bivariate standard normal distribution是什么

NO.PZ2020033001000048

问题如下：

Construct a Gaussian copula to estimate the joint default probability of two assets within a year. Regarding to this copula, which of the following statements are correct?

I.This copula uses a correlation matrix to define the relationship between variables.

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

III.This type of copula is widely applied in finance.

IV.The $N_1^{-1}{(Q_1{(t)})}$ maps the individual asset cumulative default probability to standard normal.

选项：

I and II

II and III

I, II and III

II, III and IV

解释：

D is correct.

考点：copula function

解析：statement I错在只有2个资产的话，ρ只有一个，而不需要用matrix的方式对应出多个ρ。

bivariate standard normal distribution.是什么，和标准正态分布有什么区别吗

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小刘_品职助教 · 2021年04月05日

同学你好，

bivariate standard normal distribution是双变量标准正态分布，是一维的标准正态分布的多维推广，他的两个变量X、Y均满足正态分布，X和Y均值方差分别为uX，uY和varX和varY，则-Y也为正态分布，其均值方差为-uY和varY，所以由两个独立正态随机变量的和仍为正态的，得知X-Y服从均值为uX-uY，方差为varX+varY的正态分布。

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bivariate standard normal distribution是什么

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