements regarding this type of copula is incorrect?

选项：

This copula requires that the respective cumulative default probabilities are mapped to a bivariate standard normal distribution.

This copula defines the relationship between the variables using a default correlation matrix,

The term $N_1^{-1}{(Q_1{(t)})}$ maps each individual cumulative default probability for asset i for time period t on a percentile-to-percentile basis.

This copula is a common approach used in finance to estimate joint default probabilities.

解释：

B is correct. Because there are only two companies, only a single correlation coefficient is required and not a correlation matrix, $\rho_M$