HullRMFI2ndEdCh10金融风险管理.pptVIP

Example of Calculation of Joint Cumulative Distribution Probability that V1 and V2 are both less than 0.2 is the probability that U1 ?0.84 and U2 ?1.41 When copula correlation is 0.5 this is M( ?0.84, ?1.41, 0.5) = 0.043 where M is the cumulative distribution function for the bivariate normal distribution Risk Management and Financial Institutions 2e, Chapter 10, Copyright ? John C. Hull 2009 * Other Copulas Instead of a bivariate normal distribution for U1 and U2 we can assume any other joint distribution One possibility is the bivariate Student t distribution Risk Management and Financ