问一道题：NO.PZ2016070201000049

问题如下：

A risk manager is trying to estimate the default time for asset i based on the default correlation copula of asset i to n assets. -Which of the following equations best defines the process that the risk manager should use to generate and map random samples to estimate the default time?

选项：

$C_{GD}{\lbrack Q_B{(t)},Q_C{(t)}\rbrack}=M_2{\lbrack N^{-1}{(Q_B{(t)})},N^{-1}{(Q_C{(t)})};\rho\rbrack}$

$C{\lbrack G_1{(u_1)},...,G_n{(u_n)}\rbrack}=F_n{\lbrack F_1^{-1}{(G_1{(u_1)})},...,F_n^{-1}{(G_n{(u_n)})};\rho_F\rbrack}$

$C_{GD}{\lbrack Q_i{(t)},Q_n{(t)}\rbrack}=M_n{\lbrack N_1^{-1}{(Q_1{(t)})},....,N_n^{-1}{(Q_n{(t)})};\rho_M\rbrack}$

$M_n{(\cdot)}=Q_i{(\tau_i)}$

解释：

D is correct. The equation $M_n{(\cdot)}=Q_i{(\tau_i)}$ is used to repeatedly generate random drawings from the n-variate standard normal distribution to determine the expected default time using the Gaussian copula